Publications of Tiziano Vargiolu

List of Publications

  1. F. E. Benth, M. Piccirilli, T. Vargiolu, Mean-reverting additive energy forward curves in a Heath- Jarrow-Morton framework
    Mathematics and Financial Economics. In press, 2019
    file PDF

  2. R. Aid, M. Basei, G. Callegaro, L. Campi, T. Vargiolu, Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
    Mathematics of Operations Research. Accepted, 2019
    file PDF

  3. L. Latini, M. Piccirilli, T. Vargiolu, Mean-reverting no-arbitrage additive models for forward curves in energy markets
    Energy Economics 79, 157-170, 2019
    file PDF

  4. E. Edoli, M. Gallana, T. Vargiolu, Optimal intra-day power trading with a Gaussian additive process
    Journal of Energy Markets 10(4), 23-42, 2017
    file PDF

  5. G. Callegaro, L. Campi, V. Giusto, T. Vargiolu, Utility indifference pricing and hedging for structured contracts in energy markets
    Mathematical Methods of Operations Research 85(2), 265-303, 2017
    file PDF

  6. S. Pagliarani, T. Vargiolu, Portfolio optimization in a defaultable Levy driven market model
    OR Spectrum 37 (3), 617-654, 2015
    file PDF

  7. A. Capponi, S. Pagliarani, T. Vargiolu, Pricing vulnerable claims in a Levy driven model
    Finance and Stochastics 18 (4), 755 - 789, 2014
    file PDF

  8. M. Basei, A. Cesaroni, T. Vargiolu, Optimal exercise of swing contracts in energy marke- ts: an integral constrained optimal control problem
    SIAM Journal of Financial Mathematics 5 (1), 581 - 608, 2014
    file PDF

  9. E. Edoli, T. Vargiolu, Stochastic optimization for the pricing of structured contracts in energy markets
    Argo Magazine 2, 27 - 36, 2013
    file PDF

  10. E. Edoli, D. Tasinato, T. Vargiolu, Calibration of a multifactor model for the forward markets of several commodities
    Optimization 62 (11), 1553 - 1574, 2013
    file PDF

  11. A. R. L. Valdez, T. Vargiolu, Optimal portfolio in a regime-switching model
    In: Proceedings of the Ascona '11 Seminar on Stochastic Analysis, Random Fields and Applications, 435 - 449, R. C. Dalang, M. Dozzi, F. Russo, editors. Springer 2013
    file PDF

  12. M. Rosestolato, T. Vargiolu, G. Villani, Robustness for path-dependent volatility models
    Decisions in Economics and Finance 36 (2), 137 - 167, 2013
    file PDF

  13. E. Edoli, S. Fiorenzani, S. Ravelli and T. Vargiolu, Modeling and valuing make-up clauses in gas swing contracts
    Energy Economics 35, 58 - 73, 2013
    file PDF

  14. 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

  15. 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

  16. 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

  17. 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)

  18. 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)

  19. 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)

  20. 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)

  21. 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)

  22. 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)

  23. 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)

  24. 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)

  25. 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)

  26. 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)

  27. 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)

  28. 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

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Last update: 30 / 10 / 2013