Ömür Uğur
YOU?
Author Swipe
View article: The QLBS Model within the presence of feedback loops through the impacts of a large trader
The QLBS Model within the presence of feedback loops through the impacts of a large trader Open
We extend the QLBS model by reformulating via considering a large trader whose transactions leave a permanent impact on the evolution of the exchange rate process and therefore affect the price of contingent claims on such processes. Throu…
View article: Data Transformation and Wrapper Impact on Machine Learning Algorithms in Credit Evaluation
Data Transformation and Wrapper Impact on Machine Learning Algorithms in Credit Evaluation Open
Banks utilize credit scoring as an important indicator for the financial strength and the eligibility for credit. Scoring models aim to assign statistical odds or probabilities for predicting if there is a risk of nonpayment in relation to…
View article: Hybrid wavelet-neural network models for time series
Hybrid wavelet-neural network models for time series Open
The use of wavelet analysis contributes to better modeling for financial time series in the sense of both frequency and time. In this study, S&P500 and NASDAQ data are separated into several components utilizing multiresolution analysis (M…
View article: The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices Open
In this paper, we determine the fair value of a pension buyout contract under the assumption that changes in mortality can have an impact on financial markets. Our proposed model allows for shocks to occur simultaneously in mortality rates…
View article: The Impact of Feature Selection and Transformation on Machine Learning Methods in Determining the Credit Scoring
The Impact of Feature Selection and Transformation on Machine Learning Methods in Determining the Credit Scoring Open
Banks utilize credit scoring as an important indicator of financial strength and eligibility for credit. Scoring models aim to assign statistical odds or probabilities for predicting if there is a risk of nonpayment in relation to many oth…
View article: Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset
Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset Open
In quantitative finance, there have been numerous new aspects and developments related with the stochastic control and optimization problems which handle the controlled variables of performing the behavior of a dynamical system to achieve …
View article: SUPG-YZβ formulation for solving convection-dominated steady linear reaction-convection-diffusion equations
SUPG-YZβ formulation for solving convection-dominated steady linear reaction-convection-diffusion equations Open
In this computational study, stabilized finite element solutions of convection-dominated steady linear reaction-convection-diffusion equations are examined. Although the standard Galerkin finite element method (GFEM) is one of the most rob…
View article: A mathematical model for human-to-human transmission of COVID-19: a case study for Turkey's data
A mathematical model for human-to-human transmission of COVID-19: a case study for Turkey's data Open
In this study, a mathematical model for simulating the human-to-human transmission of the novel coronavirus disease (COVID-19) is presented for Turkey's data. For this purpose, the total population is classified into eight epidemiological …
View article: Controlling the Power-Law Fluid Flow and Heat Transfer Under the External Magnetic Field Using the Flow Index and the Hartmann Number
Controlling the Power-Law Fluid Flow and Heat Transfer Under the External Magnetic Field Using the Flow Index and the Hartmann Number Open
The direct and optimal control solution of laminar fully developed, steady Magnetohydrodynamics (MHD) flow of an incompressible, electrically conducting power-law non-Newtonian fluid in a square duct is considered with the heat transfer. T…
View article: Pricing pension buy-outs under stochastic interest and mortality rates
Pricing pension buy-outs under stochastic interest and mortality rates Open
Pension buy-out is a special financial asset issued to offload the pension liabilities holistically in exchange for an upfront premium. In this paper, we concentrate on the pricing of pension buy-outs under dependence between interest and …
View article: Impulsive Expressions in Stochastic Simulation Algorithms
Impulsive Expressions in Stochastic Simulation Algorithms Open
Jumps can be seen in many natural processes. Classical deterministic modeling approach explains the dynamical behavior of such systems by using impulsive differential equations. This modeling strategy assumes that the dynamical behavior of…