Tiziano Vargiolu

Orcid: 0000-0002-3210-8062

According to our database1, Tiziano Vargiolu authored at least 14 papers between 1999 and 2024.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

On csauthors.net:

Bibliography

2024
Recent advances in mathematical methods for finance.
Ann. Oper. Res., May, 2024

2022
Optimal Cross-Border Electricity Trading.
SIAM J. Financial Math., 2022

2021
Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem.
SIAM J. Control. Optim., 2021

2020
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.
Math. Oper. Res., 2020

Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions.
Eur. J. Oper. Res., 2020

On the singular control of exchange rates.
Ann. Oper. Res., 2020

2017
Utility indifference pricing and hedging for structured contracts in energy markets.
Math. Methods Oper. Res., 2017

2015
Portfolio optimization in a defaultable Lévy-driven market model.
OR Spectr., 2015

2014
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem.
SIAM J. Financial Math., 2014

Pricing vulnerable claims in a Lévy-driven model.
Finance Stochastics, 2014

2006
Shortfall risk minimising strategies in the binomial model: characterisation and convergence.
Math. Methods Oper. Res., 2006

2002
Superreplication of European multiasset derivatives with bounded stochastic volatility.
Math. Methods Oper. Res., 2002

2000
Robustness of the Black-Scholes approach in the case of options on several assets.
Finance Stochastics, 2000

1999
Invariant measures for the Musiela equation with deterministic diffusion term.
Finance Stochastics, 1999


  Loading...