Publications

  • Optimal consumption and portfolio for an insider in a market with jumps, Communications on Stochastic Analysis, 3 (1), 101-117, 2009 (joint work with D. David).
  • White noise generalization of the Clark-Ocone formula under change of measure, Stochastic Analysis and Applications, 28, Issue 6, 1106-1121, 2010.
  • Parameter identification of the Langmuir model for adsorption and desorption kinetic data, chapter in book entitled Nonlinear Dynamics of Complex Systems: Applications in Physical, Biological and Financial Systems, with editors  J.A. Tenreiro Machado, D.  Baleanu and A. Luo, Springer, New York, Dordrecht, Heidelberg, London, 97-106, 2011 (joint work with D. Baleanu, S. Okur and K. Ocakoglu).
  • An Extension of the Clark-Ocone Formula under Benchmark Measure for Levy processes,  Stochastics: An International Journal of Probability and Stochastic Processes, 84, Issue 2-3, 251-272, 2012.
  • SDE solutions in the space of smooth random variables, Communications on Stochastic Analysis, 6 (3), 451-470, 2012 (joint work with F. Proske and H. B. Salleh).
  • Pricing and completion in a Levy market model with Teugel Martingales, Hacettepe Journal of Mathematics and Statistics, 41 (5), 767-783, 2012 (joint work with B. Z. Temoçin and A. Hayfavi).
  • A Malliavin calculus approach to general stochastic differential games with partial information, chapter in book entitled Malliavin Calculus and Stochastic Analysis: A Festschrift in Honor of David Nualart, with editors F. Viens, J. Feng, Y. Hu and E. Nualart, Springer Proceedings in Mathematics \& Statistics, Vol 34, 489-510, 2013 (joint work with T. T. K. An and B. Øksendal).
  • Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data, Journal of Computational and Applied Mathematics, 259, 377-384, 2014 (joint work with B. A. İnkaya).
  • Estimation of Hurst parameter of fractional Brownian motion using CMARS method, Journal of Computational and Applied Mathematics, 259, 843-850, 2014 (joint work with F. Yerlikaya Özkurt, C. Vardar-Acar and G. W. Weber).
  • On the single name CDS price under structural modeling, Journal of Computational and Applied Mathematics, 259, 406-412, 2014 (joint work with İ.H. Gökgöz and Ö. Uğur).

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