Narrow search
Showing 1 - 7 of 7
Cover Image
Shortfall risk minimising strategies in the binomial model: characterisation and convergence
Favero, Gino; Vargiolu, Tiziano - In: Mathematical methods of operations research 64 (2006) 2, pp. 237-254
Persistent link: https://www.econbiz.de/10007292659
Cover Image
Superreplication of European multiasset derivatives with bounded stochastic volatility
Gozzi, Fausto; Vargiolu, Tiziano - In: Mathematical methods of operations research 55 (2002) 1, pp. 69-92
Persistent link: https://www.econbiz.de/10006617533
Cover Image
Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes
Pasin, Laura; Vargiolu, Tiziano - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1, pp. 65-91
Persistent link: https://www.econbiz.de/10008716632
Cover Image
Robustness of the Black-Scholes approach in the case of options on several assets
Romagnoli, Silvia; Vargiolu, Tiziano - In: Finance and stochastics 4 (2000) 3, pp. 325-342
Persistent link: https://www.econbiz.de/10008217576
Cover Image
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano - In: Finance and stochastics 3 (1999) 4, pp. 483
Persistent link: https://www.econbiz.de/10008218044
Cover Image
Robustness for path-dependent volatility models
Rosestolato, Mauro; Vargiolu, Tiziano; Villani, Giovanna - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 2, pp. 137-167
Persistent link: https://www.econbiz.de/10010183217
Cover Image
Modeling and valuing make-up clauses in gas swing contracts
Edoli, Enrico; Fiorenzani, Stefano; Ravelli, Samuele; … - In: Energy economics 35 (2013), pp. 58-73
Persistent link: https://www.econbiz.de/10010059686