2 papers
q-fin.MF2019
Pricing FX Options under Intermediate Currency
S. Maurer, T. E. Sharp, M. V. Tretyakov
We suggest an intermediate currency approach that allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX op…
q-bio.PE2018
Mutation and selection in bacteria: modelling and calibration
C. D. Bayliss, C. Fallaize, R. Howitt +1
Temporal evolution of a clonal bacterial population is modelled taking into account reversible mutation and selection mechanisms. For the mutation model, an efficient algorithm is…