Access Statistics for Tiziano Vargiolu

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Additive energy forward curves in a Heath-Jarrow-Morton framework 1 1 1 28 7 11 20 56
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 0 2 8 10 12 29
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 1 16 6 9 12 45
Efficient representation of supply and demand curves on day-ahead electricity markets 0 0 0 26 1 1 4 23
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications 0 0 0 0 1 3 7 24
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 17 2 4 8 47
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 12 4 6 13 40
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 0 2 5 8 12
On the Singular Control of Exchange Rates 0 0 1 12 2 4 5 32
On the Singular Control of Exchange Rates 0 0 1 19 4 5 7 33
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem 0 0 0 14 2 2 3 15
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem 0 0 0 9 3 5 5 27
Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities 0 0 2 15 3 6 13 24
Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes 1 1 1 23 4 6 8 77
Optimal energy storage management for self-consumption groups 0 0 0 0 2 10 15 15
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem 0 0 0 12 3 5 7 45
Optimal management of pumped hydroelectric production with state constrained optimal control 0 0 0 1 1 1 4 15
Pricing Reliability Options under different electricity prices' regimes 0 0 0 20 5 10 11 78
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 10 0 2 7 24
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 10 4 6 8 40
Variables Reduction in Sequential Resource Allocation Problems 0 0 0 7 2 5 7 22
Total Working Papers 2 2 7 253 66 116 184 723

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 1 7 2 4 6 29
Efficient representation of supply and demand curves on day-ahead electricity markets 0 1 1 1 4 6 10 10
Invariant measures for the Musiela equation with deterministic diffusion term 0 0 0 146 1 2 3 680
Investing in electricity production under a reliability options scheme 0 0 0 1 5 5 6 15
Mean-reverting no-arbitrage additive models for forward curves in energy markets 0 0 2 17 4 7 17 54
Modeling and valuing make-up clauses in gas swing contracts 0 0 0 15 4 6 8 129
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications 0 0 0 3 1 7 8 22
On the singular control of exchange rates 0 0 0 10 2 4 10 39
Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes 0 0 1 5 2 11 19 40
Optimal installation of renewable electricity sources: the case of Italy 0 0 0 5 2 3 6 34
Optimal intraday power trading with a Gaussian additive process 2 3 3 3 5 6 7 7
Optimal management of pumped hydroelectric production with state constrained optimal control 0 0 0 2 2 3 5 17
Optimal prepayment and default rules for mortgage-backed securities 0 0 0 12 0 1 2 63
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions 0 0 2 7 1 2 7 32
Pricing reliability options under different electricity price regimes 0 0 1 13 3 6 8 39
Pricing vulnerable claims in a Lévy-driven model 0 0 0 6 4 5 6 49
Recent advances in mathematical methods for finance 0 2 5 7 1 4 7 13
Robustness for path-dependent volatility models 0 0 0 1 1 2 5 39
Robustness of the Black-Scholes approach in the case of options on several assets 0 0 0 259 3 6 9 997
Shortfall risk minimising strategies in the binomial model: characterisation and convergence 0 0 0 1 1 4 5 22
Superreplication of European multiasset derivatives with bounded stochastic volatility 0 1 1 2 1 2 2 11
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 2 6 8 8 35
Total Journal Articles 2 7 17 525 55 104 164 2,376
1 registered items for which data could not be found
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Statistics updated 2026-02-12