Tiziano Vargiolu : Citation Profile

7

H index

5

i10 index

139

Citations

RESEARCH PRODUCTION:

23

Articles

21

Papers

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 5
   Journals where Tiziano Vargiolu has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 19 (12.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva1
   Updated: 2026-01-17    RAS profile: 2025-04-07    
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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:

moretto, michele (5)

Pascucci, Andrea (3)

Gozzi, Fausto (3)

Fabbri, Giorgio (3)

Fontini, Fulvio (2)

Sadana, Utsav (2)

Ramponi, Alessandro (2)

Lempa, Jukka (2)

Zormpas, Dimitrios (2)

Oosterlee, Cornelis (2)

Wei, Yi-Ming (1)

Cites to:

Cartea, Álvaro (18)

Fontini, Fulvio (9)

Joskow, Paul (9)

Tirole, Jean (7)

Pelagatti, Matteo (6)

Parisio, Lucia (6)

Cramton, Peter (6)

Figueroa, Marcelo (5)

Prokopczuk, Marcel (5)

Paraschiv, Florentina (5)

Pascucci, Andrea (5)

Main data

Where Tiziano Vargiolu has published?

Journals with more than one article published# docs
Energy Economics4
Mathematical Methods of Operations Research3
Finance and Stochastics3
Decisions in Economics and Finance3
Journal of Energy Markets2
Annals of Operations Research2
Economic Notes2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org13
Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University3
Post-Print / HAL2

Recent works citing Tiziano Vargiolu (2025 and 2024)

YearTitle of citing document
2024Fast and General Simulation of L\evy-driven OU processes for Energy Derivatives. (2024). Baviera, Roberto ; Manzoni, Pietro. In: Papers. RePEc:arx:papers:2401.15483.

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2025Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

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2024Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2406.19412.

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2025Optimal stopping and divestment timing under scenario ambiguity and learning. (2024). Tankov, Peter ; Mazzon, Andrea. In: Papers. RePEc:arx:papers:2408.09349.

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2025A model of strategic sustainable investment. (2025). Tankov, Peter ; Graciani, Caio C'Esar ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2412.00986.

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2024Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty. (2024). Xia, YI ; Guan, Guohui ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2412.09171.

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2025Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration. (2025). Sotnikov, Dimitri ; de Carvalho, Nathan ; Bruneau, Soukaina ; Jaber, Eduardo Abi ; Tur, Laurent. In: Papers. RePEc:arx:papers:2501.05975.

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2025Monetary Policy and Exchange Rate Fluctuations. (2025). Hu, Yongheng. In: Papers. RePEc:arx:papers:2509.15169.

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2025An Impulse Control Approach to Market Making in a Hawkes LOB Market. (2025). Jain, Konark ; Firoozye, Nick ; Treleaven, Philip ; Kochems, Jonathan. In: Papers. RePEc:arx:papers:2510.26438.

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2024Reverse impact of capacity markets for a renewable-dominated power system. (2024). Xiang, Yue ; Chen, Sijie ; Li, Ran ; Tao, Junyi ; Qu, Hui. In: Applied Energy. RePEc:eee:appene:v:375:y:2024:i:c:s030626192401537x.

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2025Seasonality and valuation of renewable energy projects in a two factor model. (2025). Best, Rohan ; Trueck, Stefan ; Truong, Chi ; Pitt, David. In: Applied Energy. RePEc:eee:appene:v:389:y:2025:i:c:s030626192500399x.

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2024Green technological licensing strategies with fixed-fee among rival firms under emissions trading scheme. (2024). Zhu, Xide ; Zhang, QI ; Lin, Gui-Hua. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:1:p:110-130.

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2025Singular control in a cash management model with ambiguity. (2025). Archankul, Arnon ; Ferrari, Giorgio ; Hellmann, Tobias. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:2:p:500-514.

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2024The energy transition and the value of Capacity Remuneration Mechanisms. (2024). moretto, michele ; Fontini, Fulvio ; Bonaldo, Cinzia. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324005905.

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2025Short-term forecasting of forward prices in the Brazilian electricity market with a hybrid stochastic-neural network model. (2025). Santos, Eleonora ; Sica, E T ; Albani, V. V. L., ; Moreira, P. S. E., ; Marcavillaca, R T ; Avila, S L ; Geremia, M ; Piovezan, R. P. B., . In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004785.

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2025Agent-based modeling of firms heterogeneous preferences: Implications for trading and technology adoption in electricity-carbon markets. (2025). Liu, Songyuan ; Wang, Mei. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325005158.

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2024Reliability options: Regulatory recommendations for the next generation of capacity remuneration mechanisms. (2024). Mastropietro, Paolo ; Rodilla, Pablo ; Rivier, Michel ; Batlle, Carlos. In: Energy Policy. RePEc:eee:enepol:v:185:y:2024:i:c:s030142152300544x.

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2024Generation side strategy and user side cost based on equilibrium analysis of the power market under the reliability option. (2024). Zhou, Yun ; Feng, Yuanhao ; Xu, Shaolun. In: Energy. RePEc:eee:energy:v:287:y:2024:i:c:s0360544223031158.

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2024Can carbon market efficiency promote green technology innovation for Chinese companies?. (2024). Meng, Bo ; Ye, Bin ; Cheng, Wenyin ; An, Yunbi ; Sun, Mili ; Wang, Dan. In: Energy. RePEc:eee:energy:v:309:y:2024:i:c:s0360544224029323.

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2025Exchange rate regime changes and market efficiency: An event study. (2025). Portela, Jose ; Martin-Bujack, Karin ; Corzo, Teresa ; Rodrguez-Gallego, Alejandro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228.

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2024The new bond on the block — Designing a carbon-linked bond for sustainable investment projects. (2024). Fehrenkotter, Rieke ; Dahlen, Niklas ; Schreiter, Maximilian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:316-325.

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2025Portfolio optimization of diversified energy transition investments with multiple risks. (2025). Ding, Hao ; Zhou, Peng ; Su, Qing. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:219:y:2025:i:c:s1364032125005179.

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2024A Review of Generalized Hyperbolic Distributions. (2024). Jiang, Xiao ; Hitchen, Thomas ; Nadarajah, Saralees. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10457-5.

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2025Swing option-implied volatility. (2025). Auer, Benjamin R ; Mhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:3:d:10.1007_s11147-025-09214-7.

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2024Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries. (2024). Zormpas, Dimitrios ; Oggioni, Giorgia. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05273-x.

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2025Optimal strategies of regular-singular mean-field delayed stochastic differential games. (2025). Wu, Jinbiao ; Lu, Jun ; Yang, Bixuan. In: Annals of Operations Research. RePEc:spr:annopr:v:344:y:2025:i:1:d:10.1007_s10479-024-06399-2.

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2025Optimal portfolios with anticipating information on the stochastic interest rate. (2025). Dauria, Bernardo ; Salmeron, Jos A. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00463-z.

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2025A Heath–Jarrow–Morton framework for energy markets: review and applications for practitioners. (2025). Gardini, Matteo ; Santilli, Edoardo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00484-8.

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2024A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets. (2024). Sgarra, Carlo ; Benth, Fred Espen. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00546-0.

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2025The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging. (2025). Kemper, Annika ; Schmeck, Maren Diane. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00383-5.

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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.
[Full Text][Citation analysis]		paper3
2016Utility indifference pricing and hedging for structured contracts in energy markets In: Papers.
[Full Text][Citation analysis]		paper1
2017Utility 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 nother version. Agregated cites: 1		paper
2017Utility indifference pricing and hedging for structured contracts in energy markets.(2017) In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2018Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications In: Papers.
[Full Text][Citation analysis]		paper21
2020Nonzero-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 nother version. Agregated cites: 21		paper
2019Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2020Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications.(2020) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2020Nonzero-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 nother version. Agregated cites: 21		article
2018Additive energy forward curves in a Heath-Jarrow-Morton framework In: Papers.
[Full Text][Citation analysis]		paper11
2017On the Singular Control of Exchange Rates In: Papers.
[Full Text][Citation analysis]		paper5
2018On the Singular Control of Exchange Rates.(2018) In: Center for Mathematical Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2020On the singular control of exchange rates.(2020) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 5		article
2018Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes In: Papers.
[Full Text][Citation analysis]		paper0
2019Pricing Reliability Options under different electricity prices regimes In: Papers.
[Full Text][Citation analysis]		paper11
2020Pricing reliability options under different electricity price regimes.(2020) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2019Optimal management of pumped hydroelectric production with state constrained optimal control In: Papers.
[Full Text][Citation analysis]		paper0
2021Optimal management of pumped hydroelectric production with state constrained optimal control.(2021) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 0		article
2019Capturing the power options smile by an additive two-factor model for overlapping futures prices In: Papers.
[Full Text][Citation analysis]		paper9
2019Capturing 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 nother version. Agregated cites: 9		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 nother version. Agregated cites: 9		article
2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem In: Papers.
[Full Text][Citation analysis]		paper2
2019Optimal 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 nother version. Agregated cites: 2		paper
2020Efficient representation of supply and demand curves on day-ahead electricity markets In: Papers.
[Full Text][Citation analysis]		paper2
Efficient representation of supply and demand curves on day-ahead electricity markets.() In: Journal of Energy Markets.
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This paper has nother version. Agregated cites: 2		article
2025Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities In: Papers.
[Full Text][Citation analysis]		paper0
2025Optimal energy storage management for self-consumption groups In: Papers.
[Full Text][Citation analysis]		paper0
2010Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes In: Economic Notes.
[Full Text][Citation analysis]		article1
2010Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes In: Economic Notes.
[Full Text][Citation analysis]		article1
2021Investing in electricity production under a reliability options scheme In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article4
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.
[Full Text][Citation analysis]		article14
2013Modeling and valuing make-up clauses in gas swing contracts In: Energy Economics.
[Full Text][Citation analysis]		article5
2019Mean-reverting no-arbitrage additive models for forward curves in energy markets In: Energy Economics.
[Full Text][Citation analysis]		article14
Optimal intraday power trading with a Gaussian additive process In: Journal of Energy Markets.
[Full Text][Citation analysis]		article0
2024Recent advances in mathematical methods for finance In: Annals of Operations Research.
[Full Text][Citation analysis]		article0
2010Optimal prepayment and default rules for mortgage-backed securities In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article3
2013Robustness for path-dependent volatility models In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2021Optimal installation of renewable electricity sources: the case of Italy In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article0
2014Pricing vulnerable claims in a Lévy-driven model In: Finance and Stochastics.
[Full Text][Citation analysis]		article7
1999Invariant measures for the Musiela equation with deterministic diffusion term In: Finance and Stochastics.
[Full Text][Citation analysis]		article8
2000Robustness of the Black-Scholes approach in the case of options on several assets In: Finance and Stochastics.
[Full Text][Citation analysis]		article6
2002Superreplication of European multiasset derivatives with bounded stochastic volatility In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article6
2006Shortfall risk minimising strategies in the binomial model: characterisation and convergence In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article5
2020Variables Reduction in Sequential Resource Allocation Problems In: Research Paper Series.
[Full Text][Citation analysis]		paper0

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