Publications of Tiziano Vargiolu

List of Publications

1. M. Rosestolato, T. Vargiolu, G. Villani, Robustness for path-dependent volatility models
   Decisions in Economics and Finance, to appear
   file PDF

2. E. Edoli, S. Fiorenzani, S. Ravelli and T. Vargiolu, Modeling and valuing make-up clauses in gas swing contracts
   Energy Economics, to appear
   file PDF

3. L. Pasin, T. Vargiolu, Optimal portfolio for HARA utility functions where risky assets are exponential additive processes
   Economic Notes 39 (1/2), 65 - 90, 2010
   file PDF

4. G. De Rossi, T. Vargiolu, Optimal prepayment and default rules for mortgage-backed securities
   Decisions in Economics and Finance 33 (1), 23 - 47, 2010
   file PDF

5. G. Callegaro, T. Vargiolu, Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market.
   In International Journal of Risk Assessment and Management - Special Issue on Measuring and Managing Financial Risk, 11 (1/2), 180 - 200, 2009
   file PDF

6. V. Blaka Hallulli, T. Vargiolu, Robustness of the Hobson-Rogers model with respect to the offset function.
   In Proceedings of the Ascona '05 Seminar on Stochastic Analysis, Random Fields and Applications 469 - 492, R. C. Dalang, M. Dozzi, F. Russo, editors, Birkhäuser 2007
   files LaTeX (57k), DVI (93k), Postscript (242k), and PDF (242k)

7. G. Favero, T. Vargiolu, Shortfall risk minimising strategies in the binomial model: characterisation and convergence
   Mathematical Methods of Operations Research 64 (2), 237 - 253, 2006,
   files LaTeX (70k), DVI (103k), Postscript (285k), and PDF (275k)

8. V. Blaka Hallulli, T. Vargiolu, Financial models with dependence on the past: a survey.
   In Applied and Industrial Mathematics in Italy 348 - 359, M. Primicerio, R. Spigler, V. Valente, editors, Series on Advances in Mathematics for Applied Sciences - Vol. 69, World Scientific 2005
   files LaTeX (31k), DVI (45k), Postscript (187k), and PDF (177k)

9. S. Romagnoli, T. Vargiolu, Pricing and hedging of a general kind of multiasset option
   Statistica LXIII (1), 1 - 23, 2003
   files DVI (46k), Postscript (176k), and PDF (191k)

10. C. Scagnellato, T. Vargiolu, Explicit solutions for shortfall risk minimization in multinomial models
    Decisions in Economics and Finance 25 (2), 145 - 155, 2002
    files DVI (46k), Postscript (176k), and PDF (191k)

11. A. Altieri, T. Vargiolu, Optimal default boundary in discrete time models
    Rendiconti per gli Studi Economici Quantitativi of the University of Venice 2001, 1 - 20, 2002
    files LaTeX (45k), DVI (67k), Postscript (225k), and PDF (211k)

12. F. Gozzi, T. Vargiolu, Superreplication of European multiasset derivatives with bounded stochastic volatility
    Mathematical Methods of Operations Research 55 (1), 69 - 91, 2002
    files LaTeX (67k), DVI (96k), Postscript (320k), and PDF (287k)
    

13. F. Gozzi, T. Vargiolu, On the superreplication approach for European interest rates derivatives.
    In Proceedings of the Ascona '99 Seminar on Stochastic Analysis, Random Fields and Applications 173 - 188, R. C. Dalang, M. Dozzi, F. Russo, editors, Progress in Probability 52, Birkhäuser 2002
    files LaTeX (47k), DVI (62k), Postscript (230k), and PDF (214k)

14. W. Runggaldier, B. Trivellato and T. Vargiolu, A Bayesian adaptive control approach to risk management in a binomial model.
    In Proceedings of the Ascona '99 Seminar on Stochastic Analysis, Random Fields and Applications 243 - 258, R. C. Dalang, M. Dozzi, F. Russo, editors, Progress in Probability 52, Birkhäuser 2002
    files DVI (67k), Postscript (235k), and PDF (218k)

15. A. Altieri, T. Vargiolu, Optimal default boundary in a discrete time setting.
    In Mathematical Finance 49 - 58, M. Kohlmann and S. Tang, editors, Trends in Mathematics, Birkhäuser 2001
    files DVI (38k), Postscript (159k), and PDF (177k)

16. S. Romagnoli, T. Vargiolu, Robustness of the Black-Scholes approach in the case of options on several assets
    Finance and Stochastics 4 (3), 325 - 341, 2000
    files DVI (73k), Postscript (222k), and PDF (235k)

17. T. Vargiolu, Invariant measures for the Musiela equation with deterministic diffusion term
    Finance and Stochastics 3 (4), 483 - 492, 1999
    files DVI (47k), Postscript (177k), and PDF (174k)

Recent Research Papers

1. F. Carassus, T. Vargiolu, Super-replication price for asset prices having bounded increments in discrete time (August 2010)
   original version in HAL - Hiper Articles en Ligne
   file PDF

2. M. Cucicea, T. Vargiolu, Weak convergence of shortfall risk minimizing portfolios (July 2004)
   original version: preprint n. 16 of the Department of Pure and Applied Mathematics of the University of Padova,
   files LaTeX (26k), DVI (40k), Postscript (187k), and PDF (199k)

3. G. De Silvestro, T. Vargiolu, Optimal design of derivatives in illiquid market: an alternative approach (December 2002)
   original version: preprint n. 17 of the Department of Pure and Applied Mathematics of the University of Padova,
   files LaTeX (81k), DVI (56k), Postscript (222k), and PDF (178k)

4. G. Favero, T. Vargiolu, Robustness of shortfall risk minimising strategies in the binomial model (October 2002)
   original version: preprint n. 14 of the Department of Pure and Applied Mathematics of the University of Padova,
   files LaTeX (70k), DVI (103k), Postscript (285k), and PDF (275k)

5. T. Vargiolu, Existence, uniqueness and smoothness for the Black-Scholes-Barenblatt equation (July 2001)
   original version: technical report of the Department of Pure and Applied Mathematics of the University of Padova,
   files LaTeX (54k), DVI (73k), Postscript (276k), and PDF (267k)

6. T. Vargiolu, Calibration of the Gaussian Musiela model using the Karhunen-Loeve expansion (February 1998)
   original version: preprint of the Scuola Normale Superiore of Pisa,
   files LaTeX (43k), DVI (64k), Postscript (232k), and PDF (210k)
   AMASES prize 1998
   appeared in the Atti del XXII Convegno AMASES, 1998

7. S. Romagnoli, T. Vargiolu, Pricing and hedging of the currency multiple option on the maximum of several bonds (May 1997)
   original version: preprint of the Scuola Normale Superiore of Pisa,
   files LaTex (35k), DVI (56k), Postscript (209k), and PDF (214k)
   appeared in the Atti del XXII Convegno AMASES, 1998

8. T. Vargiolu, Invariant measures for a Langevin equation describing forward rates in an arbitrage free market (April 1996)
   original version: preprint of the Scuola Normale Superiore of Pisa,
   files LaTeX (81k), DVI (142k), Postscript (379k), and PDF (291k)
   appeared in Finance and Stochastics 3 (4), 1999, with the title Invariant measures for the Musiela equation with deterministic diffusion term

Back to Tiziano Vargiolu's Homepage