10 citations · 18 across the 14 of their papers we have counts for
17 papers
Parameter estimation of integrated fractional Brownian motion
Marco Mastrogiovanni, Yuliya Mishura, Stefania Ottaviano +2
Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, w…
Optimal energy storage management for self-consumption groups
Almendra Awerkin, Elena De Giuli, Tiziano Vargiolu
We study the optimal management of a photovoltaic system's battery owned by a self-consumption group that aims to minimize energy consumption costs. We assume that the photovoltaic…
Nash equilibrium in a singular stochastic game between two renewable power producers with price impact
Stefano Pagliarani, Antonello Pesce, Tiziano Vargiolu
We study the singular stochastic game, formulated in Awerkin and Vargiolu (Decis. Econ. Finance 44(2), 2021), between two agents aiming at maximizing their profits by installing ph…
Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities
Almendra Awerkin, Paolo Falbo, Tiziano Vargiolu
The focus on Renewable Energy Communities (REC) is fastly growing after the European Union (EU) has introduced a dedicated regulation in 2018. The idea of creating local groups of…
Gaussian Volterra processes as models of electricity markets
Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brown…
Optimal installation of renewable electricity sources: the case of Italy
Almendra Awerkin, Tiziano Vargiolu
Starting from the model in Koch-Vargiolu (2019), we test the real impact of current renewable installed power in the electricity price in Italy, and assess how much the renewable i…
Efficient representation of supply and demand curves on day-ahead electricity markets
Mariia Soloviova, Tiziano Vargiolu
Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the informati…
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem
Torben Koch, Tiziano Vargiolu
We consider a price-maker company which generates electricity and sells it in the spot market. The company can increase its level of installed power by irreversible installations o…
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Marco Piccirilli, Maren Diane Schmeck, Tiziano Vargiolu
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian Lévy processes, that fulfills a no-overlapping-arbitrage (NO…
Optimal management of pumped hydroelectric production with state constrained optimal control
Athena Picarelli, Tiziano Vargiolu
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic opti…
Pricing Reliability Options under different electricity prices' regimes
Luisa Andreis, Maria Flora, Fulvio Fontini +1
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by pow…
Optimal Portfolio in Intraday Electricity Markets Modelled by Lévy-Ornstein-Uhlenbeck Processes
Marco Piccirilli, Tiziano Vargiolu
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the contin…
On the Singular Control of Exchange Rates
Giorgio Ferrari, Tiziano Vargiolu
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign cu…
Additive energy forward curves in a Heath-Jarrow-Morton framework
Fred Espen Benth, Marco Piccirilli, Tiziano Vargiolu
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain pe…
Deep Convolutional Neural Networks on Cartoon Functions
Philipp Grohs, Thomas Wiatowski, Helmut Bölcskei
Wiatowski and Bölcskei, 2015, proved that deformation stability and vertical translation invariance of deep convolutional neural network-based feature extractors are guaranteed by…
Utility indifference pricing and hedging for structured contracts in energy markets
Giorgia Callegaro, Luciano Campi, Valeria Giusto +1
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing a…
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
M. Basei, A. Cesaroni, T. Vargiolu
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case o…