Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes

von Torricelli, Lorenzo
Veröffentlicht in Review of derivatives research (2016)

Volatility targeting using delayed diffusions

von Torricelli, Lorenzo
Veröffentlicht in Applied mathematical finance (2018)

Pricing joint claims on an asset and its realized variance in stochastic volatility models

von Torricelli, Lorenzo
Veröffentlicht in International journal of theoretical and applied finance (2013)

Target volatility option pricing

von Di Graziano, Giuseppe
Veröffentlicht in International journal of theoretical and applied finance (2012)