L. Torricelli, L. Barabesi and A. Cerioli “Tempered positive Linnik processes and their representations“, 2021, ArXiv Preprint
P. Carr and L. Torricelli: “Additive logistic processes in option pricing”, 2020. SSRN preprint. Submitted to Finance and Stochastics
A. Jacquier and L. Torricelli: “Anomalous diffusions in option prices: connecting trade duration and the volatility term structure” 2019, SIFIN 11(4), 1137–1167, 2020. SSRN preprint.;
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 and L. Torricelli “An analytical valuation 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 “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, 2013Arxiv preprint
G. Di Graziano and L. Torricelli “Target volatility option pricing” 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)
Forthcoming and in preparation
P. Carr and L. Torricelli “Convex duality in option pricing” ongoing
L. Torricelli et. al.: “Complications in intensity-based credit migration bond models of HJM type” , ongoing.
L. Torricelli et. al.: “Models for Circuit Breakers” ongoing
Presentations
“From option prices to additive models” SIMAI 2020+2021, Parma.
“Additive logistic processes in option pricing”. Invited speaker at Cornell-Citi Financial Data Science Seminars, Cornell University, April 2021.Video https://www.youtube.com/watch?v=cdhl3Np7xbk&t=9s
“Logistic processes and the simplest option pricing formula”, XXI QFW, Università Parthenope, Naples, January 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 pricing” University of Verona, May 2019
“Anomalous diffusions in equity pricing and the volatility term structure”. XX QFW, ETH Zurich, January 2019.
“An analytical pricing framework for asset with trading suspensions”, AMASES annual meeting, Naples, September 2018.
“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
“Molteplicità di Intersezione su Superfici Proiettive Nonsingolari e Risoluzione di Applicazioni Razionali in Scoppiamenti” Laurea Triennale thesis (in Italian).