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Please click here for a list of participant. - EWGCFM 2015
No Name 1 İrem Surname Institution Article Title Talaslı The Central Bank of Republic of Turkey Talaslı The Central Bank of Republic of Turkey Cobandag Management Engineering , Istanbul Technical University Ekinci Management Engineering , Istanbul Technical University Sabre Le2i, AgroSup 13 Markku Rudan Matti 14 Buzra Kallio Wang Koivu Yaşar Aalto University School of Business Department of Economics, University of Bath Nordic Investment Bank Department of Business Administration, TED University Asymmetric Interest Rate Corridor and Demand for Excess Reserves Asymmetric Interest Rate Corridor and Demand for Excess Reserves A Comparison of Effective Bid-Ask Spread Proxies: Evidence from Borsa Istanbul Futures A Comparison of Effective Bid-Ask Spread Proxies: Evidence from Borsa Istanbul Futures A Game Theoretical Approach to Crypto Cloud Computing and Its Economical and Financial Aspects A Game Theoretical Approach to Crypto Cloud Computing and Its Economical and Financial Aspects A Game Theoretical Approach to Crypto Cloud Computing and Its Economical and Financial Aspects A Game Theoretical Approach to Crypto Cloud Computing and Its Economical and Financial Aspects A General Expression of the Price of an American Options Using Malliavin Derivative A Model Selection Method for Option Pricing A Model Selection Method for Option Pricing A Model Selection Method for Option Pricing A Risk Assessment and Measurement Approach on the Procurement Analysis of Copper Markets A Risk Assessment and Measurement Approach on the Procurement Analysis of Copper Markets A Risk Assessment and Measurement Approach on the Procurement Analysis of Copper Markets A Simulation Study to Quantify the Impact of Long-only Investment in a Concentrated Market with Varying Crosssectional Variation (CSV) A Stepwise Framework to Assess CTRM (Commodity Trading and Risk Management) Opportunities - Specifically LNG - in Turkey’s Gas Hub through 2025. Can Implied Volatility Index Help to Predict Euro Stoxx 50 Index? Comparison of Momentum and Mean Reversion Effects in Distinct Markets Comparison of Momentum and Mean Reversion Effects in Distinct Markets Comparison of Momentum and Mean Reversion Effects in Distinct Markets Computation of Malliavin Greeks in Hybrid Stochastic Volatility Models Computation of Malliavin Greeks in Hybrid Stochastic Volatility Models Coupled Reserve Processes: Simulation and Analysis of Parametric Dependence Coupled Reserve Processes: Simulation and Analysis of Parametric Dependence Coupled Reserve Processes: Simulation and Analysis of Parametric Dependence Currency Hedging for a Multi-National Firm Currency Hedging for a Multi-National Firm Currency Hedging for a Multi-National Firm Determinants of Implied Volatility Slope of S&P 500 Options Mustafa Onan TUSIAD Determinants of Implied Volatility Slope of S&P 500 Options Aslihan Salih Faculty of Business Administration, Bilkent University Determinants of Implied Volatility Slope of S&P 500 Options Aydogan Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Actuarial Sciences, Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Department of International Finance, Yeditepe University Business Administration, Yeditepe University International Finance, Yeditepe University METU, IEU, Enerjisa Determination of Inflation Rate in a HMM Framework: the Case of Turkey Determination of Inflation Rate in a HMM Framework: the Case of Turkey Determination of Inflation Rate in a HMM Framework: the Case of Turkey Do Commodities Really Provide Diversification Benefits? Do Commodities Really Provide Diversification Benefits? Do Commodities Really Provide Diversification Benefits? Effective Risk Measures and Derivatives Pricing in Illiquid Electricity Markets with “Random” Events Effective Risk Measures and Derivatives Pricing in Illiquid Electricity Markets with “Random” Events Effective Risk Measures and Derivatives Pricing in Illiquid Electricity Markets with “Random” Events Effectiveness of Price Limits in Controlling Daily Stock Price Volatility Effectiveness of Price Limits in Controlling Daily Stock Price Volatility Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk Electricity Spot and Derivatives Pricing when Markets are Interconnected Energy Commodities Prices: New Challenges for Risk Managers Energy Pricing Forward Curves and Their Application in Risk Management Anıl 2 Zeynep Cumhur 3 Serap Ergun Technical Education Faculty, Suleyman Demirel University Sirma Zeynep Alparslan Gok Barış Bülent Kirlar Mathematics, Faculty of Arts and Sciences, Suleyman Demirel University Department of Mathematics, Suleyman Demirel University Gerhard-Wilhelm Weber 4 Mohamed Kharrat 5 Berk Refik Wolfgang 6 Güray Orbay Gullu Hörmann Kara Ezgi Lindenmayr A. Sevtap Selcuk Kestel Institute of Applied Mathematics, Middle East Technical University Department of Mathematics, FS Sfax -Tunisia Industrial Engineering, Bogazici University Industrial Engineering Department, Bogazici University Industrial Engineering, Bogazici University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Freiburg University 7 Heidi Raubenheimer Institute of Applied Mathematics, Actuarial Sciences, Middle East Technical University Business School, University of Stellenbosch 8 David Stack Dynamic Commodity Trading, ESCP Europe 9 Silvia Pastorekova VSB-Technical University of Ostrava 10 Armagan Ozbilge Laouar Business Administration / Financial Mathematics, Hacettepe University / Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University ASIS/ International Financial Management , Avans University of Applied Sciences Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Operational Research, Faculty of Mathematics, USTHB Kamal Boukhetala Operational Research, Faculty of Mathematics, USTHB Rchid Yeliz Yolcu Okur Korhan Nazliben 11 Bilgi Yeliz Yolcu 12 Amel 15 Dilek Yilmaz Okur A. Sevtap Selcuk Kestel Yeliz Yolcu Okur 16 Sercan Hatice Gaye Selçuk 17 Erkan Demiralay Gencer Bayracı Kalayci Alper İnkaya Gerhard-Wilhelm Weber 18 Seza Nuray 19 İsmail Danisoglu Güner Başoğlu Wolfgang Hörmann Halis Sak 20 Roland Füss 21 Rita D'Ecclesia 22 Martin Rainer Middle East Technical University, Institute of Applied Mathematics Middle East Technical University, Institute of Applied Mathematics Department of Business Administration, Middle East Technical University (METU) Department of Business Administration, Middle East Technical University (METU) Department of International Logistics Management, Istanbul Kemerburgaz University Industrial Engineering, Bogazici University Department of Mathematical Sciences, Xi'an Jiaotong-Liverpool University Swiss Institute of Banking and Finance (s/bf), University of St.Gallen Methods and Models for Economics, Finance , Sapienza University of Rome Syneco Trading GmbH, München; ENAMEC Institut, Würzburg, Institute of Applied Mathematics, METU Ankara 23 Ece 26 Omri Ross Exchange Rates Forecasting with a New Combined Machine Learning and Statistical Learning Method Exchange Rates Forecasting with a New Combined Machine Learning and Statistical Learning Method Existence of Statistical Arbitrage Portfolios in the BlackScholes Framework Mathematical Sciences, Xian Jiaotong Liverpool University Existence of Statistical Arbitrage Portfolios in the BlackScholes Framework Electrical and Computer Engineering, University of Patras Financial Risk Prediction from Imbalanced Datasets Using Logistic Regression Engineering Sciences, University of Patras Financial Risk Prediction from Imbalanced Datasets Using Logistic Regression Management Engineering, The Technical University of Denmark Fixing the Gold Price 27 Caner Fuad Yazici Financial Mathematics, METU, Institute of Applied Mathematics Flexibility Modelling of Natural Gas Contracts Selcuk Kestel Institute of Applied Mathematics, Actuarial Sciences, Middle East Flexibility Modelling of Natural Gas Contracts Technical University METU, IEU, Enerjisa Flexibility Modelling of Natural Gas Contracts Actuarial Sciences, Hacettepe University Generalized Estimating Equation Approach: An Application to Insurance Data Actuarial Sciences, Hacettepe University Generalized Estimating Equation Approach: An Application to Insurance Data Dept. of Cardiac, Thoracic and Vascular Sciences, University of Generalized Estimating Equation Approach: An Application to Padua Insurance Data UBESPH@DCTV, University of Padova Generalized Estimating Equation Approach: An Application to Insurance Data Financial Intermediaries, Capital Markets Board of Turkey House Price Volatility Patterns in Turkey and Istanbul, Ankara, and Izmir Institute of Applied Mathematics, Middle East Technical Hydro Inflow Forecasting and Virtual Power Plant Pricing in University & EnerjiSA Turkish Electricity Market Middle East Technical University, Institute of Applied Hydro Inflow Forecasting and Virtual Power Plant Pricing in Mathematics Turkish Electricity Market METU, IEU, Enerjisa Hydro Inflow Forecasting and Virtual Power Plant Pricing in Turkish Electricity Market Institute of Applied Mathematics, Actuarial Sciences, Middle East Hydro Inflow Forecasting and Virtual Power Plant Pricing in Technical University Turkish Electricity Market Middle East Technical University, Institute of Applied Investigation of the Cost and Probability of Hedging via the Mathematics Malliavin Calculus Institute of Applied Mathematics, Financial Mathematics, Middle Investigation of the Cost and Probability of Hedging via the East Technical University Malliavin Calculus Management Engineering, Istanbul Technical University Market Dynamics of Borsa Istanbul Stocks around US Macroeconomic News Releases Banking and Finance, Akdeniz University Market Dynamics of Borsa Istanbul Stocks around US Macroeconomic News Releases Institute of Applied Mathematics, Financial Mathematics, Middle Methods of Pricing American Options: Case Study for East Technical University Comparison Department of Mathematics, Atılım University Methods of Pricing American Options: Case Study for Comparison Institute of Applied Mathematics, Middle East Technical Methods of Pricing American Options: Case Study for University Comparison Research and Monetary Policy, Central Bank of Turkey Modelling Interest Rates Moving in a Band Institute of Economics, Economic Theory, University of Freiburg Monetary and Fiscal Policy in a Monetary Union under the Zero Lower Bound Constraint DISMEQ, Università Milano Bicocca Multivariate Mixed Tempered Stable for Asset Allocation University of Milan Multivariate Mixed Tempered Stable for Asset Allocation University of Milano-Bicocca Multivariate Mixed Tempered Stable for Asset Allocation DTU Compute and DTU Management, Technical University of Non-Parametric Portfolio Optimization and Commodity Prices Denmark Institute of Applied Mathematics, Financial Mathematics, Middle Optimal Control of Stochastic Hybrid Delayed Systems with East Technical University Jumps and an Application to Finance Institute of Applied Mathematics, Middle East Technical Optimal Control of Stochastic Hybrid Delayed Systems with University Jumps and an Application to Finance Institute of Applied Mathematics, Middle East Technical Optimal Control of Stochastic Hybrid Models in the University Framework of Regime Switches in Finance and Economics Gerhard-Wilhelm 24 Erdinç Ahmet 25 Georgios Sophia A. Sevtap Erkan 28 Aslıhan Köksal Weber Akyıldırım Goncu Marinakos Daskalaki Kalyci Şentürk Acar Ugur Karabey Nicola Soriani Dario Gregori 29 Yener Coskun 30 Sezer Çabuk Alper İnkaya Erkan Kalyci A. Sevtap Selcuk Kestel 31 Alper Yeliz Yolcu 32 Cumhur Erdinç 33 Burcu İnkaya Okur Ekinci Akyıldırım Aydogan Ümit Alksoy Ömür Uğur 34 Ozgur 35 Stefanie Ozel Flotho 36 Asmerilda Lorenzo Edit 37 Niclas Hitaj Mercuri Rroji Brok 38 Emel Savku Gerhard-Wilhelm Weber 39 Gerhard-Wilhelm Weber Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Middle East Technical University Banking and Finance, Akdeniz University Diogo Pinheiro Department of Mathematics, Brooklyn College of the City University of New York Optimal Control of Stochastic Hybrid Models in the Framework of Regime Switches in Finance and Economics Nuno Azevedo Mathematics, Cemapre Optimal Control of Stochastic Hybrid Models in the Framework of Regime Switches in Finance and Economics Emel Savku Institute of Applied Mathematics, Financial Mathematics, Middle Optimal Control of Stochastic Hybrid Models in the East Technical University Framework of Regime Switches in Finance and Economics 40 Hacer Öz Financial Mathematics, Applied Mathematics Fikriye Yılmaz Mathematics, Gazi University Gerhard-Wilhelm Weber 41 Edward Sun 42 Koray Simsek Cagri Haksoz Metin Cakanyildirim 43 Lorenzo Edit 44 Azar Mercuri Rroji Kaimov Erdem Kilic Gerhard-Wilhelm Weber Optimal Control Problems of Stochastic Heat Equation with Runge-Kutta Schemes Optimal Control Problems of Stochastic Heat Equation with Runge-Kutta Schemes Institute of Applied Mathematics, Middle East Technical Optimal Control Problems of Stochastic Heat Equation with University Runge-Kutta Schemes E&F, KEDGE Business School France Optimal High-Frequency Trading with Financial Transaction Tax Sabanci School of Management, Sabanci University Optimal Procurement with Take-or-Pay Contracts in the Presence of Storage Sabanci School of Management, Sabanci University Optimal Procurement with Take-or-Pay Contracts in the Presence of Storage Operations Management, University of Texas at Dallas Optimal Procurement with Take-or-Pay Contracts in the Presence of Storage University of Milan Option Pricing in an Exponential Mixed TS Process University of Milano-Bicocca Option Pricing in an Exponential Mixed TS Process Financial Mathematics, Institute of Applied Mathematics, Middle Option Pricing under Liquidity Constraints and Sentiment East Technical University Dynamics Economics, MEF University Option Pricing under Liquidity Constraints and Sentiment Dynamics Institute of Applied Mathematics, Middle East Technical Option Pricing under Liquidity Constraints and Sentiment University Dynamics 45 Ayhan Yuksel 46 Tomáš Tichý Sergio Sebastiano Marco 47 Sinem Ortobelli Vitali Cassader Kozpınar Sarı Yeliz Yolcu Okur Özge Tekin Ömür Uğur 48 Malika 49 Yasemin Babes Merzifonluoglu Uzgoren 50 Ethem 51 Silvana Canakoglu Stefani Angelica Gianfreda Daniele Felletti Paolo 52 Emrah Falbo Ahi Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Department of Finance, Faculty of Economics, VSB-Technical University Ostrava MSIA, University of Bergamo Mathematics, Statistics, Computer Science and Applications, University of Bergamo University of Bergamo Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Middle East Technical University University of Annaba Business Administration, Middle East Technical University, Northern Cyprus Campus Industrial Engineering Department, Bahcesehir University Quantitative Methods for Economics and Business Sciences, Università Milano Bicocca Management Science and Operations, London Business School Particle MCMC for a Time Changed Levy Process Metodi Quantitativi, Facoltà di Economia, Università di MilanoBicocca Università di Brescia Center For Computational Finance, Ozyegin University Risk Premia on Electricity Markets Portfolio Selection in the Fixed-Income Market Portfolio Selection in the Fixed-Income Market Portfolio Selection in the Fixed-Income Market Portfolio Selection in the Fixed-Income Market Pricing Stochastic Barrier Options in Presence of Jumps Pricing Stochastic Barrier Options in Presence of Jumps Pricing Stochastic Barrier Options in Presence of Jumps Pricing Stochastic Barrier Options in Presence of Jumps Resolving the Portfolio Problem as a Knapsack Problem Risk Averse Supply Portfolio Selection with Supply, Demand and Spot Market Volatility Risk Management Applications in Electricity Markets Risk Premia on Electricity Markets Risk Premia on Electricity Markets 53 Ertuğrul Bayraktar Ayşe Hümeyra 54 Peter Bilge Deeney Risk Premia on Electricity Markets Robust Optimization Framework for Term Structure Estimation: Emerging vs Developed Markets Department of Management, Bogazici University Robust Optimization Framework for Term Structure Estimation: Emerging vs Developed Markets Center For Computational Finance, Ozyegin University Robust Optimization Framework for Term Structure Estimation: Emerging vs Developed Markets Graduate School of Science Engineering and Technology, Istanbul Sensitivity Analysis for the Markowitz Model Technical University Industrial Engineering, Kadir Has University Sensitivity Analysis for the Markowitz Model Business School, Dublin City University Social Media Sentiment in the EU Emissions Trading Scheme Mark Cummins Business School, Dublin City University Social Media Sentiment in the EU Emissions Trading Scheme Michael Dowling Business School, Dublin City University Social Media Sentiment in the EU Emissions Trading Scheme Alan Smeaton School of Computing, Dublin City University Social Media Sentiment in the EU Emissions Trading Scheme Goncu Simsek Mathematical Sciences, Xian Jiaotong Liverpool University Institute of Aplied Mathematics, Actuarial Sciences, Middle East Technical University Institute of Applied Mathematics, Actuarial Sciences, Middle East Technical University Institute of Applied Mathematics, Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Statistics, Middle East Technical University Vedat Akgiray Emrah Sener 55 Ahmet 56 Meral A. Sevtap Selcuk Kestel Ömür Uğur Özge Tekin 57 Sipan Aslan Ceylan Yozgatligil Cem Iyigün 58 Ugur Sule 59 Bükre Murat 60 Amir Hamed Ceylan 61 Audrius Karabey Sahin Yıldırım Büyükyazıcı Zakeri Yozgatligil Kabasinskas Francesca Maggioni Department of Management, Economics and Quantitative Methods, University of Bergamo Two-Stage Stochastic Programming Problem for Modelling of Accrual in Pillar II from Lithuanian Pension System Kristina Šutienė Dept. of Mathematical Modeling, Kaunas University of Technology Two-Stage Stochastic Programming Problem for Modelling of Accrual in Pillar II from Lithuanian Pension System Animoku Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Middle East Technical University Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Financial Risk Management, KPMG LLP Uncertainty Quantification and Implementation of Local Volatility Surfaces in Bayesian Framework Uncertainty Quantification and Implementation of Local Volatility Surfaces in Bayesian Framework Uncertainty Quantification and Implementation of Local Volatility Surfaces in Bayesian Framework Valuing Optionality when Discounting Derivative Cashflows Institute of Applied Mathematics, Financial Mathematics, Middle East Technical University Institute of Applied Mathematics, Middle East Technical University Institute of Applied Mathematics, Middle East Technical University Industrial Engineering Department, Çankaya University Wavelet Analysis of Financial Time Series 62 Abdulwahab Ömür Uğur Yeliz Yolcu Okur 63 Tim Wagner 64 Deniz Kenan Kilic Ömür 65 Miray Hanım Uğur Yıldırım Özlem Türker Bayrak A. Sevtap Selcuk Kestel Gerhard-Wilhelm Weber 66 Frank Houmin 67 Nalan Dessislava 68 Statistical Arbitrage: A Factor Model Approach Surplus Process with Perturbations of a Brownian Motion in an Insurance Porftfolio Surplus Process with Perturbations of a Brownian Motion in an Insurance Porftfolio Surplus Process with Perturbations of a Brownian Motion in an Insurance Porftfolio Surplus Process with Perturbations of a Brownian Motion in an Insurance Porftfolio Temporal Clustering of Commodities via Threshold Autoregressive Models Department of Statistics, Middle East Technical University Temporal Clustering of Commodities via Threshold Autoregressive Models Department of Industrial Engineering, Middle East Technical Temporal Clustering of Commodities via Threshold University (METU) Autoregressive Models Actuarial Sciences, Hacettepe University The Effect of Real and Nominal Interest Rates on the Risk Measures and the Prices of Future Annuities Actuarial Sciences, Hacettepe University The Effect of Real and Nominal Interest Rates on the Risk Measures and the Prices of Future Annuities Actuarial Science, Institute of Applied Mathematics The Effect of Turkish Mortality Improvements on the Cost of Annuities using Entropy Measure Actuarial Science, Hacettepe University The Effect of Turkish Mortality Improvements on the Cost of Annuities using Entropy Measure Department of Statistics, Middle East Technical University Time Series Modeling of Electricity Prices in Turkey Department of Statistics, Middle East Technical University Time Series Modeling of Electricity Prices in Turkey Dept. of Mathematical Research in Systems, Kaunas University of Two-Stage Stochastic Programming Problem for Modelling of Technology Accrual in Pillar II from Lithuanian Pension System Martín 69 Barış Chen Yan Gülpınar Pachamanova Dâvila Sürücü Wavelet Analysis of Financial Time Series Wavelet – Multivariate Adaptive Regression Splines and Their Application to the UK Electricity Market Wavelet – Multivariate Adaptive Regression Splines and Their Application to the UK Electricity Market Institute of Applied Mathematics, Actuarial Sciences, Middle East Wavelet – Multivariate Adaptive Regression Splines and Their Technical University Application to the UK Electricity Market Institute of Applied Mathematics, Middle East Technical Wavelet – Multivariate Adaptive Regression Splines and Their University Application to the UK Electricity Market Management Sciences, The City Univ of Hong Kong Weather Risk Hedging - an Operations Perspective The City University of Hong Kong Weather Risk Hedging - an Operations Perspective Warwick Business School, The Warwick University Robust Approaches to Asset Liability Management under Uncertainity Mathematics and Sciences, Babson College Robust Approaches to Asset Liability Management under Uncertainity Economics, Universidad Popular Autónoma del Estado de Corporate Governance and Financial Crises in Mexico Puebla, A.C. Department of Statistics, Middle East Technical University Estimating Hazard Rate for Censored Structures
