Lorenzo Torricelli

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Convex duality in continuous option pricing models Annals of Operations Research	2024-06-04	Paper
On the convolution equivalence of tempered stable distributions on the real line Statistics & Probability Letters	2024-05-17	Paper
Tempered geometric stable distributions and processes	2023-05-25	Paper
Tempered positive Linnik processes and their representations Electronic Journal of Statistics	2022-12-19	Paper
Tempered positive Linnik processes and their representations Electronic Journal of Statistics	2022-12-19	Paper
Trade duration risk in subdiffusive financial models Physica A	2022-05-16	Paper
Additive logistic processes in option pricing Finance and Stochastics	2021-11-02	Paper
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure SIAM Journal on Financial Mathematics	2021-01-15	Paper
An analytical valuation framework for financial assets with trading suspensions SIAM Journal on Financial Mathematics	2020-07-13	Paper
Volatility targeting using delayed diffusions Applied Mathematical Finance	2018-12-18	Paper
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes Review of Derivatives Research	2016-09-19	Paper
Pricing joint claims on an asset and its realized variance in stochastic volatility models International Journal of Theoretical and Applied Finance	2013-04-22	Paper
TARGET VOLATILITY OPTION PRICING International Journal of Theoretical and Applied Finance	2012-04-24	Paper
On the convolution equivalence of tempered stable distributions on the real line (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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