Tiziano De Angelis

University of Manchester

Research Associate

Oxford Rd. M13 9PL

Manchester

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

705

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Environmental Impact Investing

Number of pages: 60 Posted: 13 Apr 2020 Last Revised: 14 Jul 2020
Tiziano De Angelis, Peter Tankov and Olivier David Zerbib
University of Manchester, ENSAE Paris and Tilburg University - Tilburg University School of Economics and Management
Downloads 569 (55,265)
Citation 2

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Environmental finance, socially responsible investing, ESG, impact investing

2.

On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment

Institute of Mathematical Economics Working Paper No. 509
Number of pages: 41 Posted: 26 Jun 2014 Last Revised: 05 Dec 2014
Tiziano De Angelis, Salvatore Federico and Giorgio Ferrari
University of Manchester, University of Milan and Bielefeld University - Center for Mathematical Economics
Downloads 41 (479,470)

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irreversible investment, singular stochastic control, optimal stopping, free-boundary problems, nonlinear integral equations

3.

A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries

Institute of Mathematical Economics Working Paper No. 508
Number of pages: 25 Posted: 11 May 2014 Last Revised: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London - School of Mathematical Sciences
Downloads 33 (517,034)
Citation 1

Abstract:

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fi nite-fuel singular stochastic control, optimal stopping, free-boundary, smooth-fit, Hamilton-Jacobi-Bellman equation, irreversible investment

4.

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs

Center for Mathematical Economics Working Paper No. 531
Number of pages: 28 Posted: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London - School of Mathematical Sciences
Downloads 29 (538,201)

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finite-fuel singular stochastic control, optimal stopping, free boundary, Hamilton-Jacobi-Bellmann equation, irreversible investment, electricity market

5.

A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis

Institute of Mathematical Economics Working Paper No. 477
Number of pages: 42 Posted: 08 Sep 2013 Last Revised: 29 Nov 2013
Tiziano De Angelis and Giorgio Ferrari
University of Manchester and Bielefeld University - Center for Mathematical Economics
Downloads 26 (555,670)
Citation 2

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reversible investment, singular stochastic control, zero-sum optimal stopping games, free boundary problems, Skorokhod reflection problem

6.

On the Optimal Exercise Boundaries of Swing Put Options

Forthcoming in Mathematics of Operational Research
Number of pages: 30 Posted: 19 Jul 2017
Tiziano De Angelis and Yerkin Kitapbayev
University of Manchester and North Carolina State University
Downloads 7 (685,800)

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