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Ozgur Kaya, Ph.D.

Affiliations: 
2005 Columbia University, New York, NY 
Area:
Finance
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"Ozgur Kaya"
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Mark Broadie grad student 2005 Columbia
 (Exact simulation of financial models with stochastic volatility and jumps, and lattice methods for corporate debt pricing.)

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Publications

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Broadie M, Kaya O. (2007) A binomial lattice method for pricing corporate debt and modeling chapter 11 proceedings Journal of Financial and Quantitative Analysis. 42: 279-312
Broadie M, Kaya O. (2006) Exact simulation of stochastic volatility and other affine jump diffusion processes Operations Research. 54: 217-231
Broadie M, Kaya Ö. (2004) Exact simulation of option Greeks under stochastic volatility and jump diffusion models Proceedings - Winter Simulation Conference. 2: 1607-1615
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