People

Dr John O'Hara

Senior Lecturer
School of Computer Science and Electronic Engineering (CSEE)
Dr John O'Hara
  • Email

  • Telephone

    +44 (0) 1206 872680

  • Location

    1NW.3.19, Colchester Campus

Profile

Biography

I was an undergraduate pure mathematics major at the New University of Ulster. I completed my PGCE (in Education) and MSc (in probability theory) at Queen’s University, Belfast. My PhD was in theory of differential equations, completed at the University of the Witwatersrand, Johannesburg South Africa. Before coming to the University of Essex (2010-present) I worked in a number of universities in Southern Africa. I am the Deputy Director of CCFEA (Centre for Computational Finance and Economic Agents in the School of Computer Science and Electronic Engineering). I am also responsible for PhD admissions within the Centre. I am a member of the London Mathematical Society.

Qualifications

  • PhD University of the Witwatersrand, (1991)

  • MSc Queen's University Belfast, (1981)

  • PGCE Queen's University Belfast, (1977)

  • BSc University of Ulster, (1976)

Appointments

University of Essex

  • Deputy Director, CSEE, CCFEA (1/1/2010 - present)

Research and professional activities

Current research

Using stochastic differential equations in finance.

In this project we use Lie symmetry methods to find solutions to stochastic differential equations. Starting with a stochastic version of the Black-Scholes-Merton equation we calculate the symmetries of the equation, infinitesimal operators, group invariance and a solution. These ideas are applied to other equations in the debt market.
More information about this project

Use deep neural networks and other machine learning methodologies for financial time series analysis.

We use current advances in financial time series analysis and deep learning. In particular, applying LSTM for sequence learning.

Using directional changes for searching “Head and Shoulder” patterns

Using a directional change approach to describe the behaviour of the financial markets.

Teaching and supervision

Current teaching responsibilities

  • Introduction to Financial Market Analysis (CF961)

  • Financial Engineering and Risk Management (CF966)

  • CCFEA MSc Dissertation (CF981)

  • Financial Derivatives (MA320)

Previous supervision

Futeri Jazeilya Binti Md Fadzil
Futeri Jazeilya Binti Md Fadzil
Thesis title: Cross-Sectional Volatility Index Analysis in Asian Markets with No Derivatives Market.
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 4/1/2019
Hwayoung Lee
Hwayoung Lee
Thesis title: Portfolio Liquidity Risk Management with Expected Shortfall Constraints
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 14/10/2016
Hengxu Wang
Hengxu Wang
Thesis title: Volatility Derivatives Pricing Under Stochastic Volatility
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 10/7/2015
Siti Nur Iqmal Ibrahim
Siti Nur Iqmal Ibrahim
Thesis title: Pricing Some European-Style Options with Stochastic Volatility
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 18/12/2013

Publications

Journal articles (34)

IBRAHIM, SNI., DÍAZ-HERNÁNDEZ, A., O’HARA, JG. and CONSTANTINOU, N., (2019). PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY. The ANZIAM Journal, 1-16

Huang, C-S., O'Hara, JG. and Mataramvura, S., (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, 230-238

Ibrahim, SNI., Ng, TW., O'Hara, JG. and Nawawi, A., (2017). Pricing holder-extendable options in a stochastic volatility model with an ornstein-uhlenbeck process. Malaysian Journal of Mathematical Sciences. 11 (1), 1-8

Ibrahim, SNI., O'Hara, JG. and Zaki, MSM., (2016). Pricing Formula for Power Options with Jump-Diffusion. Applied Mathematics and Information Sciences. 10 (4), 1313-1317

O’Hara, JG., Sophocleous, C. and Leach, PGL., (2015). Erratum to: The application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition. Journal of Engineering Mathematics. 91 (1), 215-216

Wang, H., O’Hara, JG. and Constantinou, N., (2015). A path-independent approach to integrated variance under the CEV model. Mathematics and Computers in Simulation. 109, 130-152

Charalambous, K., Sophocleous, C., 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), 4448-4460

Okelola, MO., Govinder, KS. and O'Hara, JG., (2015). Solving a partial differential equation associated with the pricing of power options with time-dependent parameters. Mathematical Methods in the Applied Sciences. 38 (14), 2901-2910

Ibrahim, SNI., O'Hara, JG. and Constantinou, N., (2014). Pricing Extendible Options Using the Fast Fourier Transform. Mathematical Problems in Engineering. 2014, 1-7

Ibrahim, S., O'Hara, JG. and Constantinou, N., (2014). Pricing Extendible Options Using the Fast Fourier Transform. Mathematical problems in engineering. 2014, creators-O=27Hara=3AJohn_G=3A=3A

O’Hara, JG., 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), 67-75

Ibrahim, SNI., O’Hara, JG. and Constantinou, N., (2013). Risk-neutral valuation of power barrier options. Applied Mathematics Letters. 26 (6), 595-600

O’Hara, JG., Sophocleous, C. and Leach, PGL., (2013). Symmetry analysis of a model for the exercise of a barrier option. Communications in Nonlinear Science and Numerical Simulation. 18 (9), 2367-2373

Ibrahim, S., O'Hara, JG. and Constantinou, N., (2013). Pricing Power Options under the Heston Dynamics using the FFT. New Trends in Mathematical Sciences. 1 (1), 1-9

Caister, NC., Govinder, KS. and O'Hara, JG., (2011). Optimal system of Lie group invariant solutions for the Asian option PDE. Mathematical Methods in the Applied Sciences. 34 (11), 1353-1365

Sophocleous, C., 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), 4158-4164

Sinkala, W., Leach, PGL. and O'Hara, JG., (2011). Embedding the Vasicek model into the Cox-Ingersoll-Ross model. Mathematical Methods in the Applied Sciences. 34 (2), 152-159

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), 3378-3384

Sophocleous, C., 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), 1752-1759

Caister, NC., Govinder, KS. and O’Hara, JG., (2011). Solving a nonlinear pde that prices real options using utility based pricing methods. Nonlinear Analysis: Real World Applications. 12 (4), 2408-2415

Naicker, V., O’Hara, JG. and Leach, PGL., (2010). A note on the integrability of the classical portfolio selection model. Applied Mathematics Letters. 23 (9), 1114-1119

Gounden, S. and O’Hara, JG., (2010). An analytic formula for the price of an American-style Asian option of floating strike type. Applied Mathematics and Computation. 217 (7), 2923-2936

Caister, NC., O'Hara, JG. and Govinder, KS., (2010). Solving the Asian Option PDE Using LIE Symmetry Methods. International Journal of Theoretical and Applied Finance. 13 (08), 1265-1277

Sinkala, W., Leach, PGL. and O'Hara, JG., (2008). Invariance properties of a general bond-pricing equation. Journal of Differential Equations. 244 (11), 2820-2835

Sinkala, W., Leach, PGL. and O'Hara, JG., (2008). Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions. Mathematical Methods in the Applied Sciences. 31 (6), 665-678

Sinkala, W., Leach, PGL. and O'Hara, JG., (2008). An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Applied Mathematics and Computation. 201 (1-2), 95-107

Leach, PGL., O'Hara, JG. and Sinkala, W., (2007). Symmetry-based solution of a model for a combination of a risky investment and a riskless investment. Journal of Mathematical Analysis and Applications. 334 (1), 368-381

O'Hara, J., (2007). Toward a commodity enterprise middleware. Queue. 5 (4), 48-55

O’Hara, JG., Pillay, P. and Xu, H-K., (2006). Iterative approaches to convex feasibility problems in Banach spaces. Nonlinear Analysis: Theory, Methods & Applications. 64 (9), 2022-2042

O'Hara, JG., Pillay, P. and Xu, H-K., (2004). Iterative Approaches to Convex Minimization Problems. Numerical Functional Analysis and Optimization. 25 (5-6), 531-546

O'Hara, JG., Pillay, P. and Xu, H-K., (2003). Iterative approaches to finding nearest common fixed points of nonexpansive mappings in Hilbert spaces. Nonlinear Analysis: Theory, Methods & Applications. 54 (8), 1417-1426

O'Hara, J. and Payne, VF., (1998). Construction of separating functions for the quasi—linear differential equation (py′)′+qy=0. Applicable Analysis. 69 (1-2), 118-126

O'Hara, JG., (1996). On an Oscillation Criterion for a Second Order Linear Quasi-Differential Equation. Journal of the London Mathematical Society. 54 (2), 251-260

O'Hara, JG., (1996). A Comparison Theorem for a Second Order Linear Quasi-Differential Equation. Journal of the London Mathematical Society. 53 (1), 118-126

Conferences (2)

Chong, KY. and O'Hara, JG., (2019). Lie symmetry analysis of a fractional Black-Scholes equation

Ibrahim, SN., O'Hara, JG. and Constantinou, N., (2012). Power option pricing via Fast Fourier Transform

Contact

johara@essex.ac.uk
+44 (0) 1206 872680

Location:

1NW.3.19, Colchester Campus

More about me