Browsing by Advisor "O'Hara, John Gerard."
Now showing items 1-4 of 4
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Applications of symmetry analysis of partial differential and stochastic differential equations arising from mathematics of finance.
(2011)In the standard modeling of the pricing of options and derivatives as generally understood these days the underlying process is taken to be a Wiener Process or a Levy Process. The stochastic process is modeled as a stochastic ... -
Interative approaches to convex feasibility problems.
(2001)Solutions to convex feasibility problems are generally found by iteratively constructing sequences that converge strongly or weakly to it. In this study, four types of iteration schemes are considered in an attempt to ... -
Lie group analysis of exotic options.
(2013)Exotic options are derivatives which have features that makes them more complex than vanilla traded products. Thus, finding their fair value is not always an easy task. We look at a particular example of the exotic options ... -
Stochastic volatility effects on defaultable bonds.
(2009)We study the eff ects of stochastic volatility of defaultable bonds using the first -passage structural approach. In this approach Black and Cox (1976) argued that default can happen at any time. This then led to the ...