Graduate School of Applied Mathematics

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Recent Submissions

SUPG-based stabilized finite element computations of convection-dominated 3D elliptic PDEs using shock-capturing Cengizci, Süleyman; Uğur, Ömür; Natesan, Srinivasan (2024-12-01) This study is interested in stabilized finite element computations of advection-dominated convection–diffusion-type partial differential equations. The governing equations are assumed to be defined on the 3D unit cube and ...
Analyzing how inflation affects non-instantly decaying goods with demand linked to ads and selling price in a dual-warehouse setup Limi, Anthony; Rangarajan, K.; Jana, Chiranjibe; Ghith, Ehab; Lamoudan, Tarik; Weber, Gerhard Wilhelm; Abdelhamid, Abdelaziz A. (2024-11-01) This study explores inventory management strategies specifically designed for non-instantaneous deteriorating goods under inflationary conditions, utilizing a dual-warehouse system—one owned and the other rented with limit...
SOLVING MATRIX GAME USING ROUGH INTERVAL PAYOFFS Ghosh, Piyush; Bhaumik, Ankan; Weber, Gerhard Wilhelm; Roy, Sankar Kumar (2024-10-01) In this paper, we conduct an analysis of a matrix game using rough interval payoffs, which we refer to as the rough interval matrix game (RIMG). We employ three methods to address the problem at hand: linear programming, g...
IMPACT OF RISK LIQUIDITY PREMIUM ON INVENTORY PROCESS IN A MARKET MAKING MODEL Ateşağaoğlu Alan, Gizem Damla; Sezer, Ali Devin; Department of Financial Mathematics (2024-9-5) A basic market making model in mathematical finance is the one proposed by Avellaneda and Stoikov (AS), which is formulated as a stochastic optimal control problem. This model includes a risk liquidity premium function ℓ w...
MACHINE LEARNING APPLICATIONS IN PORTFOLIO OPTIMIZATION Uykun, Firdevs Nur; Temoçin, Büşra Zeynep; Department of Financial Mathematics (2024-9-5) This study examines the evaluation of S&P 500 trend movements and their impact on portfolio optimization methodologies. Through the meticulous construction of risk aversion-adjusted portfolios applicable to both single and...
Entropy estimation methods and health tests for cryptographic random number generators Aslan, Melis; Doğanaksoy, Ali; Department of Cryptography (2024-9-02) Random numbers play a crucial role in cryptography since the security of cryptographic protocols relies on the assumption of the availability of uniformly distributed and unpredictable random numbers to generate secret key...
A computational study for simulating MHD duct flows at high Hartmann numbers using a stabilized finite element formulation with shock-capturing Cengizci, Süleyman; Uğur, Ömür (2024-09-01) The concern of this manuscript is stabilized finite element simulations of two-dimensional incompressible and viscous magnetohydrodynamic (MHD) duct flows governed by a coupled system of partial differential equations of t...
A strategy based on statistical modelling and multi-objective optimization to design a dishwasher cleaning cycle Anapa, Korkut; Yücel, Hamdullah (2024-09-01) This study proposes a novel approach based on statistical learning and multi-objective optimization to reduce the need for experiments during the design phase of new cleaning cycles for household dishwashers. We first buil...
On an Efficient Implementation of Combined True Random Number Generator and Physically Unclonable Function on a SoC FPGA Yılmaz, Yunus Emre; Yayla, Oğuz; Department of Cryptography (2024-9) True Random Number Generators (TRNGs) and Physically Unclonable Functions (PUFs) are two basic and useful primitives in designing cryptographic systems. TRNGs must be invariably random, while PUFs must have repetitive res...
A different base approach for better efficiency on range proofs Günsay, Esra; Betin Onur, Cansu; Cenk, Murat (2024-09-01) Zero-knowledge range proofs (ZKRPs) are commonly used to prove the validation of a secret integer lies in an interval to some other party in a secret way. In many ZKRPs, the secret is represented in binary and then committ...
Optimal Portfolio Allocation Under Fractal Theory AÇIKGÖZ, TÜRKER; Temoçin, Büşra Zeynep; Department of Financial Mathematics (2024-8-27) The Efficient Market Hypothesis has been dominating the literature of finance for a long time. Meanwhile, the problematic assumptions and inappropriateness of Efficient Market Hypothesis in explaining real-life financial m...
The impact of dependence between claim frequency and severity on expected loss using GLM: MTPL application Aslanöz, İlkyaz; Kestel, Sevtap Ayşe; Yıldırım Külekci, Bükre; Department of Actuarial Sciences (2024-7-31) In non-life insurance, the accurate estimation of total loss is extremely important for companies' asset-liability management. To estimate the total loss, insurance companies use generalized linear model (GLM) as it is com...
INFLUENCE OF EXPECTED PREMIUM ON OPTIMAL REINSURANCE AND INVESTMENT STRATEGY Gülveren, Anıl; Kestel, Sevtap Ayşe; Bulut Karageyik, Başak; Department of Financial Mathematics (2024-7-31) This thesis investigates optimal investment and reinsurance strategies aimed at maximizing the expected utility of wealth. Building on foundational work in optimal in vestment and insurance strategy within a diffusion setu...
FUTURE PRICE INDEX OF FARM PRODUCTS BASED ON CLIMATE FACTORS KARASU, NURŞEN; Erdil, Erkan; Department of Financial Mathematics (2024-7-3) Climate conditions have a big impact on the yield of farm products, hence the prices. This thesis makes price prediction of majorly traded grains, Wheat, Barley and Corn, based on major climate conditions, total precipitat...
Ruin probability for heavy-tailed and dependent losses under reinsurance strategies Yıldırım Külekci, Bükre; Korn, Ralf; Kestel, Sevtap Ayşe (2024-07-01) The frequency and severity of extreme events have increased in recent years in many areas. In the context of risk management for insurance companies, reinsurance provides a safe solution as it offers coverage for large cla...
New distance bounds for quasi-cyclic codes Özkaya, Buket; Özbudak, Ferruh (2024-07-01)
On some permutation trinomials in characteristic three Özkaya, Buket; Gülmez Temür, Burcu (2024-07-01)
On a class of permutation trinomials over finite fields Özkaya, Buket; Gülmez Temür, Burcu (2024-07-01)
Analysis of the threshold dependence of degree related indices in weighted random graphs and complex networks Işlak, Ümit; Yıldırım Külekci, Bükre (2024-06-26)
Investigation of the Greenium in Commercial Mortgage-Backed Securities Kahveci, Sena; Güner, Zehra Nuray; Department of Financial Mathematics (2024-5-27) In recent years, environmental factors seem to play an important role in financial decisions, particularly due to the increasing popularity of sustainable investing strategies. One of the investment alternatives in this fi...

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