Tiziano Vargiolu

Department of Mathematics

Prof.

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

636

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (11)

1.

Optimal Cross-Border Electricity Trading

Number of pages: 48 Posted: 23 Dec 2019 Last Revised: 19 Feb 2020
Álvaro Cartea, Maria Flora, Georgi Slavov and Tiziano Vargiolu
University of Oxford, University of Verona - Department of Economics, ICMA Center | Henley Business School | University of Reading and Department of Mathematics
Downloads 257 (130,576)

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stochastic optimal control, electricity interconnector, co-integration, cross-border price impact, electricity network

2.

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 Department of Mathematics
Downloads 175 (187,494)
Citation 2

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

3.

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 Department of Mathematics
Downloads 86 (318,298)

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

4.

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 Department of Mathematics
Downloads 64 (375,981)

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

5.

Price Dynamics in the EU ETS and Evaluation of Its Ability to Boost Emission-Related Investment Decisions

Number of pages: 28 Posted: 13 Dec 2017
Maria Flora and Tiziano Vargiolu
University of Verona - Department of Economics and Department of Mathematics
Downloads 28 (519,313)

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EU ETS, real options, carbon trading

6.

Investing in Electricity Production Under a Reliability Options Scheme

Number of pages: 24 Posted: 16 Oct 2019
Fulvio Fontini, Tiziano Vargiolu and Dimitrios Zormpas
University of Padova - Department of Economics and Management "Marco Fanno", Department of Mathematics and University of Brescia
Downloads 12 (620,978)

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reliability options; electricity markets; investment analysis; real options

7.

Pricing Reliability Options Under Different Electricity Prices’ Regimes

Number of pages: 21 Posted: 23 Sep 2019
Luisa Andreis, Maria Flora, Fulvio Fontini and Tiziano Vargiolu
Weierstras Institute for Applied Analysis and Stochastics (WIAS), University of Verona - Department of Economics, University of Padova - Department of Economics and Management "Marco Fanno" and Department of Mathematics
Downloads 11 (627,888)
Citation 1

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pricing; reliability option; option value; electricity markets

8.

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
Department of Mathematics and affiliation not provided to SSRN
Downloads 2 (696,810)
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9.

Optimal Intraday Power Trading with a Gaussian Additive Process

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 08 Dec 2017
Enrico Edoli, Marco Gallana and Tiziano Vargiolu
Phinergy Srls, Phinergy Srls and Department of Mathematics
Downloads 1 (709,099)
Citation 1
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intraday (ID) electricity market, utility maximization, Hamilton–Jacobi–Bellman (HJB) equation, unevenly spaced observations, maximum likelihood (ML) estimation, bootstrap bias correction

10.

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

Posted: 22 Aug 2000
Silvia Romagnoli and Tiziano Vargiolu
University of Bologna - Department of Statistics and Department of Mathematics

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

11.

Invariant Measures for the Musiela Equation with Deterministic Diffusion Term

Posted: 25 Oct 1999
Tiziano Vargiolu
Department of Mathematics

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