Tiziano Vargiolu
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Invariant measures for the Musiela equation with deterministic diffusion term
T Vargiolu
Finance and Stochastics 3 (4), 483-492, 1999
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
R Aïd, M Basei, G Callegaro, L Campi, T Vargiolu
Mathematics of Operations Research 45 (1), 205-232, 2020
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
M Flora, T Vargiolu
European Journal of Operational Research 280 (1), 383-394, 2020
Robustness of the Black-Scholes approach in the case of options on several assets
S Romagnoli, T Vargiolu
Finance and Stochastics 4, 325-341, 2000
Superreplication of European multiasset derivatives with bounded stochastic volatility
F Gozzi, T Vargiolu
Mathematical Methods of Operations Research 55, 69-91, 2002
Mean-reverting no-arbitrage additive models for forward curves in energy markets
L Latini, M Piccirilli, T Vargiolu
Energy Economics 79, 157-170, 2019
A Bayesian adaptive control approach to risk management in a binomial model
W Runggaldier, B Trivellato, T Vargiolu
Seminar on Stochastic Analysis, Random Fields and Applications III: Centro …, 2002
Pricing reliability options under different electricity price regimes
L Andreis, M Flora, F Fontini, T Vargiolu
Energy Economics 87, 104705, 2020
Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework
FE Benth, M Piccirilli, T Vargiolu
Mathematics and Financial Economics 13 (4), 543-577, 2019
Modeling and valuing make-up clauses in gas swing contracts
E Edoli, S Fiorenzani, S Ravelli, T Vargiolu
Energy Economics 35, 58-73, 2013
Existence, uniqueness and smoothness for the Black-Scholes-Barenblatt equation
T Vargiolu
Universita di Padova, Department of Pure and Applied Mathematics, Rapporto …, 2001
Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market
G Callegaro, T Vargiolu
International Journal of Risk Assessment and Management 11 (1-2), 180-200, 2009
Optimal portfolio for CRRA utility functions when risky assets are exponential additive processes
L Pasin, T Vargiolu
Economic Notes 39 (1‐2), 65-90, 2010
Explicit solutions for shortfall risk minimization in multinomial models
T Vargiolu
Journal of Economic Literature 91, 93C55, 2002
Optimal cross-border electricity trading
Á Cartea, M Flora, T Vargiolu, G Slavov
SIAM Journal on Financial Mathematics 13 (1), 262-294, 2022
Optimal portfolio in a regime-switching model
ARL Valdez, T Vargiolu
Seminar on Stochastic Analysis, Random Fields and Applications VII: Centro …, 2013
Super-replication price: it can be ok
L Carassus, T Vargiolu
ESAIM: proceedings and surveys 64, 54-64, 2018
Pricing vulnerable claims in a Lévy-driven model
A Capponi, S Pagliarani, T Vargiolu
Finance and Stochastics 18, 755-789, 2014
Optimization methods for gas and power markets: Theory and cases
E Edoli, S Fiorenzani, T Vargiolu
Palgrave Macmillan, 2016
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
M Basei, A Cesaroni, T Vargiolu
SIAM Journal on Financial Mathematics 5 (1), 581-608, 2014
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