John G. O'Hara

Publication Activity (10 Years)

Years Active: 2008-2022
Publications (10 Years): 6

Top Topics

Double Exponential

Top Venues

Math. Comput. Simul.

Appl. Math. Lett.

J. Comput. Appl. Math.

Publications

Chun-Sung Huang, John G. O'Hara, Sure Mataramvura
Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility. Appl. Math. Comput. 414 (2022)
Zheng Gong, Carmine Ventre, John G. O'Hara
The efficient hedging frontier with deep neural networks. ICAIF (2021)
Zheng Gong, Carmine Ventre, John G. O'Hara
Classifying high-frequency FX rate movements with technical indicators and inception model. ICAIF (2020)
Bosiu C. Kaibe, John G. O'Hara
Symmetry Analysis of an Interest Rate Derivatives PDE Model in Financial Mathematics. Symmetry 11 (8) (2019)
Chun-Sung Huang, John G. O'Hara, Sure Mataramvura
Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. J. Comput. Appl. Math. 311 (2017)
Hengxu Wang, John G. O'Hara, Nick Constantinou
A path-independent approach to integrated variance under the CEV model. Math. Comput. Simul. 109 (2015)
John G. O'Hara, Christodoulos Sophocleous, Peter G. L. Leach
Symmetry analysis of a model for the exercise of a barrier option. Commun. Nonlinear Sci. Numer. Simul. 18 (9) (2013)
Siti Nur Iqmal Ibrahim, John G. O'Hara, Nick Constantinou
Risk-neutral valuation of power barrier options. Appl. Math. Lett. 26 (6) (2013)
Christodoulos Sophocleous, John G. O'Hara, Peter G. L. Leach
Symmetry analysis of a model of stochastic volatility with time-dependent parameters. J. Comput. Appl. Math. 235 (14) (2011)
E. Pillay, John G. O'Hara
FFT based option pricing under a mean reverting process with stochastic volatility and jumps. J. Comput. Appl. Math. 235 (12) (2011)
S. Gounden, John G. O'Hara
An analytic formula for the price of an American-style Asian option of floating strike type. Appl. Math. Comput. 217 (7) (2010)
Viroshan Naicker, John G. O'Hara, Peter G. L. Leach
A note on the integrability of the classical portfolio selection model. Appl. Math. Lett. 23 (9) (2010)
Winter Sinkala, Peter G. L. Leach, John G. O'Hara
An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Appl. Math. Comput. 201 (1-2) (2008)