5
H index
2
i10 index
76
Citations
Tiziano Vargiolu : Citation Profile
| RESEARCH PRODUCTION: 18 Articles 18 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1999 - 2021). 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 |
|---|---|
| Energy Economics | 4 |
| Finance and Stochastics | 3 |
| Mathematical Methods of Operations Research | 3 |
| Journal of Economic Dynamics and Control | 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 (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 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 |
| 2021 | Pricing 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. Full description at Econpapers || Download paper |
| 2021 | A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918. Full description at Econpapers || Download paper |
| 2021 | Optimal 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. Full description at Econpapers || Download paper |
| 2021 | Normal Tempered Stable Processes and the Pricing of Energy Derivatives. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2105.03071. 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 |
| 2021 | Multidimensional 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. Full description at Econpapers || Download paper |
| 2021 | Nash 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. 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 |
| 2021 | The 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. 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 |
| 2021 | CVA 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. 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 |
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 | 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 | 13 |
| 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: 13 | 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: 13 | 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: 13 | article | |
| 2018 | Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 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 |
| 2021 | Optimal management of pumped hydroelectric production with state constrained optimal control.(2021) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2019 | Capturing the power options smile by an additive two-factor model for overlapping futures prices In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 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: 4 | paper | |
| 2021 | Capturing the power options smile by an additive two-factor model for overlapping futures prices.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2019 | Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 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: 2 | paper | |
| 2020 | Efficient representation of supply and demand curves on day-ahead electricity markets In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes In: Economic Notes. [Full Text][Citation analysis] | article | 1 |
| 2021 | Investing in electricity production under a reliability options scheme In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 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 | 8 |
| 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 | 6 |
| 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 March, 2 2021. Contact: CitEc Team