Items where Author is "Sophocleous, C"

Article

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