Tiziano Vargiolu

Department of Mathematics

Prof.

Italy

SCHOLARLY PAPERS

12

DOWNLOADS

812

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (12)

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, CREST, ENSAE, Institut Polytechnique de Paris, ICMA Center | Henley Business School | University of Reading and Department of Mathematics
Downloads 386 (96,103)
Citation 1

Abstract:

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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 181 (206,732)
Citation 3

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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 87 (356,324)

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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 78 (380,119)

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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
CREST, ENSAE, Institut Polytechnique de Paris and Department of Mathematics
Downloads 36 (538,671)

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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 CY Cergy Paris Université
Downloads 21 (629,664)

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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), CREST, ENSAE, Institut Polytechnique de Paris, University of Padova - Department of Economics and Management "Marco Fanno" and Department of Mathematics
Downloads 17 (658,180)
Citation 1

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pricing; reliability option; option value; electricity markets

8.

Efficient Representation of Supply and Demand Curves on Day-Ahead Electricity Markets

Journal of Energy Markets, Vol. 14, No. 1, 2021
Number of pages: 28 Posted: 04 May 2021
Mariia Soloviova and Tiziano Vargiolu
University of Padua and Department of Mathematics
Downloads 2 (776,084)
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day-ahead electricity market; functional data analysis; radial basis function; electricity supply and demand curves; electricity price forecasting.

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 2 (776,084)
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.

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 (776,084)
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11.

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

12.

Invariant Measures for the Musiela Equation with Deterministic Diffusion Term

Posted: 25 Oct 1999
Tiziano Vargiolu
Department of Mathematics

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