Lorenzo Torricelli

Senior assistant professor (fixed-term)

Department of Statistical Sciences "Paolo Fortunati"

Academic discipline: SECS-S/06 Mathematical Methods of Economics, Finance and Actuarial Sciences

Publications

L. Torricelli, L. Barabesi and A. Cerioli. “Tempered positive Linnik processes and their representations”. Available at ArXiv: 2105.00988
P. Carr and L. Torricelli “Additive logistic processes in option pricing”, Stochastics and Finance, 2021
L.Torricelli. “The effect of an instantaneous dependency rate on the social equitability of PAYG public pension schemes”. Journal of Pensions Economics and Finance, 1-20, 2020.
A. Jacquier and L.Torricelli: “Anomalous diffusions in option prices: connecting trade duration and the volatility term structure”. SIFIN, 11(4), 1137–1167, 2020.
C. Fries and L. Torricelli: “An analytical pricing framework for financial assets with trading suspensions” 2018. SIFIN, 11(2), 566-592, 2020.
L. Torricelli: “Trade duration risk in subdiffusive financial models”, Physica A, 541, 2020.
L. Torricelli: “Volatility targeting using delayed diffusions”. Applied Mathematical Finance, 25(3), 213-246, 2018.
L. Torricelli: “Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes”, 2016. Review of Derivatives Research, 19.
L. Torricelli: “Pricing joint claims on an asset and its realized variance in stochastic volatility models”,2013, IJTAF, 16.
G. Di Graziano and L. Torricelli: “Target Volatility option pricing”, 2012, IJTAF,15. Reprinted in Finance at Fields, 207–224, 2012