Dr John O'Hara
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Email
johara@essex.ac.uk -
Telephone
+44 (0) 1206 876510
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Location
STEM 5.35, 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 (probability theory in Hilbert spaces) at Queen鈥檚 University, Belfast. My PhD was in the theory of differential equations, completed at the University of the Witwatersrand, Johannesburg South Africa. Before coming to the 糖心Vlog (2010-present) I worked at several universities in Southern Africa. I was the Director of CCFEA (Centre for Computational Finance and Economic Agents in the School of Computer Science and Electronic Engineering). I am also a research fellow at the School for Data Science and Computational Thinking, at Stellenbosch University, and an Honorary Associate Professor at UCT, South Africa. My recent research interests include financial mathematics and machine learning in finance. I am a member of the London Mathematical Society and a Fellow of the Institute of Mathematics and its Applications.
Qualifications
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PhD University of the Witwatersrand, (1991)
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MSc Queen's University Belfast, (1981)
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PGCE Queen's University Belfast, (1977)
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BSc University of Ulster, (1976)
Appointments
糖心Vlog
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Deputy Director, CSEE, CCFEA (1/1/2010 - 1/10/2019)
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Director, CCFEA, 糖心Vlog (1/10/2019 - 31/8/2021)
Research and professional activities
Research interests
The study of differential equations in finance
We use Lie symmetry methods to obtain analytic solutions to partial differential equations associated with the pricing of various financial derivatives.
The application of artificial intelligence in finance.
The construction of volatility surfaces in illiquid markets. The pricing of exotic options. Strategies for risk management.
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.
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 鈥淗ead and Shoulder鈥� patterns
Using a directional change approach to describe the behaviour of the financial markets.
Teaching and supervision
Current teaching responsibilities
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Financial Mathematics (MA226)
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Financial Derivatives (MA320)
Current supervision
Previous supervision
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 24/6/2024
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 22/1/2024
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 21/8/2023
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 17/10/2022
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 30/3/2022
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 20/10/2021
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 14/11/2019
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 4/1/2019
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 14/10/2016
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 10/7/2015
Degree subject: Computational Finance
Degree type: Doctor of Philosophy
Awarded date: 18/12/2013
Publications
Journal articles (39)
Huang, C-S., O'Hara, JG. and Mataramvura, S., (2022). . Applied Mathematics and Computation. 414, 126669-126669
Rukanda, GS., Govinder, KS. and O'Hara, J., (2022). . Journal of Difference Equations and Applications. 28 (4), 590-604
Li, S., Tsang, EPK. and O'Hara, J., (2022). . Intelligent Systems in Accounting, Finance and Management. 29 (2), 86-102
Rostamian, A. and O'Hara, JG., (2022). . Neural Computing and Applications. 34 (20), 17193-17205
Ibrahim, SNI., D铆az-Hern谩ndez, A., O'Hara, JG. and Constantinou, N., (2019). . ANZIAM Journal. 61 (4), 382-397
Kaibe, BC. and O鈥橦ara, JG., (2019). Symmetry Analysis of an Interest Rate Derivatives PDE Model in Financial Mathematics. Symmetry. 11 (8), 1056-1056
Huang, C-S., O'Hara, JG. and Mataramvura, S., (2017). . Journal of Computational and Applied Mathematics. 311, 230-238
Ibrahim, SNI., Ng, TW., O'Hara, JG. and Nawawi, A., (2017). . Malaysian Journal of Mathematical Sciences. 11 (1), 1-8
Ibrahim, SNI., O'Hara, JG. and Zaki, MSM., (2016). . Applied Mathematics and Information Sciences. 10 (4), 1313-1317
O鈥橦ara, 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
Charalambous, K., Sophocleous, C., O'Hara, JG. and Leach, PGL., (2015). . Mathematical Methods in the Applied Sciences. 38 (17), 4448-4460
Okelola, MO., Govinder, KS. and O'Hara, JG., (2015). . Mathematical Methods in the Applied Sciences. 38 (14), 2901-2910
Wang, H., O'Hara, JG. and Constantinou, N., (2015). . Mathematics and Computers in Simulation. 109, 130-152
Ibrahim, SNI., O鈥睭ara, JG. and Constantinou, N., (2014). . Mathematical Problems in Engineering. 2014 (1), 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鈥橦ara, JG., Sophocleous, C. and Leach, PGL., (2013). . Journal of Engineering Mathematics. 82 (1), 67-75
Ibrahim, SNI., O鈥橦ara, JG. and Constantinou, N., (2013). . Applied Mathematics Letters. 26 (6), 595-600
O鈥橦ara, 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). . New Trends in Mathematical Sciences. 1 (1), 1-9
Caister, NC., Govinder, KS. and O'Hara, JG., (2011). . Mathematical Methods in the Applied Sciences. 34 (11), 1353-1365
Sophocleous, C., O鈥橦ara, JG. and Leach, PGL., (2011). . Journal of Computational and Applied Mathematics. 235 (14), 4158-4164
Sinkala, W., Leach, PGL. and O'Hara, JG., (2011). . Mathematical Methods in the Applied Sciences. 34 (2), 152-159
Pillay, E. and O鈥橦ara, JG., (2011). . Journal of Computational and Applied Mathematics. 235 (12), 3378-3384
Sophocleous, C., O鈥橦ara, JG. and Leach, PGL., (2011). . Communications in Nonlinear Science and Numerical Simulation. 16 (4), 1752-1759
Caister, NC., Govinder, KS. and O鈥橦ara, JG., (2011). . Nonlinear Analysis: Real World Applications. 12 (4), 2408-2415
Naicker, V., O鈥橦ara, JG. and Leach, PGL., (2010). . Applied Mathematics Letters. 23 (9), 1114-1119
Gounden, S. and O鈥橦ara, JG., (2010). . Applied Mathematics and Computation. 217 (7), 2923-2936
Caister, NC., O'Hara, JG. and Govinder, KS., (2010). . International Journal of Theoretical and Applied Finance. 13 (08), 1265-1277
Sinkala, W., Leach, PGL. and O'Hara, JG., (2008). . Journal of Differential Equations. 244 (11), 2820-2835
Sinkala, W., Leach, PGL. and O'Hara, JG., (2008). . Mathematical Methods in the Applied Sciences. 31 (6), 665-678
Sinkala, W., Leach, PGL. and O'Hara, JG., (2008). . 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鈥橦ara, 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鈥攍inear differential equation (py鈥�)鈥�+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 (5)
O'Hara, J. and Huang, C-S., Recent Advances in Fourier Transform Methods for Computational Finance and Insurance
Gong, Z., Ventre, C. and O'Hara, J., (2021). The efficient hedging frontier with deep neural networks
Gong, Z., Ventre, C. and O'Hara, J., (2020). Classifying high-frequency FX rate movements with technical indicators and inception model
Chong, KY. and O'Hara, JG., (2019).
Ibrahim, SN., O'Hara, JG. and Constantinou, N., (2012). Power option pricing via Fast Fourier Transform
Reports and Papers (1)
Huang, C-S., O'Hara, JG. and Mataramvura, S., Highly Efficient Option Valuation Under the Double Jump Framework with Stochastic Volatility and Jump Intensity Based on Shannon Wavelet Inverse Fourier Technique
Grants and funding
2023
KTP re: Fraud Detection with Ticker Ltd
Innovate UK (formerly Technology Strategy Board)
