5
H index
0
i10 index
43
Citations
Tiziano Vargiolu : Citation Profile
| RESEARCH PRODUCTION: 11 Articles 17 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (1999 - 2020). 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:
| Cites to:
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Main data
Where Tiziano Vargiolu has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance and Stochastics | 3 |
| Mathematical Methods of Operations Research | 3 |
| Energy Economics | 2 |
| Decisions in Economics and Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 11 |
| Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University | 3 |
Recent works citing Tiziano Vargiolu (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 2018 | Stochastic Switching Games. (2018). Ludkovski, Michael ; Li, Liangchen. In: Papers. RePEc:arx:papers:1807.03893. Full description at Econpapers || Download paper |
| 2019 | Efficient 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. Full description at Econpapers || Download paper |
| 2019 | A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse games. (2019). Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:1909.03574. Full description at Econpapers || Download paper |
| 2019 | A bank salvage model by impulse stochastic controls. (2019). Jiang, Yilun ; di Persio, Luca ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:1910.03056. Full description at Econpapers || Download paper |
| 2020 | Pricing commodity swing options. (2020). Sartorelli, Giulio ; Pallavicini, Andrea ; Nastasi, Emanuele ; Daluiso, Roberto. In: Papers. RePEc:arx:papers:2001.08906. Full description at Econpapers || Download paper |
| 2018 | On a Strategic Model of Pollution Control. (2018). Koch, Torben ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:586. Full description at Econpapers || Download paper |
| 2019 | Analysis 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. Full description at Econpapers || Download paper |
| 2019 | Stochastic 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. Full description at Econpapers || Download paper |
| 2019 | Market 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. Full description at Econpapers || Download paper |
| 2019 | On 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. Full description at Econpapers || Download paper |
Works by Tiziano Vargiolu:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Utility indifference pricing and hedging for structured contracts in energy markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Utility indifference pricing and hedging for structured contracts in energy markets.(2017) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Utility indifference pricing and hedging for structured contracts in energy markets.(2017) In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2018 | Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | Nonzero-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 | |
| 2018 | Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | On the Singular Control of Exchange Rates In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | On the Singular Control of Exchange Rates.(2018) In: Center for Mathematical Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Pricing Reliability Options under different electricity prices regimes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal management of pumped hydroelectric production with state constrained optimal control In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Capturing the power options smile by an additive two-factor model for overlapping futures prices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Capturing the power options smile by an additive two-factor model for overlapping futures prices.(2019) In: Center for Mathematical Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem.(2019) In: Center for Mathematical Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2020 | Efficient representation of supply and demand curves on day-ahead electricity markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes In: Economic Notes. [Full Text][Citation analysis] | article | 1 |
| 2013 | Modeling and valuing make-up clauses in gas swing contracts In: Energy Economics. [Full Text][Citation analysis] | article | 5 |
| 2019 | Mean-reverting no-arbitrage additive models for forward curves in energy markets In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications In: Post-Print. [Citation analysis] | paper | 2 |
| 2010 | Optimal prepayment and default rules for mortgage-backed securities In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2013 | Robustness for path-dependent volatility models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Pricing vulnerable claims in a Lévy-driven model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 4 |
| 1999 | Invariant measures for the Musiela equation with deterministic diffusion term In: Finance and Stochastics. [Full Text][Citation analysis] | article | 5 |
| 2000 | Robustness of the Black-Scholes approach in the case of options on several assets In: Finance and Stochastics. [Full Text][Citation analysis] | article | 6 |
| 2002 | Superreplication of European multiasset derivatives with bounded stochastic volatility In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 4 |
| 2006 | Shortfall risk minimising strategies in the binomial model: characterisation and convergence In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2020. Contact: CitEc Team