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Ahmet Goncu, Ph.D.

Affiliations: 
2009 Florida State University, Tallahassee, FL, United States 
Area:
Mathematics, Finance
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"Ahmet Goncu"
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Giray Okten grad student 2009 Florida State
 (Monte Carlo and quasi-Monte Carlo methods in financial derivative pricing.)

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Publications

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Yang Y, Göncü A, Pantelous AA. (2018) Momentum and reversal strategies in Chinese commodity futures markets International Review of Financial Analysis. 60: 177-196
Goncu A, Akyildirim E. (2017) Statistical Arbitrage In The Multi-Asset Black–Scholes Economy Annals of Financial Economics. 12: 1-18
Yang Y, Goncu A, Pantelous AA. (2017) Pairs trading with commodity futures: evidence from the Chinese market China Finance Review International. 7: 274-294
Goncu A, Karahan MO, Kuzubas TU. (2016) A Comparative Goodness-of-Fit Analysis of Distributions of Some Lévy Processes and Heston Model to Stock Index Returns The North American Journal of Economics and Finance. 36: 69-83
Göncü A, Akyıldırım E. (2016) Statistical Arbitrage with Pairs Trading International Review of Finance. 16: 307-319
Göncü A, Akyildirim E. (2016) A stochastic model for commodity pairs trading Quantitative Finance. 16: 1843-1857
Göncü A, Yang H. (2016) Variance-Gamma and Normal-Inverse Gaussian models: Goodness-of-fit to Chinese high-frequency index returns The North American Journal of Economics and Finance. 36: 279-292
Göncü A. (2015) Statistical arbitrage in the Black–Scholes framework Quantitative Finance. 15: 1489-1499
Yuan W, Göncü A, Ökten G. (2015) Estimating sensitivities of temperature-based weather derivatives Applied Economics. 47: 1942-1955
Stojanovic S, Göncü A. (2014) Pricing portfolios of contracts on cumulative temperature with risk premium determination Risk and Decision Analysis. 5: 75-98
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