4 papers
The skew Brownian motion should not be used as a risk-neutral returns process: a well-posed skew-normal alternative
Lorenzo Torricelli, Michele Bufalo
Return models for risk-neutral financial valuation based on skew Brownian motions (SBMs) have been introduced about twenty years ago, and have recently enjoying growing popularity.…
Time-changed Markov processes and space-time coupled non-local equations
Giacomo Ascione, Enrico Scalas, Bruno Toaldo +1
In this paper we study coupled fully non-local equations, where a linear non-local operator jointly acts on the time and space variables. We establish existence and uniqueness of t…
On the convolution equivalence of tempered stable distributions on the real line
Lorenzo Torricelli
We show the convolution equivalence property of univariate tempered stable distributions in the sense of Rosińsky (2007). This makes rigorous various classic heuristic arguments on…
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
Antoine Jacquier, Lorenzo Torricelli
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponentia…