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Tiziano Vargiolu


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Personal Details

First Name: Tiziano
Middle Name:
Last Name: Vargiolu

RePEc Short-ID: pva1

Postal Address:


Universita' di Padova, Dipartimento di Matematica (University of Padova, Department of Mathematics)
Location: Padova, Italy


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Working papers

  1. Giorgia Callegaro & Luciano Campi & Tiziano Vargiolu, 2014. "Utility indifference pricing and hedging for structured contracts in energy markets," Papers 1407.7725,, revised Sep 2014.
  2. M. Basei & A. Cesaroni & T. Vargiolu, 2013. "Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem," Papers 1307.1320,


  1. Edoli, Enrico & Fiorenzani, Stefano & Ravelli, Samuele & Vargiolu, Tiziano, 2013. "Modeling and valuing make-up clauses in gas swing contracts," Energy Economics, Elsevier, Elsevier, vol. 35(C), pages 58-73.
  2. Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013. "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer, Springer, vol. 36(2), pages 137-167, November.
  3. Laura Pasin & Tiziano Vargiolu, 2010. "Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes," Economic Notes, Banca Monte dei Paschi di Siena SpA, Banca Monte dei Paschi di Siena SpA, vol. 39(s1), pages 65-90, 02.
  4. Giulia De Rossi & Tiziano Vargiolu, 2010. "Optimal prepayment and default rules for mortgage-backed securities," Decisions in Economics and Finance, Springer, Springer, vol. 33(1), pages 23-47, May.
  5. Gino Favero & Tiziano Vargiolu, 2006. "Shortfall risk minimising strategies in the binomial model: characterisation and convergence," Computational Statistics, Springer, Springer, vol. 64(2), pages 237-253, October.
  6. Tiziano Vargiolu & Silvia Romagnoli, 2000. "Robustness of the Black-Scholes approach in the case of options on several assets," Finance and Stochastics, Springer, Springer, vol. 4(3), pages 325-341.
  7. Tiziano Vargiolu, 1999. "Invariant measures for the Musiela equation with deterministic diffusion term," Finance and Stochastics, Springer, Springer, vol. 3(4), pages 483-492.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ENE: Energy Economics (1) 2013-07-15. Author is listed
  2. NEP-UPT: Utility Models & Prospect Theory (1) 2014-08-09. Author is listed


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