Stochastic processes and financial applications

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• REFET SOYKAN GÜRKAYNAK

For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflat…

• REFET SOYKAN GÜRKAYNAK

This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance. The topic is important to investors and also to policymakers, who wish to extract macroeconomic expectations from longer-term interes…

• REFET SOYKAN GÜRKAYNAK

In a parallel discrete-event simulation (PDES) scheme, tasks are distributed among processing elements (PEs) whose progress is controlled by a synchronization scheme. For lattice systems with short-range interactions, the progress of the conservative PDES scheme is governed by the Kardar-Parisi-Zhang equation from the…

• HASAN GÜÇLÜ

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• UĞUR ÇELİKYURT

In this paper we are concerned with numerical methods to solve stochastic differential equations (SDEs), namely the Euler-Maruyama (EM) and Milstein methods. These methods are based on the truncated Ito-Taylor expansion. In our study we deal with a nonlinear SDE. We approximate to numerical solution using Monte Carlo…

• GÜLŞEN ORUCOVA BÜYÜKÖZ
• MUSTAFA BAYRAM
• TUĞÇEM PARTAL

Importance sampling is the most commonly used technique for speeding up Monte Carlo simulation of rare events. However, little is understood in the design of efficient importance sampling algorithms in the context of queueing networks. The standard approach, which simulates the system using an a priori fixed change of…

In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a Polish space. At each time, the agents are coupled through the empirical distribution of their states,…

ABSTRACT This paper provides new tests of the arbitrage pricing theory (APT). Test results appear to be extremely sensitive to the number of securities used in the two stages of the tests of the APT model. New tests also indicate that unique risk is fully as important as common risk. While these tests have serious lim…

Abstract This paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation betwe…

• KEMAL ÖZGÜR DEMİRTAŞ

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• ETHEM ÇANAKOĞLU

In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem.Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of "smaller than", or "greater than", between stock price and exercise p…

• MEHMET YAVUZ
• NECATİ ÖZDEMİR