TORRICELLI, LORENZO
TORRICELLI, LORENZO
DIPARTIMENTO DI SCIENZE STATISTICHE "PAOLO FORTUNATI"
Docenti di ruolo di IIa fascia
On the implied volatility skew outside the at-the-money point
In corso di stampa Azzone, M.; Torricelli, L.
On the convolution equivalence of tempered stable distributions on the real line
2024 Torricelli L.
Convex duality in continuous option pricing models
2023 Carr, Peter; Torricelli, Lorenzo
Tempered positive Linnik processes and their representations
2022 Torricelli, Lorenzo; Barabesi, Lucio; Cerioli, Andrea
The effect of an instantaneous dependency rate on the social equitability of hybrid PAYG public pension schemes
2022 Torricelli, L.
Additive logistic processes in option pricing
2021 Carr, P.; Torricelli, L.
An Analytical Valuation Framework for Financial Assets with Trading Suspensions
2020 Fries, C.; Torricelli, L.
Anomalous diffusions in option prices: Connecting trade duration and the volatility term structure
2020 Jacquier, Antoine; Torricelli, Lorenzo
Trade duration risk in subdiffusive financial models
2020 Torricelli, Lorenzo
Volatility Targeting Using Delayed Diffusions
2018 Torricelli L.
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
2016 Torricelli L
Pricing joint claims on an asset and its realized variance in stochastic volatility models
2013 Torricelli L
Target volatility option pricing
2012 Di Graziano G; Torricelli L
Target volatility option pricing
2012 Di Graziano G.; Torricelli L.