TORRICELLI, LORENZO
TORRICELLI, LORENZO
STAT - 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.
Dynamic portfolio allocation in complete markets with co-jumps
2025 Oliva, Imma; Stefani, Ilaria; Torricelli, Lorenzo
Explicit Option Pricing with Additive Processes
2025 Azzone, M.; Torricelli, L.
Radially geometric stable distributions and processes
2025 Torricelli, L.
Thorin processes and their subordination
2025 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.