1 citations · 1 across the 7 of their papers we have counts for
8 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…
Tempered geometric stable distributions and processes
Lorenzo Torricelli
We introduce a notion of geometric tempering using exponentially-dampened Mittag-Leffler tempering functions and closely investigate the univariate case. Characteristic exponents a…
Tempered positive Linnik processes and their representations
Lorenzo Torricelli, Lucio Barabesi, Andrea Cerioli
This paper analyzes various classes of processes associated with the tempered positive Linnik (TPL) distribution. We provide several subordinated representations of TPL Lévy proces…
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…
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Lorenzo Torricelli
In this paper we propose a general derivative pricing framework which employs decoupled time-changed (DTC) Lévy processes to model the underlying asset of contingent claims. A DTC…
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Lorenzo Torricelli
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variatio…