  Many problems in finance are related to first passage times. Among all of
them, we chose three on which we contributed personally. Our first example
relates Kolmogorov-Smirnov like goodness-of-fit tests, modified in such a way
that tail events and core events contribute equally to the test (in the
standard Kolmogorov-Smirnov, the tails contribute very little to the measure of
goodness-of-fit). We show that this problem can be mapped onto that of a random
walk inside moving walls. The second example is the optimal time to sell an
asset (modelled as a random walk with drift) such that the sell time is as
close as possible to the time at which the asset reaches its maximum value. The
last example concerns optimal trading in the presence of transaction costs. In
this case, the optimal strategy is to wait until the predictor reaches (plus or
minus) a threshold value before buying or selling. The value of this threshold
is found by mapping the problem onto that of a random walk between two walls.
