Details about Tiziano Vargiolu

Access statistics for papers by Tiziano Vargiolu.

Last updated 2023-12-06. Update your information in the RePEc Author Service.

Short-id: pva1

Working Papers

2025

1. Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities
   Papers, arXiv.org

2020

2. Efficient representation of supply and demand curves on day-ahead electricity markets
   Papers, arXiv.org View citations (2)
3. Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (14)
   Also in Post-Print, HAL (2020) View citations (7)
   Papers, arXiv.org (2018) View citations (6)
   Post-Print, HAL (2019) View citations (7)
   See also Journal Article Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications, Mathematics of Operations Research, INFORMS (2020) View citations (10) (2020)
4. Variables Reduction in Sequential Resource Allocation Problems
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2019

5. Capturing the power options smile by an additive two-factor model for overlapping futures prices
   Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University
   Also in Papers, arXiv.org (2019) View citations (4)
   See also Journal Article Capturing the power options smile by an additive two-factor model for overlapping futures prices, Energy Economics, Elsevier (2021) View citations (7) (2021)
6. Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem
   Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University View citations (2)
   Also in Papers, arXiv.org (2019) View citations (2)
7. Optimal management of pumped hydroelectric production with state constrained optimal control
   Papers, arXiv.org
   See also Journal Article Optimal management of pumped hydroelectric production with state constrained optimal control, Journal of Economic Dynamics and Control, Elsevier (2021) (2021)
8. Pricing Reliability Options under different electricity prices' regimes
   Papers, arXiv.org View citations (1)
   See also Journal Article Pricing reliability options under different electricity price regimes, Energy Economics, Elsevier (2020) View citations (10) (2020)

2018

9. Additive energy forward curves in a Heath-Jarrow-Morton framework
   Papers, arXiv.org View citations (14)
10. On the Singular Control of Exchange Rates
    Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University
    Also in Papers, arXiv.org (2017)
    See also Journal Article On the singular control of exchange rates, Annals of Operations Research, Springer (2020) View citations (1) (2020)
11. Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes
    Papers, arXiv.org

2017

12. Utility indifference pricing and hedging for structured contracts in energy markets
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
    Also in Papers, arXiv.org (2016)
    See also Journal Article Utility indifference pricing and hedging for structured contracts in energy markets, Mathematical Methods of Operations Research, Springer (2017) View citations (4) (2017)

2013

13. Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
    Papers, arXiv.org View citations (5)

Journal Articles

2024

1. Recent advances in mathematical methods for finance
   Annals of Operations Research, 2024, 336, (1), 1-2

2021

2. Capturing the power options smile by an additive two-factor model for overlapping futures prices
   Energy Economics, 2021, 95, (C) View citations (7)
   See also Working Paper Capturing the power options smile by an additive two-factor model for overlapping futures prices, Center for Mathematical Economics Working Papers (2019) (2019)
3. Investing in electricity production under a reliability options scheme
   Journal of Economic Dynamics and Control, 2021, 126, (C) View citations (1)
4. Optimal installation of renewable electricity sources: the case of Italy
   Decisions in Economics and Finance, 2021, 44, (2), 1179-1209
5. Optimal management of pumped hydroelectric production with state constrained optimal control
   Journal of Economic Dynamics and Control, 2021, 126, (C)
   See also Working Paper Optimal management of pumped hydroelectric production with state constrained optimal control, Papers (2019) (2019)

2020

6. Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications
   Mathematics of Operations Research, 2020, 45, (1), 205–232 View citations (10)
   See also Working Paper Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications, LSE Research Online Documents on Economics (2020) View citations (14) (2020)
7. On the singular control of exchange rates
   Annals of Operations Research, 2020, 292, (2), 795-832 View citations (1)
   See also Working Paper On the Singular Control of Exchange Rates, Center for Mathematical Economics Working Papers (2018) (2018)
8. Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
   European Journal of Operational Research, 2020, 280, (1), 383-394 View citations (12)
9. Pricing reliability options under different electricity price regimes
   Energy Economics, 2020, 87, (C) View citations (10)
   See also Working Paper Pricing Reliability Options under different electricity prices' regimes, Papers (2019) View citations (1) (2019)

2019

10. Mean-reverting no-arbitrage additive models for forward curves in energy markets
    Energy Economics, 2019, 79, (C), 157-170 View citations (15)

2017

11. Utility indifference pricing and hedging for structured contracts in energy markets
    Mathematical Methods of Operations Research, 2017, 85, (2), 265-303 View citations (4)
    See also Working Paper Utility indifference pricing and hedging for structured contracts in energy markets, LSE Research Online Documents on Economics (2017) View citations (4) (2017)

2014

12. Pricing vulnerable claims in a Lévy-driven model
    Finance and Stochastics, 2014, 18, (4), 755-789 View citations (7)

2013

13. Modeling and valuing make-up clauses in gas swing contracts
    Energy Economics, 2013, 35, (C), 58-73 View citations (6)
14. Robustness for path-dependent volatility models
    Decisions in Economics and Finance, 2013, 36, (2), 137-167

2010

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

2006

17. Shortfall risk minimising strategies in the binomial model: characterisation and convergence
    Mathematical Methods of Operations Research, 2006, 64, (2), 237-253 View citations (5)

2002

18. Superreplication of European multiasset derivatives with bounded stochastic volatility
    Mathematical Methods of Operations Research, 2002, 55, (1), 69-91 View citations (6)

2000

19. Robustness of the Black-Scholes approach in the case of options on several assets
    Finance and Stochastics, 2000, 4, (3), 325-341 View citations (6)

1999

20. Invariant measures for the Musiela equation with deterministic diffusion term
    Finance and Stochastics, 1999, 3, (4), 483-492 View citations (8)