|Position in department||Part-time Senior Lecturer in Financial Mathematics
|Staff position||Part-time Senior Lecturer
- Group invariant solutions to the CIR model.
- Pricing options using FFT's under a mean reverting process with stochastic volatility and jumps.
- ZCB prices in the the Vasicek and CIR models.
- Solving the Asian option pde using Lie-symmetry methods.
- Duopoly dynamics with more than one source of randomness on real options.
- An extension to Hille's theorem.
If you are interested in any of these topics for PhD studies, please feel free to contact me. With respect to my research into financial mathematics you might find the following references helpful introductions:
The Mathematics of Financial Derivatives by Wilmott, Howison & Dewynne (Cambridge)
Stochastic calculus for finance II: Continuous time models, by S Shreve (Springer Finance)
Symmetry methods for differential equations by P Hydon (Cambridge)
Interest rate models, by A Cairns (Princeton)
- Financial mathematics.
- Derivative pricing.
- Risk management
- Oscillation theory.
- Differential equations.
- Operator theory.
- Lie symmetries.
CF961-7-AU: Introduction to Financial Market Analysis
CF966-7-SP: Financial Engineering and Risk Management
MA320-6-AU: Financial Derivatives
MA320-7-AU: Financial Derivatives
Link to publications for John O'Hara
Fifth World Congress of the Bachelier Finance Society, London, United Kingdom, July 15–19, 2008.
Workshop on Nonlinear Differential Equations, May 18-22, 2009, Durban, South Africa
Tercentenary of the Laplace-Runge-Lenz Vector, 23-27 November, 2011, Salt Rock, Durban, South Africa.
Google Scholar Page