Publications and presentations

Publications
  • 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 “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)
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
Other work