Lorenzo Torricelli

University of Bologna Department of Statistics

Via Belle Arti

Bologna, 40121

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

874

SSRN CITATIONS

9

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Additive Logistic Processes in Option Pricing

Number of pages: 38 Posted: 16 Sep 2020 Last Revised: 20 Jul 2021
Peter Carr and Lorenzo Torricelli
New York University (NYU) - Finance and Risk Engineering Department and University of Bologna Department of Statistics
Downloads 189 (296,024)
Citation 4

Abstract:

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Logistic distribution, additive processes, derivative pricing, Dagum distribution, generalized-z distributions

2.

Volatility Targeting Using Delayed Diffusions

Number of pages: 35 Posted: 21 Jan 2017 Last Revised: 29 Jan 2018
Lorenzo Torricelli
University of Bologna Department of Statistics
Downloads 173 (320,091)

Abstract:

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

3.

Explicit Option Pricing With Additive Processes

Number of pages: 73 Posted: 23 May 2023 Last Revised: 02 Dec 2023
Michele Azzone and Lorenzo Torricelli
Polytechnic University of Milan - Department of Mathematics and University of Bologna Department of Statistics
Downloads 146 (369,202)

Abstract:

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additive processes, explicit option pricing, implied volatility surface, implied volatility skew, large strike implied volatilities, infinitely-divisible distributions

4.

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 Bologna Department of Statistics
Downloads 83 (551,328)
Citation 1

Abstract:

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

5.

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 Bologna Department of Statistics
Downloads 80 (563,602)

Abstract:

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Hybrid PAYG pension schemes, social equitabilty, instantaneous dependency ratio

6.

On the Implied Volatility Skew Outside the At-the-Money Point

Number of pages: 17 Posted: 23 May 2023 Last Revised: 03 Jul 2023
Michele Azzone and Lorenzo Torricelli
Polytechnic University of Milan - Department of Mathematics and University of Bologna Department of Statistics
Downloads 77 (576,120)

Abstract:

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Implied volatility, out-of-the-money implied volatility skew

7.

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 Bologna Department of Statistics
Downloads 77 (576,120)

Abstract:

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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

8.

Trade Duration Risk in Subdiffusive Financial Models

Number of pages: 12 Posted: 27 Mar 2019
Lorenzo Torricelli
University of Bologna Department of Statistics
Downloads 49 (721,539)

Abstract:

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