Modelli matematici per i mercati energetici

Responsabile: Prof. Tiziano Vargiolu, PA, Dipartimento di Matematica

Composizione del GRE:

  • Tiziano Vargiolu, PA
  • Giorgia Callegaro, RU
  • Laura Caravenna, RTdB
  • Mauro Conti, PA
  • Martino Grasselli, PA

 

Laboratori:

Dipartimento di Matematica

 

Attività:

  • mathematical modelling of energy markets
  • evaluation of contracts in energy markets (forward, swing, virtual storage, etc.)
  • hedging and risk management in energy markets
  • design of optimal policies for economic agents
  • impact of malicious behaviour in interconnected networks

 

Elenco delle ultime cinque pubblicazioni:

  • Edoli D. Tasinato, T. Vargiolu (2013). “Calibration of a multifactor model for the forward markets of several commoditie”. Optimization 62 (11), pp. 1553–1574.
  • Edoli S. Fiorenzani, S. Ravelli e T. Vargiolu (2013). “Modeling and valuing make-up clauses in gas swing contracts”. Energy Economics 35, pp. 58–73.
  • Basei A. Cesaroni, T. Vargiolu (2014). “Optimal exercise of swing contracts in energy markets: an integral constrained optimal control problem”. SIAM Journal on Financial Mathematics 5(1), pp. 581-608.
  • Grasselli, J. Marabel Romo (2014). “Stochastic skew and target volatility options”. To appear in The Journal of Futures Markets.
  • Callegaro, A. Sagna (2013). “An application to credit risk of a hybrid Monte Carlo – optimal quantization method”. Journal of Computational Finance 16(4), pp. 123-156.

 

Contatti:

Prof. Tiziano Vargiolu

Dipartimento di Matematica Pura ed Applicata
Università degli Studi di Padova
Via Belzoni 7, 35100 Padova, ITALY
Telefono: +39 049 827 5883
Fax: +39 049 827 5892
E-Mail: vargiolu@math.unipd.it

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