Tiziano De Angelis

University of Manchester

Research Associate

Oxford Rd. M13 9PL

Manchester

United Kingdom

  • University of Manchester

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 37,939

SSRN RANKINGS

Top 37,939

in Total Papers Downloads

2,816

TOTAL CITATIONS
Rank 31,060

SSRN RANKINGS

Top 31,060

in Total Papers Citations

25

Scholarly Papers (6)

Actions:
Email selected abstracts
1.

Climate Impact Investing

Number of pages: 77 Posted: 13 Apr 2020 Last Revised: 01 Jul 2021
Tiziano De Angelis, Peter Tankov and Olivier David Zerbib
University of Manchester, ENSAE, Institut Polytechnique de Paris and CREST, ENSAE, Institut Polytechnique de Paris
Downloads 2,519 (11,914)
Citation 19

Abstract:

Loading...

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 87 (609,794)

Abstract:

Loading...

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
Downloads 58 (757,580)
Citation 1

Abstract:

Loading...

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

4.

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 58 (757,580)
Citation 5

Abstract:

Loading...

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

5.

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
Downloads 54 (783,671)

Abstract:

Loading...

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

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 Khalifa University
Downloads 40 (892,268)

Abstract:

Loading...