Browse by Journal

Mardanov, Misir J and Melikov, Telman K and Malik, Samin T and Malikov, Kamran (2020) First- and second-order necessary conditions with respect to components for discrete optimal control problems. Journal of Computational and Applied Mathematics, 364. p. 112342. DOI https://doi.org/10.1016/j.cam.2019.112342

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

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

Pillay, E and O’Hara, JG (2011) FFT based option pricing under a mean reverting process with stochastic volatility and jumps. Journal of Computational and Applied Mathematics, 235 (12). pp. 3378-3384. DOI https://doi.org/10.1016/j.cam.2010.10.024