6
H index
2
i10 index
98
Citations
Tiziano Vargiolu : Citation Profile
| RESEARCH PRODUCTION: 19 Articles 19 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 |
| Decisions in Economics and Finance | 3 |
| Finance and Stochastics | 3 |
| Mathematical Methods of Operations Research | 3 |
| Journal of Economic Dynamics and Control | 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 |
| Post-Print / HAL | 2 |
Recent works citing Tiziano Vargiolu (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2022 | The Energy Transition and the Value of Capacity Remuneration Mechanisms. (2022). Moretto, Michele ; Fontini, Fulvio ; Bonaldo, Cinzia. In: FEEM Working Papers. RePEc:ags:feemwp:321985. Full description at Econpapers || Download paper |
| 2022 | 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 |
| 2022 | Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554. 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 |
| 2022 | 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 |
| 2021 | Nonzero-sum stochastic impulse games with an application in competitive retail energy markets. (2021). Gaigi, M'Hamed ; ben Ajmia, Lamia ; Ren'e A"id, ; Mnif, Mohamed. In: Papers. RePEc:arx:papers:2112.10213. Full description at Econpapers || Download paper |
| 2023 | A Heat-Jarrow-Morton framework for energy markets: a pragmatic approach. (2023). Santilli, Edoardo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2305.01485. 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 |
| 2022 | Approximate value adjustments for European claims. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161. Full description at Econpapers || Download paper |
| 2021 | A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881. Full description at Econpapers || Download paper |
| 2021 | Energy exchange among heterogeneous prosumers under price uncertainty. (2021). Vergalli, Sergio ; moretto, michele ; di Corato, Luca ; Castellini, Marta. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005041. Full description at Econpapers || Download paper |
| 2021 | How does Chinas carbon emissions trading (CET) policy affect the investment of CET-covered enterprises?. (2021). Wang, Wei ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001298. Full description at Econpapers || Download paper |
| 2022 | Adjusting the aim of capacity mechanisms: Future-proof reliability metrics and firm supply calculations. (2022). Batlle, Carlos ; Barroso, Luiz Augusto ; Rodilla, Pablo ; Mastropietro, Paolo ; Brito-Pereira, Paulo. In: Energy Policy. RePEc:eee:enepol:v:164:y:2022:i:c:s0301421522001161. Full description at Econpapers || Download paper |
| 2022 | A novel method of detecting carbon asset price jump characteristics based on significant information shocks. (2022). Cao, Wei ; Ji, Yuanpu ; Zhu, Dandan ; Zhang, Chen ; Pan, DI. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005638. Full description at Econpapers || Download paper |
| 2022 | MFGs for partially reversible investment. (2022). Cao, Haoyang ; Guo, Xin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:995-1014. Full description at Econpapers || Download paper |
| 2023 | Optimal control of martingales in a radially symmetric environment. (2023). Robinson, Benjamin A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:149-198. Full description at Econpapers || Download paper |
| 2022 | Synthetic control methods for policy analysis: Evaluating the effect of the European Emission Trading System on aviation supply. (2022). Dalfonso, Tiziana ; Jiang, Changmin ; Liao, Sha ; Kang, Yicheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:162:y:2022:i:c:p:236-252. Full description at Econpapers || Download paper |
| 2021 | An automated system of emissions permit trading for transportation firms. (2021). Shen, Bin ; Hua, Zhongsheng ; Yuan, Quan. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:152:y:2021:i:c:s1366554521001526. Full description at Econpapers || Download paper |
| 2022 | The Energy Transition and the Value of Capacity Remuneration Mechanisms. (2022). Moretto, Michele ; Fontini, Fulvio ; Bonaldo, Cinzia. In: Working Papers. RePEc:fem:femwpa:2022.16. Full description at Econpapers || Download paper |
| 2021 | Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy. (2021). Garcia, Fausto Pedro ; Acarolu, Hakan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:22:p:7473-:d:675237. Full description at Econpapers || Download paper |
| 2023 | A Systematic Review of European Electricity Market Design Options. (2023). Annala, Salla ; Jaanto, Jasmin ; Honkapuro, Samuli. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:9:p:3704-:d:1133143. Full description at Econpapers || Download paper |
| 2021 | Choosing a Price and Cost Combination—The Role of Correlation. (2021). Maoz, Yishay ; Bar-Ilan, Avner. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:535-:d:674859. 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 |
| 2021 | CVA and vulnerable options pricing by correlation expansions. (2021). Ramponi, Alessandro ; Scarlatti, S ; 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 |
| 2021 | An Impulse-Regime Switching Game Model of Vertical Competition. (2021). Ludkovski, Mike ; Li, Liangchen ; Campi, Luciano ; Aid, Rene. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:11:y:2021:i:4:d:10.1007_s13235-021-00381-4. Full description at Econpapers || Download paper |
| 2022 | My journey through finance and stochastics. (2022). Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00453-8. Full description at Econpapers || Download paper |
| 2021 | Sampled-Data Nash Equilibria in Differential Games with Impulse Controls. (2021). Sadana, Utsav ; Baar, Tamer ; Reddy, Puduru Viswanadha ; Zaccour, Georges. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:190:y:2021:i:3:d:10.1007_s10957-021-01920-0. Full description at Econpapers || Download paper |
| 2022 | Forecasting carbon price using a multi?objective least squares support vector machine with mixture kernels. (2022). Chevallier, Julien ; Wei, Yiming ; Wang, Ping ; Ye, Shunxin ; Zhu, Bangzhu. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:100-117. 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 | 17 |
| 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: 17 | 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: 17 | paper | |
| 2020 | Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications.(2020) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 17 | 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: 17 | article | |
| 2018 | Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2017 | On the Singular Control of Exchange Rates In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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: 1 | 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 | 6 |
| 2020 | Pricing reliability options under different electricity price regimes.(2020) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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 | 5 |
| 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: 5 | 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: 5 | 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 | 2 |
| 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 | 5 |
| 2013 | Modeling and valuing make-up clauses in gas swing contracts In: Energy Economics. [Full Text][Citation analysis] | article | 4 |
| 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 |
| 2021 | Optimal installation of renewable electricity sources: the case of Italy 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 | 7 |
| 1999 | Invariant measures for the Musiela equation with deterministic diffusion term In: Finance and Stochastics. [Full Text][Citation analysis] | article | 6 |
| 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 | 6 |
| 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 July, 3 2023. Contact: CitEc Team