Preprints

•  Explicit Option Pricing with Additive Processes https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453106
• On the Implied Volatility Skew Outside the At-the-Money Point  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4453112
• Tempered Geometric Stable Distributions and Processes https://arxiv.org/abs/2305.15837
• On the convolution equivalence of tempered stable distributions on the real line https://arxiv.org/abs/2309.14038

Publications

• P. Carr e L. Torricelli “Convex duality in continuous option pricing models.” Annals of Operations Research, 2023, 1-25.
• L. Torricelli, L. Barabesi e A. Cerioli “Tempered positive Linnik processes and their representations“, Electronic Journal of Statistics 16.2, 2022,: 6313-6347. ArXiv Preprint
• P. Carr e L.Torricelli: “Additice logistic processes in option pricing”. Finance and Stochastics, 2020. Finance and Stochastics 25.4, 2021: 689-724.  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” , Journal of Pension Economics & Finance 21.1 (2022): 56-75. 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 “Volatility targeting using delayed diffusions”. Applied Mathematical Finance, 25(3), 2018, 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, 2013 Arxiv 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)

Presentations

• “Social equitability in PAYG public pension schemese” AMASES annual Meeting, Milano Bicocca 2023.

• “Explicit Option Pricing with Additve Processes “11th AMAMEF Conference, Bielefeld, 2023.
• “The implied volatility skew outside the at-the-money point” MathRisk conference on Numerical Methods in Finance, Udine, 2023
• “Explicit Option Pricing with Additve Processes ” XXII QFW, Gaeta, 2023.
• “Tempered stable distriubtions and processes” FraCalMo conference, Bologna 2022
• “Convex Duality in continuous option pricing models” 11th Bachelier Finance Society Congress 2022
• “Tempered stable distriubtions and processes”  3rd Meeting in Probability and Mathematical Statistics, Bologna 2022
• “Convex duality in continuous pricing models” XXI QFW, Roma Tor Vergata, 2022.
• “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

Other work

• “Modeling of volatility-linked financial products”, PhD dissertation. (UCL library download page)
• “Target volatility option pricing” MSc dissertation.
• ” Serre Duality for Complex Analytic Manifolds and Complex n-Spaces”  Laurea Magistrale thesis.
• “Molteplicità di Intersezione su Superfici Proiettive Nonsingolari e Risoluzione di Applicazioni Razionali in Scoppiamenti” Laurea Triennale thesis (in Italian).