Publications and other works

  • L. Torricelli: “The trade duration risk in subdiffusive pricing models”, SSRN Preprint Submitted to AOF
  • “An analytical pricing framework for financial assets with trading suspensions”, L. Torricelli and C. P. Fries, 2018 SSRN Preprint, submitted to SIFIN
  • “Volatility targeting using delayed diffusions” Torricelli,L. Applied Mathematical Finance, 25(3), 2018, SSRN Preprint;
  • “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)
Forthcoming and in preparation
  • L. Torricelli: “Anomalous diffusions in option prices: reconnecting trade duration and the volatility term structure”, forthcoming;
  • L. Torricelli: “Social equitability in hybrid PAYG public pensions schemes based on accurate dependency ratios” forthcoming;
  • L. Torricelli et. al.: “Complications in intensity-based credit migration bond models of HJM type” , in preparation.
  • L. Torricelli et. al.: “Models for Circuit Breakers” ongoing;
  • I. Oliva and L. Torricelli: “Dynamic derivative strategies under co-jump risk” ongoing.
  • “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