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Ahmet Duran, Ph.D.

Affiliations: 
2006 University of Pittsburgh, Pittsburgh, PA, United States 
Area:
Mathematics, Finance
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"Ahmet Duran"
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Gunduz Caginalp grad student 2006 University of Pittsburgh
 (Overreaction behavior and optimization techniques in mathematical finance.)

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Publications

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Duran A, Gungor MS. (2018) Aviation Fuel Hedging and Firm Value Analysis Using Dynamic Panel Data Methodology: Evidence from the U.S. Major Passenger Airlines International Journal of Business and Economic Sciences Applied Research. 10: 67-72
Bommarito MJ, Duran A. (2018) Spectral Analysis of Time-Dependent Market-Adjusted Return Correlation Matrix Physica a-Statistical Mechanics and Its Applications. 503: 273-282
Izgi B, Duran A. (2016) 3D extreme value analysis for stock return, interest rate and speed of mean reversion Journal of Computational and Applied Mathematics. 297: 51-64
Duran A, Izgi B. (2015) Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm Journal of Computational and Applied Mathematics. 281: 126-134
Duran A, Bommarito MJ. (2011) A profitable trading and risk management strategy despite transaction costs Quantitative Finance. 11: 829-848
Duran A. (2011) Stability analysis of asset flow differential equations Applied Mathematics Letters. 24: 471-477
Duran A. (2009) Sensitivity analysis of asset flow differential equations and volatility comparison of two related variables Numerical Functional Analysis and Optimization. 30: 82-97
Duran A, Caginalp G. (2008) Parameter optimization for differential equations in asset price forecasting Optimization Methods and Software. 23: 551-574
Duran A, Caginalp G. (2007) Overreaction diamonds: Precursors and aftershocks for significant price changes Quantitative Finance. 7: 321-342
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