Graduate School of Applied Mathematics, Thesis

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Thesis (429)

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Natural Sciences (74)
Cryptography. (55)
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2004 - 2009 (74)
2010 - 2019 (229)
2020 - 2025 (126)

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Master Thesis (296)
Ph.D. Thesis (133)

Recent Submissions

Stochastic Non-Life Reserve Estimation and Risk Adjustments under IFRS 17 Akarsu Şengöz, Gülçin; Kestel, Sevtap Ayşe; Kestel, Sevtap Ayşe; Department of Financial Mathematics (2025-1-10) Claim reserving is always a critical concept in the insurance sector. Various approaches, both stochastic and deterministic, are developed and extensively discussed in the literature; deterministic approaches, such as the ...
QUANTUM MAXIMUM DISTANCE SEPERABLE CODES KIRCALI, MUSTAFA; Özkaya, Buket; Özbudak, Ferruh; Department of Cryptography (2025-1-10) Quantum error-correcting codes (QECCs) are a cornerstone of fault-tolerant quantum computing, providing an essential means to protect delicate quantum information from the inevitable errors introduced by decoherence, noise...
Inventory process dynamics of a market making model with regime switch Alkan, Nazlan Belemir; Sezer, Ali Devin; Başoğlu Kabran, Fatma; Department of Financial Mathematics (2025-1-07) We study a version of the Avellaneda Stoikov (AS) market-making model, which optimizes the bid and ask spread of the market maker, with regime switch as proposed in the preprint ``Short Term Market Changes and Market Maki...
Hitting Probabilities of Constrained Simple Random Walks in Three Dimensions Aktepe İlter, Cansu; Sezer, Ali Devin; Department of Financial Mathematics (2025-1-7) We study the constrained simple random walk in three dimensions modeling the state of a queueing system with three nodes working in parallel. The process is assumed to be stable, i.e., the service rate at each node is grea...
Efficient Batch Algorithms for the Post-Quantum Crystals Dilithium Signature Scheme and Crystals Kyber Encryption Scheme Türe, Nazlı Deniz; Yayla, Oğuz; Cenk, Murat; Department of Cryptography (2024-9-6) Digital signatures ensure authenticity and data integrity and are widely utilized in various fields such as information technologies, finance, education, and law. They are crucial in securing servers against cyber attacks ...
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...
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...
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...
Option Pricing Under Delay Effect Alptekin, Emine Ezgi; Uğur, Ömür; Department of Financial Mathematics (2024-9-02) In many fields like physics, ecology, biology, economics, engineering, and financial mathematics, events often don’t have an immediate effect. Instead, they impact future situations. To understand how these systems work an...
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...
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...
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...
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...
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...
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...
Estimation of a Stochastic Volatility and Jumps Model Using Generalized Method of Moments with Ordinary Moment Conditions Yakut, Şeref Kutay; Sezer, Ali Devin; Department of Financial Mathematics (2024-4-16) One of the first works estimating jump risk premium in financial markets is the seminal work of Jun Pan published in 2002. In this work Pan uses the generalized method of moments (GMM) to estimate the parameters of a stoch...
SOME CONSTRUCTIONS OF MUTUALLY UNBIASED BASES OVER FINITE FIELDS Elmas, Gökhan; Özkaya, Buket; Özbudak, Ferruh; Department of Cryptography (2024-2-26) Mutually unbiased bases, as a mathematical concept, has important implications in quantum information theory where the information is encoded as linear combinations of vectors in Hilbert spaces instead of as arrays of digi...
Proba: privacy-preserving, robust and accessible blockchain-powered helios Kocaman, Sermin; Doğanaksoy, Ali; Sulak, Fatih; Department of Cryptography (2024-1-26) Helios is the first web-based and open-audit voting system. The open-audit feature allows anyone to track the voting process, thus providing easy verifiability in all stages of the elections. Despite many advantages, Helio...
VERIFIABLE ACCOUNTABLE SUBGROUP MULTI-SIGNATURES Ağırtaş, Ahmet Ramazan; Yayla, Oğuz; Department of Cryptography (2024-1-22) In this thesis, we introduce an accountable subgroup multi-signature (ASM) framework. The framework comprises three novel pairing-based ASM schemes, i.e., vASM, ASMwSA and ASMwCA, each designed to be secure against chosen-...
A STRATEGY BASED ON STATISTICAL MODELLING AND MULTI-OBJECTIVE OPTIMIZATION TO DESIGN A DISHWASHER CLEANING CYCLE ANAPA, KORKUT; Yücel, Hamdullah; Bayraktar, Songül; Department of Scientific Computing (2023-12-22) This thesis 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. First, regre...

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