Tiziano Vargiolu

University of Padua - Department of Pure and Applied Mathematics

Via Belzoni 7

Padova, 35100

ITALY

SCHOLARLY PAPERS

6

DOWNLOADS

293

CITATIONS

1

Scholarly Papers (6)

1.

Pricing Vulnerable Claims in a Lévy Driven Model

Finance and Stochastics, Forthcoming
Number of pages: 45 Posted: 18 Nov 2012 Last Revised: 15 Feb 2014
Agostino Capponi, Stefano Pagliarani and Tiziano Vargiolu
Columbia University, DEAMS, Università di Trieste and University of Padua - Department of Pure and Applied Mathematics
Downloads 127 (155,102)
Citation 1

Abstract:

default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function

2.

Portfolio Optimization in a Defaultable Lévy Driven Market Model

Number of pages: 40 Posted: 29 May 2014
Stefano Pagliarani and Tiziano Vargiolu
DEAMS, Università di Trieste and University of Padua - Department of Pure and Applied Mathematics
Downloads 67 (253,898)

Abstract:

default, additive processes, logarithmic utility, consumption, terminal wealth, contagion, portfolio optimization, growth-optimal portfolio, HJB, linear programming, verification theorem

3.

The Right Time to Enter

Number of pages: 15 Posted: 11 May 2014
Canella Francesco, Enrico Edoli and Tiziano Vargiolu
DIAMAN SCF Srl, Independent and University of Padua - Department of Pure and Applied Mathematics
Downloads 42 (313,167)

Abstract:

exponential Ornstein-Uhlenbeck model, drawdown, timing, mean-reverting process.

4.

Optimal Portfolio for CRRA Utility Functions When Risky Assets are Exponential Additive Processes

Economic Notes, Vol. 39, Issue 1-2, pp. 65-90, February / July 2010
Number of pages: 26 Posted: 01 Nov 2010
Tiziano Vargiolu and Laura Pasin
University of Padua - Department of Pure and Applied Mathematics and affiliation not provided to SSRN
Downloads 2 (530,777)

Abstract:

5.

Robustness of the Black-Scholes Approach in the Case of Options on Several Assets

Finance and Stochastics, Vol. 4, No. 3, 2000
Posted: 22 Aug 2000
Silvia Romagnoli and Tiziano Vargiolu
University of Bologna - Department of Statistics and University of Padua - Department of Pure and Applied Mathematics

Abstract:

stochastic volatility, superreplication, stochastic optimal control, Hamilton-Jacobi-Bellman

6.

Invariant Measures for the Musiela Equation with Deterministic Diffusion Term

Finance and Stochastics, Vol. 3, Iss. 4, August 1999
Posted: 25 Oct 1999
Tiziano Vargiolu
University of Padua - Department of Pure and Applied Mathematics

Abstract: