Academic Staff

Dr John O'Hara

Position in departmentPart-time Senior Lecturer in Financial Mathematics
Staff positionPart-time Senior Lecturer
Telephone01206 872680
Current research
  • 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)

Research interests
  • Financial mathematics.
  • Derivative pricing.
  • Risk management
  • Oscillation theory.
  • Differential equations.
  • Operator theory.
  • Lie symmetries.
Teaching responsibilities

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.

Additional information

 Google Scholar Page

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