Items where Author is "Leach, PGL"

Charalambous, K and Sophocleous, C and O'Hara, JG and Leach, PGL (2015) A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time‐dependent parameters. Mathematical Methods in the Applied Sciences, 38 (17). pp. 4448-4460. DOI https://doi.org/10.1002/mma.3383

O’Hara, JG and Sophocleous, C and Leach, PGL (2013) Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition. Journal of Engineering Mathematics, 82 (1). pp. 67-75. DOI https://doi.org/10.1007/s10665-012-9595-4

Sophocleous, C and O’Hara, JG and Leach, PGL (2011) Symmetry analysis of a model of stochastic volatility with time-dependent parameters. Journal of Computational and Applied Mathematics, 235 (14). pp. 4158-4164. DOI https://doi.org/10.1016/j.cam.2011.03.009

Sophocleous, C and O’Hara, JG and Leach, PGL (2011) Algebraic solution of the Stein–Stein model for stochastic volatility. Communications in Nonlinear Science and Numerical Simulation, 16 (4). pp. 1752-1759. DOI https://doi.org/10.1016/j.cnsns.2010.08.008

Sinkala, W and Leach, PGL and O'Hara, JG (2011) Embedding the Vasicek model into the Cox-Ingersoll-Ross model. Mathematical Methods in the Applied Sciences, 34 (2). pp. 152-159. DOI https://doi.org/10.1002/mma.1342

Naicker, V and O’Hara, JG and Leach, PGL (2010) A note on the integrability of the classical portfolio selection model. Applied Mathematics Letters, 23 (9). pp. 1114-1119. DOI https://doi.org/10.1016/j.aml.2010.04.046

Sinkala, W and Leach, PGL and O'Hara, JG (2008) Invariance properties of a general bond-pricing equation. Journal of Differential Equations, 244 (11). pp. 2820-2835. DOI https://doi.org/10.1016/j.jde.2008.02.044

Sinkala, W and Leach, PGL and O'Hara, JG (2008) Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions. Mathematical Methods in the Applied Sciences, 31 (6). pp. 665-678. DOI https://doi.org/10.1002/mma.935

Sinkala, W and Leach, PGL and O'Hara, JG (2008) An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Applied Mathematics and Computation, 201 (1-2). pp. 95-107. DOI https://doi.org/10.1016/j.amc.2007.12.008