Invariant measures for the Musiela equation with deterministic diffusion term. - Tiziano Vargiolu (Finance Stochastics, 1999)

Robustness of the Black-Scholes approach in the case of options on several assets. - Silvia Romagnoli; Tiziano Vargiolu (Finance Stochastics, 2000)

Superreplication of European multiasset derivatives with bounded stochastic volatility. - Fausto Gozzi; Tiziano Vargiolu (Math. Methods Oper. Res., 2002)

Shortfall risk minimising strategies in the binomial model: characterisation and convergence. - Gino Favero; Tiziano Vargiolu (Math. Methods Oper. Res., 2006)

Pricing vulnerable claims in a Lévy-driven model. - Agostino Capponi; Stefano Pagliarani; Tiziano Vargiolu (Finance Stochastics, 2014)

Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem. - Matteo Basei; Annalisa Cesaroni; Tiziano Vargiolu (SIAM J. Financial Math., 2014)

Portfolio optimization in a defaultable Lévy-driven market model. - Stefano Pagliarani; Tiziano Vargiolu (OR Spectr., 2015)

Utility indifference pricing and hedging for structured contracts in energy markets. - Giorgia Callegaro; Luciano Campi; Valeria Giusto; Tiziano Vargiolu (Math. Methods Oper. Res., 2017)

On the singular control of exchange rates. - Giorgio Ferrari; Tiziano Vargiolu (Ann. Oper. Res., 2020)

Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions. - Maria Flora; Tiziano Vargiolu (Eur. J. Oper. Res., 2020)

Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications. - René Aïd; Matteo Basei; Giorgia Callegaro; Luciano Campi; Tiziano Vargiolu (Math. Oper. Res., 2020)

Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem. - Torben Koch; Tiziano Vargiolu (SIAM J. Control. Optim., 2021)

Optimal Cross-Border Electricity Trading. - Álvaro Cartea; Maria Flora; Tiziano Vargiolu; Georgi Slavov (SIAM J. Financial Math., 2022)

Gaussian Volterra Processes as Models of Electricity Markets. - Yuliya Mishura; Stefania Ottaviano; Tiziano Vargiolu (SIAM J. Financial Math., 2024)

Recent advances in mathematical methods for finance. - Giorgia Callegaro; Claudio Fontana; Martino Grasselli; Wolfgang J. Runggaldier; Tiziano Vargiolu (Ann. Oper. Res., 2024)