Details about Tiziano Vargiolu

Access statistics for papers by Tiziano Vargiolu.

Last updated 2013-06-07. Update your information in the RePEc Author Service.

Short-id: pva1

Journal Articles

2013

1. Modeling and valuing make-up clauses in gas swing contracts
   Energy Economics, 2013, 35, (C), 58-73 View citations (1)

2010

2. Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes
   Economic Notes, 2010, 39, (s1), 65-90
3. Optimal prepayment and default rules for mortgage-backed securities
   Decisions in Economics and Finance, 2010, 33, (1), 23-47

2000

4. Robustness of the Black-Scholes approach in the case of options on several assets
   Finance and Stochastics, 2000, 4, (3), 325-341 View citations (2)

1999

5. Invariant measures for the Musiela equation with deterministic diffusion term
   Finance and Stochastics, 1999, 3, (4), 483-492 View citations (1)