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Capturing the power options smile by an additive two-factor model for overlapping futures prices

Piccirilli, Marco; Schmeck, Maren Diane; Vargiolu, Tiziano - In: Energy economics 95 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012816581

Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework

Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577

Persistent link: https://www.econbiz.de/10012055877

Pricing reliability options under different electricity price regimes

Andreis, Luisa; Flora, Maria; Fontini, Fulvio; … - In: Energy economics 87 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012512391

Efficient representation of supply and demand curves on day-ahead electricity markets

Soloviova, Mariia; Vargiolu, Tiziano - In: The journal of energy markets 14 (2021) 1, pp. 99-126

Persistent link: https://www.econbiz.de/10012662353

Optimal installation of renewable electricity sources : the case of Italy

Awerkin, Almendra; Vargiolu, Tiziano - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1179-1209

Persistent link: https://www.econbiz.de/10012795128

Investing in electricity production under a reliability options scheme

Fontini, Fulvio; Vargiolu, Tiziano; Zormpas, Dimitrios - In: Journal of economic dynamics & control 126 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012667919

Optimal management of pumped hydroelectric production with state constrained optimal control

Picarelli, Athena; Vargiolu, Tiziano - In: Journal of economic dynamics & control 126 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012667920

Optimization Methods for Gas and Power Markets : Theory and Cases

Edoli, Enrico - 2016

This is a valuable, quantitative guide to the technicalities of optimization methodologies in gas and power markets, and will be of interest to practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling

Persistent link: https://www.econbiz.de/10012397554

Utility indifference pricing and hedging for structured contracts in energy markets

Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; … - In: Mathematical methods of operations research 85 (2017) 2, pp. 265-303

Persistent link: https://www.econbiz.de/10011714437

Optimal intraday power trading with a Gaussian additive process

Edoli, Enrico; Gallana, Marco; Vargiolu, Tiziano - In: The journal of energy markets 10 (2017) 4, pp. 23-42

Persistent link: https://www.econbiz.de/10011999469