MCFAM Seminar Series: “From option values to additive models"

Please join us for our next seminar! This seminar will feature Lorenzo Torricelli from the University of Bologna in Italy who will discuss option values and additive models.

Zoom meeting link

About the lecture
Researchers have recently found that certain simple no-arbitrage vanilla option values yield to implied price distributions of logistic type which are known to be infinitely-divisible. When a no-arbitrage term function is also supplied, the corresponding family of distributions determines an additive pure jump process for the underlying security price, which turns out to be a martingale. The use of additive processes in finance dates back to little more than a decade and has proved to successfully model derivative prices on a large number of asset classes. Professor Torricelli and his colleagues insert in such literature with a focus on parameter parsimony and simplicity of valuation, while at the same time being able to capture returns skewness, kurtosis, self-similarity, and other important stylized facts.

About the speaker
Lorenzo Torricelli is an assistant professor in the Department of Statistics at the University of Bologna. He holds an M.Sc. in Geometry from Roma Tre university, and in Mathematics and Finance from Imperial College London. He received his Ph.D. in Mathematics from University College London and completed a postdoc at the Ludwig Maximilians Universität of Munich. He previously worked as an assistant professor in the Department of Economics and Management of the University of Parma and as a financial and data analyst for the Italian pension funds regulator (COVIP), and he was a member of the EIOPA occupational pension workgroup.