Tiziano Vargiolu : Citation Profile


Are you Tiziano Vargiolu?

5

H index

1

i10 index

62

Citations

RESEARCH PRODUCTION:

15

Articles

18

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: 14.    Total self citations: 14 (18.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva1
   Updated: 2021-03-01    RAS profile: 2021-02-08    
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Relations with other researchers


Works with:

Fontini, Fulvio (2)

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)

Fabbri, Giorgio (3)

Pascucci, Andrea (3)

Lempa, Jukka (2)

Oosterlee, Cornelis (2)

alqatawni, tahsen (1)

Pallavicini, Andrea (1)

federico, salvatore (1)

Cites to:

Cartea, Álvaro (15)

Pascucci, Andrea (5)

Prokopczuk, Marcel (5)

Figueroa, Marcelo (4)

Paraschiv, Florentina (4)

Koekebakker, Steen (3)

merton, robert (3)

Foschi, Paolo (3)

Fontini, Fulvio (3)

Barndorff-Nielsen, Ole (3)

Ferrari, Giorgio (3)

Main data


Where Tiziano Vargiolu has published?


Journals with more than one article published# docs
Mathematical Methods of Operations Research3
Finance and Stochastics3
Energy Economics3
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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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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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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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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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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2020Factor 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.

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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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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
paper
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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paper12
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: 12
paper
2019Nonzero-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
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: 12
article
2018Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers.
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paper7
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
2020On the singular control of exchange rates.(2020) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 0
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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paper0
2020Pricing reliability options under different electricity price regimes.(2020) In: Energy Economics.
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This paper has another version. Agregated cites: 0
article
2019Optimal management of pumped hydroelectric production with state constrained optimal control In: Papers.
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paper0
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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paper1
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: 1
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
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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article5
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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article0
2014Pricing vulnerable claims in a Lévy-driven model In: Finance and Stochastics.
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article5
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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article5
2020Variables Reduction in Sequential Resource Allocation Problems In: Research Paper Series.
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paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team