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Tiziano Vargiolu

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Personal Details

First Name: Tiziano
Middle Name:
Last Name: Vargiolu
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RePEc Short-ID: pva1

Email:
Homepage: http://www.math.unipd.it/~vargiolu/home/tiziano.html
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Affiliation

Universita' di Padova, Dipartimento di Matematica (University of Padova, Department of Mathematics)
Homepage: http://www.math.unipd.it
Location: Padova, Italy

Works

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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, arXiv.org.
  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, arXiv.org.

Articles

  1. Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013. "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer, vol. 36(2), pages 137-167, November.
  2. Edoli, Enrico & Fiorenzani, Stefano & Ravelli, Samuele & Vargiolu, Tiziano, 2013. "Modeling and valuing make-up clauses in gas swing contracts," Energy Economics, Elsevier, vol. 35(C), pages 58-73.
  3. Giulia De Rossi & Tiziano Vargiolu, 2010. "Optimal prepayment and default rules for mortgage-backed securities," Decisions in Economics and Finance, Springer, vol. 33(1), pages 23-47, May.
  4. 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, vol. 39(s1), pages 65-90, 02.
  5. Gino Favero & Tiziano Vargiolu, 2006. "Shortfall risk minimising strategies in the binomial model: characterisation and convergence," Computational Statistics, 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, vol. 4(3), pages 325-341.
  7. Tiziano Vargiolu, 1999. "Invariant measures for the Musiela equation with deterministic diffusion term," Finance and Stochastics, 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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