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 0 0 1 28 1 2 27 63
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 0 2 0 0 16 35
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 0 16 0 0 20 54
Efficient representation of supply and demand curves on day-ahead electricity markets 0 0 0 26 0 0 4 26
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications 0 0 0 0 0 2 12 30
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 0 1 1 14 19
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 12 0 3 17 49
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 17 1 3 15 54
On the Singular Control of Exchange Rates 0 0 0 12 0 0 6 34
On the Singular Control of Exchange Rates 0 1 1 20 0 2 14 42
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem 0 0 0 9 0 2 8 30
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem 0 0 0 14 0 0 8 21
Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities 0 0 3 16 0 0 16 29
Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes 0 0 1 23 0 2 13 82
Optimal energy storage management for self-consumption groups 0 0 0 0 0 2 23 25
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem 0 0 0 12 0 1 11 50
Optimal management of pumped hydroelectric production with state constrained optimal control 0 0 0 1 0 0 3 15
Pricing Reliability Options under different electricity prices' regimes 0 0 1 21 0 0 19 86
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 10 2 2 11 45
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 10 0 1 7 28
Variables Reduction in Sequential Resource Allocation Problems 0 0 0 7 0 0 9 25
Total Working Papers 0 1 7 256 5 23 273 842

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 0 7 1 4 15 39
Efficient representation of supply and demand curves on day-ahead electricity markets 0 0 2 2 0 0 13 14
Invariant measures for the Musiela equation with deterministic diffusion term 0 0 0 146 0 0 7 684
Investing in electricity production under a reliability options scheme 0 0 0 1 1 3 9 19
Mean-reverting no-arbitrage additive models for forward curves in energy markets 0 0 1 18 4 5 21 67
Modeling and valuing make-up clauses in gas swing contracts 0 0 0 15 0 1 16 137
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications 0 0 0 3 0 0 12 27
On the singular control of exchange rates 0 1 1 11 1 2 8 42
Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes 0 1 2 6 0 2 22 45
Optimal installation of renewable electricity sources: the case of Italy 0 0 0 5 1 1 8 37
Optimal intraday power trading with a Gaussian additive process 0 0 3 3 2 2 10 10
Optimal management of pumped hydroelectric production with state constrained optimal control 0 0 0 2 0 0 5 17
Optimal prepayment and default rules for mortgage-backed securities 0 0 0 12 0 1 4 66
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions 0 0 2 7 0 0 10 36
Pricing reliability options under different electricity price regimes 0 0 0 13 0 1 14 47
Pricing vulnerable claims in a Lévy-driven model 0 0 0 6 0 0 11 54
Recent advances in mathematical methods for finance 0 0 4 7 0 0 10 17
Robustness for path-dependent volatility models 0 0 0 1 0 0 7 41
Robustness of the Black-Scholes approach in the case of options on several assets 0 0 0 259 1 1 13 1,003
Shortfall risk minimising strategies in the binomial model: characterisation and convergence 0 0 0 1 0 0 8 25
Superreplication of European multiasset derivatives with bounded stochastic volatility 0 0 1 2 0 1 7 16
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 2 1 2 13 40
Total Journal Articles 0 2 16 529 12 26 243 2,483
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Statistics updated 2026-08-07