Burhaneddin İzgi

Istanbul Technical University - Department of Mathematical Engineering

Ayazaga Kampusu

Fen Edebiyat Fakultesi

İstanbul

Turkey

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Application of the Heston Stochastic Volatility Model for Borsa Istanbul Using Impression Matrix Norm

A. Duran and B. İzgi, Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm, Journal of Computational and Applied Mathematics, 281, 2015, pp. 126-134, DOI 10.1016/j.cam.2014.12.020
Posted: 23 May 2018
Ahmet Duran and Burhaneddin İzgi
Istanbul Technical University, Department of Mathematical Engineering and Istanbul Technical University - Department of Mathematical Engineering

Abstract:

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2.

3d Extreme Value Analysis for Stock Return, Interest Rate and Speed of Mean Reversion

B. İzgi and A. Duran, 3D Extreme Value Analysis for Stock Return, Interest Rate and Speed of Mean Reversion, Journal of Computational and Applied Mathematics, 297, 2016, pp. 51-64, DOI: 10.1016/j.cam.2015.10.009
Posted: 23 May 2018
Burhaneddin İzgi and Ahmet Duran
Istanbul Technical University - Department of Mathematical Engineering and Istanbul Technical University, Department of Mathematical Engineering

Abstract:

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3D extreme value analysis, Fat-tails, High-peaks, Numerical solutions of stochastic differential equations, Heston model, Comovement