Items where Author is "O'Hara, John G"
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Article
Rostamian, Ahoora and O'Hara, John G (2022) Event prediction within directional change framework using a CNN-LSTM model. Neural Computing and Applications, 34 (20). pp. 17193-17205. DOI https://doi.org/10.1007/s00521-022-07687-3
Huang, Chun-Sung and O'Hara, John G and Mataramvura, Sure (2022) Highly Efficient Shannon Wavelet-based Pricing of Power Options under the Double Exponential Jump Framework with Stochastic Jump Intensity and Volatility. Applied Mathematics and Computation, 414. p. 126669. DOI https://doi.org/10.1016/j.amc.2021.126669
Huang, Chun-Sung and O'Hara, John G and Mataramvura, Sure (2017) Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions. Journal of Computational and Applied Mathematics, 311. pp. 230-238. DOI https://doi.org/10.1016/j.cam.2016.07.019
Wang, Hengxu and O'Hara, John G and Constantinou, Nick (2015) A path-independent approach to integrated variance under the CEV model. Mathematics and Computers in Simulation, 109. pp. 130-152. DOI https://doi.org/10.1016/j.matcom.2014.09.004
Ibrahim, Siti Nur Iqmal and O'Hara, John G and Constantinou, Nick (2014) Pricing Extendible Options Using the Fast Fourier Transform. Mathematical Problems in Engineering, 2014. pp. 1-7. DOI https://doi.org/10.1155/2014/831470
Conference or Workshop Item
Chong, Kam Yoon and O'Hara, John G (2019) Lie symmetry analysis of a fractional Black-Scholes equation. In: Modern Treatment of Symmetries, Differential Equations and Applications (Symmetry 2019), 2019-01-14 - 2019-01-18, Nakhon Ratchasima, Thailand.