Publications and other work

  • “An analytical pricing framework for financial assets with trading suspensions”, L. Torricelli and C. P. Fries, 2018 SSRN Preprint, submitted to Finance and Stochastic
  • “Volatility targeting using delayed diffusions” Torricelli,L., SSRN Preprint, to appear in Applied Mathematical Finance, 2018
  • “Valuation of asset and volatility derivatives using decoupled time- changed Lévy processes” Torricelli, L., Review of derivatives research 19, 1, 2016 Arxiv preprint
  • “Pricing joint claims on an asset and its realized variance in stochastic volatility models” Torricelli, L., International Journal of Theoretical and applied Finance, 16, 1, 2013 Arxiv preprint
  • “Target volatility option pricing” Di Graziano, G., Torricelli, L., International Journal of Theoretical and Applied Finance, 15, 1, 2012 Eprint (Published in “Finance at Fields”, M.R Grasselli & L.P. Huston, World Scientific, 2013)
  • “Inverse Lévy subordination in option pricing” University of Padua, March, 28 2018. Slides
  • “Volatility targeting using delayed diffusions” XIX Quantitative Finance Workshop, Rome, January, 24-26 2018 – Poster Session. Poster
  • “Financial products depending jointly on an asset and its volatility: case studies and a theoretical view”. University of Florence, Dipartimento di Matematica per le Decisioni, June 2013. Slides.
  • “Valuation of asset and volatility-dependent derivatives using decoupled time-changed Lévy processes”. XIV Workshop in Quantitative Finance, Rimini, January 2013. Slides
  • “Target Volatility Option and claims on an asset and its realized volatility”. Banco Santandermonthly seminar in quantitative finance, London, January 2011. Slides
Other work