Tiziano Vargiolu : Citation Profile


Are you Tiziano Vargiolu?

5

H index

2

i10 index

76

Citations

RESEARCH PRODUCTION:

18

Articles

18

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 3
   Journals where Tiziano Vargiolu has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 17 (18.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva1
   Updated: 2021-09-18    RAS profile: 2021-08-20    
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Relations with other researchers


Works with:

Fontini, Fulvio (3)

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

Is cited by:

Gozzi, Fausto (3)

Pascucci, Andrea (3)

Fabbri, Giorgio (3)

Oosterlee, Cornelis (2)

Lempa, Jukka (2)

alqatawni, tahsen (1)

Pallavicini, Andrea (1)

federico, salvatore (1)

Zaccour, Georges (1)

Cites to:

Cartea, Álvaro (15)

Fontini, Fulvio (8)

Joskow, Paul (6)

Prokopczuk, Marcel (5)

Pascucci, Andrea (5)

Cramton, Peter (5)

Figueroa, Marcelo (4)

Pelagatti, Matteo (4)

Paraschiv, Florentina (4)

Parisio, Lucia (4)

Tirole, Jean (4)

Main data


Where Tiziano Vargiolu has published?


Journals with more than one article published# docs
Energy Economics4
Finance and Stochastics3
Mathematical Methods of Operations Research3
Journal of Economic Dynamics and Control2
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 (2021 and 2020)


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

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2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Kh, Anna ; Schmeck, Maren D ; Kemper, Annika. In: Papers. RePEc:arx:papers:2002.07561.

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2021Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554.

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2020An Impulse-Regime Switching Game Model of Vertical Competition. (2020). Ludkovski, Mike ; Li, Liangchen ; Campi, Luciano ; Ren'e A"id, . In: Papers. RePEc:arx:papers:2006.04382.

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2020Optimal market making under partial information and numerical methods for impulse control games with applications. (2020). Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:2009.06521.

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2020AHEAD : Ad-Hoc Electronic Auction Design. (2020). Rosenbaum, Mathieu ; Mastrolia, Thibaut ; Guillot, Philippe ; Derchu, Joffrey. In: Papers. RePEc:arx:papers:2010.02827.

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2020Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price. (2020). Korn, Ralf ; Hinderks, Wieger ; Wagner, Andreas. In: Papers. RePEc:arx:papers:2011.03987.

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2021Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2021Optimal bidding on hourly and quarter-hourly day-ahead electricity price auctions: trading large volumes of power with market impact and transaction costs. (2021). Narajewski, Michal ; Ziel, Florian. In: Papers. RePEc:arx:papers:2104.14204.

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2021Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071.

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2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Mitzel, Norbert W ; Gronde, Ingo. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:635.

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2020Singular Control of the Drift of a Brownian System. (2020). Satz, Helmut ; Kharzeev, D ; Karsch, Frithjof. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:637.

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2021Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. (2021). Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:645.

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2021Nash equilibria in nonzero-sum differential games with impulse control. (2021). Zaccour, Georges ; Reddy, Puduru Viswanadha ; Sadana, Utsav. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:792-805.

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2020A Bank Salvage Model by Impulse Stochastic Controls. (2020). Jiang, Yilun ; di Persio, Luca ; Cordoni, Francesco Giuseppe. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:60-:d:367204.

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2021The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. (2021). Schwerin, Stefan ; Schmeck, Maren Diane. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:100-:d:557359.

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2020Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets. (2020). Gruet, Pierre ; Feron, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-02880824.

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2021CVA and vulnerable options pricing by correlation expansions. (2021). Scarlatti, S ; Ramponi, A ; Antonelli, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03367-z.

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2020Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper. (2020). Campi, Luciano ; Santis, Davide. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01718-6.

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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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paper3
2016Utility indifference pricing and hedging for structured contracts in energy markets In: Papers.
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2017Utility indifference pricing and hedging for structured contracts in energy markets.(2017) In: LSE Research Online Documents on Economics.
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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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paper13
2020Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications.(2020) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 13
paper
2019Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.(2019) In: Post-Print.
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This paper has another version. Agregated cites: 13
paper
2020Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.(2020) In: Mathematics of Operations Research.
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This paper has another version. Agregated cites: 13
article
2018Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers.
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paper10
2017On the Singular Control of Exchange Rates In: Papers.
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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
2020On the singular control of exchange rates.(2020) In: Annals of Operations Research.
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article
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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2020Pricing reliability options under different electricity price regimes.(2020) In: Energy Economics.
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article
2019Optimal management of pumped hydroelectric production with state constrained optimal control In: Papers.
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2021Optimal management of pumped hydroelectric production with state constrained optimal control.(2021) In: Journal of Economic Dynamics and Control.
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article
2019Capturing the power options smile by an additive two-factor model for overlapping futures prices In: Papers.
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paper4
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: 4
paper
2021Capturing the power options smile by an additive two-factor model for overlapping futures prices.(2021) In: Energy Economics.
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This paper has another version. Agregated cites: 4
article
2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem In: Papers.
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paper2
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: 2
paper
2020Efficient representation of supply and demand curves on day-ahead electricity markets In: Papers.
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2010Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes In: Economic Notes.
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article1
2021Investing in electricity production under a reliability options scheme In: Journal of Economic Dynamics and Control.
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article0
2020Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions In: European Journal of Operational Research.
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article0
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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article8
2010Optimal prepayment and default rules for mortgage-backed securities In: Decisions in Economics and Finance.
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article3
2013Robustness for path-dependent volatility models In: Decisions in Economics and Finance.
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2014Pricing vulnerable claims in a Lévy-driven model In: Finance and Stochastics.
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article6
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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2020Variables Reduction in Sequential Resource Allocation Problems In: Research Paper Series.
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