5
H index
1
i10 index
62
Citations
| 5 H index 1 i10 index 62 Citations RESEARCH PRODUCTION: 15 Articles 18 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Mathematical Methods of Operations Research | 3 |
Finance and Stochastics | 3 |
Energy Economics | 3 |
Decisions in Economics and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 11 |
Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University | 3 |
Year | Title of citing document |
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2020 | 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 |
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 |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554. Full description at Econpapers || Download paper |
2020 | An 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. Full description at Econpapers || Download paper |
2020 | Optimal market making under partial information and numerical methods for impulse control games with applications. (2020). Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:2009.06521. Full description at Econpapers || Download paper |
2020 | AHEAD : Ad-Hoc Electronic Auction Design. (2020). Rosenbaum, Mathieu ; Mastrolia, Thibaut ; Guillot, Philippe ; Derchu, Joffrey. In: Papers. RePEc:arx:papers:2010.02827. Full description at Econpapers || Download paper |
2020 | Unifying 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Singular 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Estimation 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. Full description at Econpapers || Download paper |
2020 | Nonzero-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. Full description at Econpapers || Download paper |
2020 | Factor models in the German electricity market: Stylized facts, seasonality, and calibration. (2020). Wagner, A ; Hinderks, W J. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319301033. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2013 | Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem In: Papers. [Full Text][Citation analysis] | paper | 3 |
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 | 12 |
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: 12 | paper | |
2019 | Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.(2019) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2020 | Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.(2020) In: Mathematics of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2018 | Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers. [Full Text][Citation analysis] | paper | 7 |
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 | |
2020 | On the singular control of exchange rates.(2020) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
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 |
2020 | Pricing reliability options under different electricity price regimes.(2020) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
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 | 1 |
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: 1 | 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 |
2020 | Price 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. [Full Text][Citation analysis] | article | 0 |
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 | 5 |
2010 | Optimal prepayment and default rules for mortgage-backed securities In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 3 |
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 | 5 |
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 |
2020 | Variables Reduction in Sequential Resource Allocation Problems In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team