Pubblicazioni e presentazioni

  • L. Torricelli, L. Barabesi and A. Cerioli “Tempered positive Linnik processes and their representations“, 2021, ArXiv Preprint
  • P. Carr e L.Torricelli: “Additice logistic processes in option pricing”. Finance and Stochastics, 2020. SSRN Preprint
  • A. Jacquier e L. Torricelli: “Anomalous diffusions in option prices: connecting trade duration and the volatility term structure” 2019, SSRN preprint. SIFIN 11(4), 1137–1167, 2020.;
  • L. Torricelli: “The effect of an instantaneous dependency rate on the social equitability of hybrid PAYG public pensions schemes” 2020, Journal of Pension Economics and Finance. SSRN Preprint
  • C. Fries e L. Torricelli “An analytical pricing framework for financial assets with trading suspensions”, SIFIN 11-2 , 566-592, 2020. SSRN Preprint;
  • L. Torricelli: “The trade duration risk in subdiffusive pricing models” Physica A, 541, 2020. SSRN Preprint
  • L. Torricelli “Volatility targeting using delayed diffusions” 2018 SSRN PreprintApplied Mathematical Finance, 25(3);
  • L. Torricelli “Valuation of asset and volatility derivatives using decoupled time- changed Lévy processes” , Review of derivatives research 19, 1, 2016 Arxiv preprint
  • L. Torricelli “Pricing joint claims on an asset and its realized variance in stochastic volatility models”, International Journal of Theoretical and applied Finance, 16, 1, 2013 Arxiv preprint
  • G. Di Graziano e L. Torricelli “Target volatility option pricing”, International Journal of Theoretical and Applied Finance, 15, 1, 2012 Eprint (Pubblicato in “Finance at Fields”, M.R Grasselli & L.P. Huston, World Scientific, 2013)
In preparazione
  • P. Carr e L. Torricelli “Convex duality in option pricing”
  • L. Torricelli et. al.: “Complications in intensity-based credit migration bond models of HJM type”;
  • L. Torricelli et. al.: “Models for Circuit Breakers”;
  • “From option prices to additive models” SIMAI 2020+2021, Parma.
  • “Additive logistic processes in option pricing”. Relatore invitato ai seminari Cornell-Citi Financial Data Science, Cornell University, Aprile 2021. Video disponibile a
  • “Logistic processes and the simplest option pricing formula”, XXI QFW, Università Parthenope, Napoli, Gennaio 2020
  • Anomalous diffusions in option prices: connecting trade duration and the volatility term structure”. AMASES annual meeting, Perugia 2019.
  • “Stochastic clock methods for trade duration in option pricingUniversità di Verona, maggio 2019
  • “Anomalous diffusions in equity pricing and the volatility term structure”. XXmo Quantitative Finance Workshop, ETH Zurigo, 23-25 gennaio 2019.
  • “An analytical pricing framework for asset with trading suspensions”, meeting annuale AMASES, Napoli 13-15 settembre 2018.
  • “Inverse Lévy subordination in option pricing” Università di Padova, 28 marzo 2018. Slides
  • “Volatility targeting using delayed diffusions” XIX Quantitative Finance Workshop, Roma 24-26 gennaio 2018 – Poster Session. Poster
  • “Financial products depending jointly on an asset and its volatility: case studies and a theoretical view”. Università di Firenze, Dipartimento di Matematica per le Decisioni, giugno 2013. slides.
  • “Valuation of asset and volatility-dependent derivatives using decoupled time-changed Lévy processes”. XIV Workshop in Quantitative Finance, Rimini, gennaio 2013. slides
  • “Target Volatility Option and claims on an asset and its realized volatility”. Presentazione al seminario mensile in finanza quantitativa di Banco Santander Londra, gennaio 2011: slides
Altri lavori