Pubblicazioni e presentazioni

Preprint
Pubblicazioni
  • L. Torricelli. On the convolution equivalence of tempered stable distributions on the real line. Statistics and Probability Letters, 207, Arxiv Preprint
  • 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” 2020, Journal of Pension Economics and Finance. SSRN Preprint. 
  • C. Fries e L. Torricelli “An analytical pricing 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” 2018 SSRN Preprint,  Applied Mathematical Finance, 25(3);
  • 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 e L. Torricelli “Target volatility option pricing”, International Journal of Theoretical and Applied Finance, 15, 1, 2012 Eprint (Pubblicato in “Finance at Fields”, M.R Grasselli & L.P. Huston, World Scientific, 2013)
Presentazioni
  • Quant Summit Risk.net, “Explicit option pricing and volatility surface modelling”,
    Londra 2023
  • “Social equitability in PAYG public pension schemes” AMASES annual Meeting, Milano Bicocca 2023.
  • “Explicit Option Pricing with Additve Processes “11th conferenza AMAMEF , Bielefeld, 2023.
  • “The implied volatility skew outside the at-the-money point”conferenza  MathRisk su Numerical Methods in Finance, Udine, 2023
  • “Explicit Option Pricing with Additve Processes ” XXII QFW, Gaeta, 2023.
  • “Tempered stable distriubtions and processes” conferenza FraCalMo, 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”. Relatore invitato ai seminari Cornell-Citi Financial Data Science, Cornell University, Aprile 2021. Video disponibile a https://www.youtube.com/watch?v=cdhl3Np7xbk&t=9s
  • “Logistic processes and the simplest option pricing formula”, XXI QFW, Università Parthenope, Napoli, Gennaio 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” Università di Verona, maggio 2019
  • “Anomalous diffusions in equity pricing and the volatility term structure”. XXmo Quantitative Finance Workshop, ETH Zurigo, 23-25 gennaio 2019.
  • “An analytical pricing framework for asset with trading suspensions”, meeting annuale AMASES, Napoli 13-15 settembre 2018.
  • “Inverse Lévy subordination in option pricing” Università di Padova, 28 marzo 2018. Slides
  • “Volatility targeting using delayed diffusions” XIX Quantitative Finance Workshop, Roma 24-26 gennaio 2018 – Poster Session. Poster
  • “Financial products depending jointly on an asset and its volatility: case studies and a theoretical view”. Università di Firenze, Dipartimento di Matematica per le Decisioni, giugno 2013. slides.
  • “Valuation of asset and volatility-dependent derivatives using decoupled time-changed Lévy processes”. XIV Workshop in Quantitative Finance, Rimini, gennaio 2013. slides
  • “Target Volatility Option and claims on an asset and its realized volatility”. Presentazione al seminario mensile in finanza quantitativa di Banco Santander Londra, gennaio 2011: slides
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