Prof.Dr. ÖMÜR UĞUR
GRADUATE SCHOOL OF APPLIED MATHEMATICS
PublicationsResearchMembership & Awards
E-mail :  
Url :  https://www.metu.edu.tr/~ougur
Phone :  +90312210 5617
Fax :  +903122102985
Address :
 

Education

  Bachelor's, Middle East Technical University, Mathematics
  Master's, Middle East Technical University, Mathematics
  Doctorate, Middle East Technical University, Mathematics

Research

Thesis Supervised

  A.1 CREDIT RISK MODELLING UNDER VARIANCE GAMMA PROCESS. Msc Thesis. HATİCE ANAR. (2008)
  A.2 INTEREST RATE OPTIONS. Msc Thesis. HÜSEYİN ŞENTÜRK. (2008)
  A.3 DERIVATIVE FREE MULTILEVEL OPTIMIZATION METHODS. Msc Thesis. BENGİSEN PEKMEN. (2009)
  A.4 ON THE APPLICATIONS OF THE VARIATIONAL ITERATION METHOD: LINEAR AND NONLINEAR PROBLEMS. Phd Thesis. DERYA ALTINTAN. (2011)
  A.5 PRICING AND HEDGING OF CONSTANT PROPORTION DEBT OBLIGATIONS. Phd Thesis. AYŞEGÜL İŞCANOĞLU. (2011)
  A.6 STOCHASTIC CREDIT DEFAULT SWAP PRICING. Msc Thesis. İSMAİL HAKKI GÖKGÖZ. (2012)
  A.7 RISK MEASUREMENT, MANAGEMENT AND OPTION PRICING VIA A NEW LOG-NORMAL SUM APPROXIMATION METHOD. Phd Thesis. SERKAN ZEYTUN. (2012)
  A.8 ANALYSIS OF THRESHOLD DYNAMICS OF EPIDEMIC MODELS IN A PERIODIC ENVIRONMENT. Msc Thesis. CANSU EVCİN. (2013)
  A.9 PORTFOLIO OPTIMIZATION IN THE PRESENCE OF BOUNDED EXPECTED LOSS. Msc Thesis. ALEV MERAL. (2013)
  A.10 SIMULATING STOCHASTIC DIFFERENTIAL EQUATIONS USING ITO-TAYLOR SCHEMES. Msc Thesis. EKİN BAYLAN. (2014)
  A.11 MODELLING AND IMPLEMENTATION OF LOCAL VOLATILITY SURFACES. Msc Thesis. ABDULWAHAB ADINOYI ANIMOKU. (2014)
  A.12 TIME SERIES ANALYSIS AND FORECASTING ELECTRICITY PRICES IN TURKEY. Msc Thesis. SEYED AMIR HAMED ZAKERI. (2015)
  A.13 MULTIRESOLUTION ANALYSIS OF S&P500 TIME SERIES. Msc Thesis. DENİZ KENAN KILIÇ. (2015)
  A.14 OBJECT-ORIENTED IMPLEMENTATION OF OPTION PRICING VIA MATLAB: MONTE CARLO APPROACH. Msc Thesis. ÖZGE TEKİN. (2015)
  A.15 STOCHASTIC SURPLUS PROCESSES WITH VAR AND CVAR SIMULATIONS IN ACTUARIAL APPLICATIONS. Msc Thesis. MERAL ŞİMŞEK. (2016)

Project Work

  A.1 Software support for the compositional product development of derivatives based on a formal language.. Not Applicable (Government of Rhineland-Palatinate, Germany), 1 OCTOBER 2005 - . Researcher .
  A.2 LMM Prototype for VALUEPRICE. OTHER INTERNATIONAL AGENCIES VALUEPRICE AG. Germany, 1 DECEMBER 2009 - 1 MARCH 2010. Local Coordinator .
  A.3 Unified And Hybrid Approaches To Identification, Optimization And Control Of Stochastic Financial Processess-Theory, Methods And Applications. BAP-1 (Excluding thesis supports) , 1 JANUARY 2012 - 1 DECEMBER 2012. Researcher .
  A.4 Biyokimyasal sistemlerin stokastik simülasyon algoritmalarıyla yaratılması ve impuls içerecek şekilde genişletilmesi. BAP-1 BAP-1 , 1 JANUARY 2014 - 1 DECEMBER 2016. Researcher .
  A.5 Adveksiyon- ve Reaksiyon-Difuzyon Sistemleri için Optimal Kontrol ve Parametre Tahmin Yöntemleri. BAP-1 BAP-1 , 1 JANUARY 2015 - 1 DECEMBER 2015. Local Coordinator .
  A.6 Sıçramalı Difüzyon Süreçleri Varsayımı Altında Bariyer Opsiyonlarının Fiyatlandırılması. BAP-1 BAP-1 , 1 JANUARY 2015 - 1 DECEMBER 2015. Researcher .
  A.7 Türev Araçların Lévy Modeli Altında Monte Carlo Benzetimi ile Fiyatlandırılması. BAP-1 BAP-1 , 1 JANUARY 2015 - 1 DECEMBER 2015. Local Coordinator .
  A.8 Monte Carlo simülasyon teknikleri ile iflas olasılıklarının tahmininde CVaR optimizasyonu. BAP-1 BAP-1 , 1 JANUARY 2016 - 1 DECEMBER 2016. Local Coordinator .
  A.9 Navier-Stokes Denklemleri için Kontrol Problemleri ve Uygulamaları. BAP-1 BAP-1 , 1 JANUARY 2016 - 1 DECEMBER 2016. Local Coordinator .
  A.10 Türev Araçların Lévy Modeli Altında Monte Carlo Benzetimi ile Fiyatlandırılması. BAP-1 BAP-1 , 1 JANUARY 2017 - 1 DECEMBER 2017. Local Coordinator .
  A.11 Finansal, Ekonomik ve Bilimsel Süreçlere Ait Sıçramalı Stokastik Hibrit Sistemler: Optimal Kontrol ve Optimizasyon. BAP-1 BAP-1 , 1 JANUARY 2017 - 1 DECEMBER 2017. Local Coordinator .
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