Bilgi Yilmaz

Middle Eastern Technical University Ankara

Ankara

Turkey

SCHOLARLY PAPERS

5

DOWNLOADS

205

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Computation of the Delta of European Options Under Stochastic Volatility Models

Number of pages: 19 Posted: 02 Dec 2016
Middle Eastern Technical University Ankara, Advanced Logic Analytics, Middle Eastern Technical University Ankara and Middle Eastern Technical University Ankara
Downloads 111 (293,682)

Abstract:

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Greeks, Malliavin calculus, Stochastic volatility

2.

Diversification Benefit and Return Performance of REITs Using CAPM and Fama-French: Evidence from Turkey

Borsa İstanbul Review, Forthcoming
Number of pages: 17 Posted: 07 Sep 2017
Capital Markets Board of Turkey, Middle East Technical University (METU) and Middle Eastern Technical University Ankara
Downloads 88 (342,091)

Abstract:

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REIT; CAPM; Fama-French model; Turkish REITs; Borsa Istanbul

3.

Computation of Option Greeks Under Hybrid Stochastic Volatility Models Via Malliavin Calculus

Modern Stochastics: Theory and Applications 5 (2), 145–165, 2018
Number of pages: 21 Posted: 03 Apr 2020
Bilgi Yilmaz
Middle Eastern Technical University Ankara
Downloads 6 (717,436)

Abstract:

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Malliavin Calculus, Bismut–Elworthy–Li Formula, Computation of Greeks, Hybrid Stochastic Volatility Models

4.

A Stochastic Approach to Model Housing Markets: The US Housing Market Case

American Institute of Mathematical Sciences (2018) Doi 10.3934/naco.2018030
Posted: 06 Apr 2020
Bilgi Yilmaz and Sevtap Kestel
Middle Eastern Technical University Ankara and Independent

Abstract:

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Housing index, Mortgage rate, Stochastic differential equations, Forecasting, Calibration

5.

Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach

Journal of Real Estate Finance and Economics, Forthcoming
Posted: 08 Mar 2020
Bilgi Yilmaz and Sevtap Kestel
Middle Eastern Technical University Ankara and Independent

Abstract:

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Mortgage default risk; Mortgage prepayment risk; Malliavin calculus; hedging coefficients; Monte Carlo simulation