Tiziano Vargiolu : Citation Profile


Are you Tiziano Vargiolu?

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i10 index

43

Citations

RESEARCH PRODUCTION:

11

Articles

17

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 2
   Journals where Tiziano Vargiolu has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 11 (20.37 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva1
   Updated: 2020-04-04    RAS profile: 2020-03-09    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Tiziano Vargiolu.

Is cited by:

Pascucci, Andrea (3)

Fabbri, Giorgio (3)

Gozzi, Fausto (3)

Lempa, Jukka (2)

federico, salvatore (1)

alqatawni, tahsen (1)

Cites to:

Cartea, Álvaro (10)

Pascucci, Andrea (5)

Figueroa, Marcelo (3)

Foschi, Paolo (3)

Fontini, Fulvio (3)

Paraschiv, Florentina (3)

Prokopczuk, Marcel (3)

Barndorff-Nielsen, Ole (3)

Wu, Liuren (2)

Tirole, Jean (2)

merton, robert (2)

Main data


Where Tiziano Vargiolu has published?


Journals with more than one article published# docs
Finance and Stochastics3
Mathematical Methods of Operations Research3
Energy Economics2
Decisions in Economics and Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org11
Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University3

Recent works citing Tiziano Vargiolu (2020 and 2019)


YearTitle of citing document
2018Stochastic Switching Games. (2018). Ludkovski, Michael ; Li, Liangchen. In: Papers. RePEc:arx:papers:1807.03893.

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2019Efficient Computation of Various Valuation Adjustments Under Local L\evy Models. (2019). Pascucci, Andrea ; Oosterlee, Cornelis W ; Borovykh, Anastasia. In: Papers. RePEc:arx:papers:1905.01706.

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2019A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse games. (2019). Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:1909.03574.

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2019A bank salvage model by impulse stochastic controls. (2019). Jiang, Yilun ; di Persio, Luca ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:1910.03056.

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2020Pricing commodity swing options. (2020). Sartorelli, Giulio ; Pallavicini, Andrea ; Nastasi, Emanuele ; Daluiso, Roberto. In: Papers. RePEc:arx:papers:2001.08906.

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2018On a Strategic Model of Pollution Control. (2018). Koch, Torben ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:586.

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2019Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation. (2019). Kang, Boda ; Dong, Wenfeng. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:76-96.

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2019Stochastic differential reinsurance games with capital injections. (2019). Qian, Linyi ; Jin, Zhuo ; Zhang, Nan ; Fan, Kun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:7-18.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2019On a strategic model of pollution control. (2019). Koch, Torben ; Ferrari, Giorgio. In: Annals of Operations Research. RePEc:spr:annopr:v:275:y:2019:i:2:d:10.1007_s10479-018-2935-7.

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Works by Tiziano Vargiolu:


YearTitleTypeCited
2013Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem In: Papers.
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paper2
2016Utility indifference pricing and hedging for structured contracts in energy markets In: Papers.
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paper0
2017Utility indifference pricing and hedging for structured contracts in energy markets.(2017) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 0
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2017Utility indifference pricing and hedging for structured contracts in energy markets.(2017) In: Mathematical Methods of Operations Research.
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This paper has another version. Agregated cites: 0
article
2018Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications In: Papers.
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paper6
2020Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications.(2020) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2018Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers.
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paper1
2017On the Singular Control of Exchange Rates In: Papers.
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paper0
2018On the Singular Control of Exchange Rates.(2018) In: Center for Mathematical Economics Working Papers.
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This paper has another version. Agregated cites: 0
paper
2018Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes In: Papers.
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paper0
2019Pricing Reliability Options under different electricity prices regimes In: Papers.
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2019Optimal management of pumped hydroelectric production with state constrained optimal control In: Papers.
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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices In: Papers.
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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices.(2019) In: Center for Mathematical Economics Working Papers.
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This paper has another version. Agregated cites: 0
paper
2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem In: Papers.
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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem.(2019) In: Center for Mathematical Economics Working Papers.
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This paper has another version. Agregated cites: 0
paper
2020Efficient representation of supply and demand curves on day-ahead electricity markets In: Papers.
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paper0
2010Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes In: Economic Notes.
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article1
2013Modeling and valuing make-up clauses in gas swing contracts In: Energy Economics.
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article5
2019Mean-reverting no-arbitrage additive models for forward curves in energy markets In: Energy Economics.
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article0
2019Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications In: Post-Print.
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paper2
2010Optimal prepayment and default rules for mortgage-backed securities In: Decisions in Economics and Finance.
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article2
2013Robustness for path-dependent volatility models In: Decisions in Economics and Finance.
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article0
2014Pricing vulnerable claims in a Lévy-driven model In: Finance and Stochastics.
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article4
1999Invariant measures for the Musiela equation with deterministic diffusion term In: Finance and Stochastics.
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article5
2000Robustness of the Black-Scholes approach in the case of options on several assets In: Finance and Stochastics.
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article6
2002Superreplication of European multiasset derivatives with bounded stochastic volatility In: Mathematical Methods of Operations Research.
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article4
2006Shortfall risk minimising strategies in the binomial model: characterisation and convergence In: Mathematical Methods of Operations Research.
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