Lorenzo Torricelli

University of Parma, Department of Economics and Management

Viale Kennedy 6

Parma

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

275

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Volatility Targeting Using Delayed Diffusions

Number of pages: 35 Posted: 21 Jan 2017 Last Revised: 29 Jan 2018
Lorenzo Torricelli
University of Parma, Department of Economics and Management
Downloads 107 (284,634)

Abstract:

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target volatility, portfolio strategy, stochastic delayed differential equations, finite-dimensional Markovian representation, stochastic volatility, guarantee costs, Euler scheme.

2.

An Analytical Valuation Framework for Financial Assets with Trading Suspensions

Number of pages: 31 Posted: 27 Mar 2018 Last Revised: 02 Jul 2019
Christian P. Fries and Lorenzo Torricelli
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and University of Parma, Department of Economics and Management
Downloads 48 (442,576)
Citation 1

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Market Halts and Suspensions, Time Changes, Levy Subordinators, Derivative Pricing, Levy Processes

3.

Additive Logistic Processes in Option Pricing

Number of pages: 31 Posted: 16 Sep 2020 Last Revised: 22 Sep 2020
Peter Carr and Lorenzo Torricelli
New York University (NYU) - Finance and Risk Engineering Department and University of Parma, Department of Economics and Management
Downloads 43 (462,761)

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4.

Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure

Number of pages: 33 Posted: 12 Aug 2019 Last Revised: 10 Apr 2020
Antoine (Jack) Jacquier and Lorenzo Torricelli
Imperial College London and University of Parma, Department of Economics and Management
Downloads 37 (488,931)

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anomalous diffusions, volatility skew term structure, derivative pricing, CTRWs, inverse L\'evy subordinators, time changes, L\'evy processes, subdiffusions, Beta distribution, triangular arrays

5.

Trade Duration Risk in Subdiffusive Financial Models

Number of pages: 12 Posted: 27 Mar 2019
Lorenzo Torricelli
University of Parma, Department of Economics and Management
Downloads 23 (564,921)

Abstract:

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Duration risk, subdiffusions, tempered subdiffusions, derivative pricing, inverse tempered stable subordinator, Levy processes

6.

The Effect of an Instantaneous Dependency Rate on the Social Equitability of Hybrid PAYG Public Pension Schemes

Number of pages: 23 Posted: 02 Aug 2019 Last Revised: 28 Dec 2019
Lorenzo Torricelli
University of Parma, Department of Economics and Management
Downloads 17 (604,172)

Abstract:

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Hybrid PAYG pension schemes, social equitabilty, instantaneous dependency ratio