9 citations · 9 across the 6 of their papers we have counts for
6 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…
Stochastic arbitrage return and its implications for option pricing
Sergei Fedotov, Stephanos Panayides
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio,…
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…
Option Pricing Model for Incomplete Market
Sergei Fedotov, Sergei Mikhailov
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on t…