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 22 0 0 3 19
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 2 11 1 5 16 19
Capturing the power options smile by an additive two-factor model for overlapping futures prices 0 0 0 2 1 2 7 11
Efficient representation of supply and demand curves on day-ahead electricity markets 0 0 21 21 0 1 11 11
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications 0 0 0 0 0 4 6 15
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 10 0 2 8 15
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications 0 0 0 15 2 3 5 29
On the Singular Control of Exchange Rates 0 1 2 10 0 3 10 17
On the Singular Control of Exchange Rates 0 0 0 17 0 0 2 20
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem 0 0 0 12 0 0 4 5
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem 0 0 1 9 2 2 6 6
Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes 0 0 0 21 1 2 42 59
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem 0 0 1 11 0 0 4 35
Optimal management of pumped hydroelectric production with state constrained optimal control 0 0 0 0 0 0 1 4
Pricing Reliability Options under different electricity prices' regimes 2 2 5 11 5 9 19 29
Utility indifference pricing and hedging for structured contracts in energy markets 0 1 1 10 2 3 4 14
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 0 10 0 0 0 30
Variables Reduction in Sequential Resource Allocation Problems 1 2 3 3 2 4 6 6
Total Working Papers 3 6 37 195 16 40 154 344


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Invariant measures for the Musiela equation with deterministic diffusion term 0 0 0 146 1 1 1 673
Mean-reverting no-arbitrage additive models for forward curves in energy markets 1 1 2 2 1 2 6 9
Modeling and valuing make-up clauses in gas swing contracts 0 0 2 13 0 5 14 101
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications 0 0 0 0 0 0 1 1
On the singular control of exchange rates 0 1 1 1 3 7 8 8
Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes 0 0 0 0 0 0 1 1
Optimal prepayment and default rules for mortgage-backed securities 0 0 0 12 1 1 5 57
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions 0 0 0 0 0 1 1 1
Pricing reliability options under different electricity price regimes 0 0 3 3 1 1 7 7
Pricing vulnerable claims in a Lévy-driven model 0 0 0 4 0 1 5 39
Robustness for path-dependent volatility models 0 0 0 1 1 1 1 31
Robustness of the Black-Scholes approach in the case of options on several assets 0 0 0 259 0 0 2 984
Shortfall risk minimising strategies in the binomial model: characterisation and convergence 0 0 0 0 0 0 1 13
Superreplication of European multiasset derivatives with bounded stochastic volatility 0 0 0 0 0 0 0 8
Utility indifference pricing and hedging for structured contracts in energy markets 0 0 1 1 1 1 6 20
Total Journal Articles 1 2 9 442 9 21 59 1,953


Statistics updated 2021-01-03