CURRICULUM VITAE
Lorenzo Torricelli
WORKING EXPERIENCE
COVIP – Italian pension fund Regulatory Authority
2012/ CURRENT
Department: Regulation Methods and Services.
Position: Data and Risk analyst .
Deutsche Bank DB London
2009
Research project leading to the MSc dissertation. Supervisor:
Professor Lane Hughston, Dr Giuseppe Di Graziano.
Mathematics and Physics private tuition
2001/2010
Private lessons at high school and undergraduate level.
RESEARCH AND EDUCATION
King’s College London/UCL London
2010/ CURRENT
PhD in Applied/Financial Mathematics. Supervisor Professor William T. Shaw.
Interests:
Volatility derivatives pricing and hedging, continuous stochastic volatility models (Heston, GARCH), Lévy
processes in finance, time changes in finance , advanced stochastic calculus, martingale theory, complex
analysis.
Publications:
Giuseppe Di Graziano and Lorenzo Torricelli “Target Volatility Option Pricing”, IJTAF, Volume 15, Issue
1. Lorenzo Torricelli “Pricing joint claims on an asset and its realised volatility under stochastic volatility
models”, IJTAF, accepted; “Valuation of volatility derivatives under decoupled time changes”, submitted to
JAAP.
Presentations:
“Target Volatility Option and claims on an asset and its realized volatility” Santander monthly seminar in
quantitative finance, London, 14/01/2011.
Imperial College London
Msc in Mathematics and Finance with Distinction.
2008/2009
Courses taken:
Stochastic calculus, Black-Scholes pricing theory, interest rate models, theory of finance, numerical methods,
spectral theory in finance, exotic derivatives, C++ programming.
Final Dissertation:
Target Volatility Option Pricing. Supervisor: Professor Lane P. Hughston.
Università degli Studi Roma Tre
Laurea Magistrale in Matematica. Final grade: 110/110.
2005/2008
Main Courses:
Algebraic geometry, algebraic topology, functional analysis, measure theory, ergodic theory for Markov
chains ,complex analysis.
Thesis:
“Serre Duality for Complex Analytic Manifolds and Projective n-Spaces.” Supervisor: Professor Edoardo
Sernesi.
Università degli Studi Roma Tre
Laurea Triennale in Matematica. Final grade: 107/110.
2001/2005
Courses:
Calculus and analysis (4 modules), linear algebra, commutative algebra, Galois theory, C programming,
physics (2 modules), probability theory (2 modules) , topology, euclidean geometry, differential geometry,
numerical analysis.
Thesis:
“Moltiplicità di intersezione su superfici proiettive nonsingolari e risoluzione di applicazioni razionali in
scoppiamenti”. Supervisor: Professor Lucia Caporaso.
Liceo Scientifico C. Cavour
Diploma di Maturità Scientifica. Final grade: 100/100.
1996/2001
Subjects/grades
Italian 8/10, Latin 8/10, Mathematics 8/10, Physics 8/10, Biology 8/10, History 9/10, Philosophy 8/10,
History of art 8/10, Physical Education10/10, English 9/10.
PROGRAMMING SKILLS
C/C++: Theoretical knowledge. C and C++ university courses taken.
Matlab: Good.
R. Good.
Office: Working experience.
LateX: Expert.
Maple/Mathematica: Working experience.
LANGUAGE ABILITIES/OTHER INORMATION
Italiano: Native language.
Inglese: Fluent. IELTS test taken in 2008 with overall score 7.5. Resided in London from 2008 to
2011.
Spanish: Some knowledge.
Excellent mother language writing abilities; very good written and verbal communication skills.
FIDE rated chess player
Musical instruments: guitar
Sports: Basketball, football
Car driving license
Interested in cinema and literature
“Carlo Finzi” Italian Parliament’s scholarship award won several times
“Lighthill” and “Corte” scholarships awarded from UCL London in 2012 and 2013
