4 papers
The growth of human settlements during the Neolithic, clustering and food crisis
Sergei Fedotov, David Moss, Daniel Campos
We present a stochastic two-population model that describes the migration and growth of semi-sedentary foragers and sedentary farmers along a river valley during the Neolithic tran…
An Adaptive Method for Valuing an Option on Assets with Uncertainty in Volatility
Sergei Fedotov, Stephanos Panayides
We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in late…
Volatility smile and stochastic arbitrage returns
Sergei Fedotov, Stephanos Panayides
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic por…
Long memory stochastic volatility in option pricing
Sergei Fedotov, Abby Tan
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic B…