Browsing by Author "O'Hara, John G."
Now showing items 1-5 of 5
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Algebraic solution of the Stein-Stein model for stochastic volatility
Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2011)We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
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Article
Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
O'Hara, John G.; Sophocleous, Christodoulos; Leach, Peter G. L. (2013)We demonstrate the power of symmetry in the resolution of some evolution partial differential equations which arise in various aspects of finance. The essential theme is that which Lie promulgated approximately 140 years ...
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Article
A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
Charalambous, Kyriakos; Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2015)In a fairly recent paper (2008 American Control Conference, June 11-13, 1035-1039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent ...
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Article
Symmetry analysis of a model for the exercise of a barrier option
O'Hara, John G.; Sophocleous, Christodoulos; Leach, Peter G. L. (2013)A barrier option takes into account the possibility of an unacceptable change in the price of the underlying stock. Such a change could carry considerable financial loss. We examine one model based upon the Black-Scholes-Merton ...
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Article
Symmetry analysis of a model of stochastic volatility with time-dependent parameters
Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (2011)We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the ...