Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito interpretation. Herein, we derive the...

We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data, and (ii) the inverse...

Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the Poissonian profile by being long-tailed distributed...

We revisit the problem of daily correlations in speculative prices and report empirical evidences on the existence of what we term a conditional or dual dynamics driving the evolution of financial assets. This dynamics is detected in several markets around the world and for different historical...

We studied the changes in the superconducting properties of Nb films due to an array of Ni dots used as collective pinning sites. To determine the pinning mechanism, thin Ag layers of varying thicknesses were deposited on the Ni dots prior to the Nb film deposition. The Ag deposited on the...

We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model has already been introduced in the literature. We present a new approach to the problem, based on partial differential equations, which gives a different...