We review, with emphasis on the dynamical point of view, the classical characteristics of the Topological Nonconnectivity Threshold (TNT), recently introduced in F. Borgonovi, G.L. Celardo, M. Maianti and E. Pedersoli, J. Stat. Phys. <Emphasis Type="Bold">116, 1435 (2004). This shows interesting connections among...</emphasis>

Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function...

Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price C(K) given the strike price K and the distribution function of the returns. We derive this distribution function using...

In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the fitting parameters of the smile. We show that, considering a scaling law derived from data, it is...