Citizen Science (CS) projects involve members of the general public as active participants in research. Different proponents of this approach – including professional scientists, civil society groups, as well as policy makers – hope that it can increase scientific knowledge production but...

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong...

There exists a non-closed formula for the American put option price and non-trivial computations are required to solve it. Strong efforts have been made to propose efficient numerical techniques but few have strong mathematical reasoning to ascertain why they work well. We present an extension...

The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the...

We present a dynamical model that describes the evolution of offer and demand in a financial market. The model considers a fully connected network of interacting agents that may be willing to operate in the market, either by selling the stock or by buying it, or that are not interested in...

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal...

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties - volatility and dividend policy - of the underlaying stock can change at a...