Tiziano Vargiolu is Associate Professor of Probability and Statistics at the Department of Mathematics of the University of Padua, Italy. He supervises PhD and Master's theses in Mathematics, and teaches courses of Probability, Statistics and Quantitative Finance at the University of Padova at undergraduate, master and PhD level. His research interests are mainly stochastic optimal control - both in discrete and in continuous time - with application to quantitative finance, with an emphasis on pricing of contingent claims, portfolio optimization, interest rates models, credit risk and energy markets. He is co-author of one monograph and more than 30 articles appeared in international journals and refereed international books.
The authors model the supply and demand curves of electricity day-ahead auctions in a parsimonious way by building an appropriate algorithm to present the information about electricity prices and demand with far fewer parameters than the existing…
This paper studies the problem of a financial agent wishing to maximize a constant relative risk-aversion expected utility of their terminal wealth while operating in an ID market.