7
H index
4
i10 index
115
Citations
Tiziano Vargiolu : Citation Profile
| RESEARCH PRODUCTION: 20 Articles 20 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1999 - 2023). 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 |
| Decisions in Economics and Finance | 3 |
| Mathematical Methods of Operations Research | 3 |
| Economic Notes | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 12 |
| Center for Mathematical Economics Working Papers / Center for Mathematical Economics, Bielefeld University | 3 |
| Post-Print / HAL | 2 |
Recent works citing Tiziano Vargiolu (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 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 |
| 2023 | A review of the operations literature on real options in energy. (2023). Secomandi, Nicola ; Nadarajah, Selvaprabu. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:2:p:469-487. Full description at Econpapers || Download paper |
| 2023 | Green investment and asset stranding under transition scenario uncertainty. (2023). Tankov, Peter ; Flora, Maria. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002712. Full description at Econpapers || Download paper |
| 2024 | Reliability options: Regulatory recommendations for the next generation of capacity remuneration mechanisms. (2024). Rivier, Michel ; Rodilla, Pablo ; Mastropietro, Paolo ; Batlle, Carlos. In: Energy Policy. RePEc:eee:enepol:v:185:y:2024:i:c:s030142152300544x. Full description at Econpapers || Download paper |
| 2024 | Generation side strategy and user side cost based on equilibrium analysis of the power market under the reliability option. (2024). Zhou, Yun ; Feng, Donghan ; Xu, Shaolun. In: Energy. RePEc:eee:energy:v:287:y:2024:i:c:s0360544223031158. Full description at Econpapers || Download paper |
| 2024 | The new bond on the block — Designing a carbon-linked bond for sustainable investment projects. (2024). Schreiter, Maximilian ; Fehrenkotter, Rieke ; Dahlen, Niklas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:316-325. 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 |
| 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 |
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 | 1 |
| 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 nother version. Agregated cites: 1 | 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 nother version. Agregated cites: 1 | 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 | 8 |
| 2020 | Pricing reliability options under different electricity price regimes.(2020) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | 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 nother 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 | 7 |
| 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 nother version. Agregated cites: 7 | 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 nother version. Agregated cites: 7 | 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 nother 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 |
| 2023 | Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities 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 |
| 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 | 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 | 11 |
| 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 | 10 |
| 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 | 8 |
| 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. Last updated November, 3 2024. Contact: CitEc Team