Graduate School of Applied Mathematics, Thesis

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Thesis (324)

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Akleylek, Sedat (2)
Akman, Tuğba (2)
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Cryptography. (55)
Data encryption (Computer science). (30)
Finance. (28)
Stock exchanges. (21)
Mathematics. (19)

Date Issued
2004 - 2009 (74)
2010 - 2019 (229)
2020 - 2021 (21)

Recent Submissions

Optimal market making models in high-frequency trading
Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit; Department of Financial Mathematics (2021-4-08)
In this thesis, we aim to develop optimal trading strategies in a limit order book for high-frequency trading by stochastic control theory. First, we address for evolving optimal prices where the underlying asset follow...
Optimal Capacity Allocation in Electricity Industry in accordance with Renewable Energy Sources: The US Case
Gölbaşı, Umut; Kestel, Sevtap Ayşe; Yılmaz, Bilgi; Department of Financial Mathematics (2021-3-15)
Electricity generation cost and environmental effects of electricity generation continue to be among central themes in energy planning. The choice of electricity generation technology and energy source affect the environme...
Intraday price reversals with high frequency data : applied to BIST 100 index
Cingöz, Fatih; Oran, Adil; Department of Financial Mathematics (2021-3-03)
Investors are willing to exploit opportunities to earn abnormal profits. Event studymethodology has received considerable attention to catch these opportunities. How-ever, the literature dealing with short-term rea...
Permutation polynomials and construction of bent functions
Ongan, Pınar; Doğanaksoy, Ali; Temür, Burcu Gülmez; Department of Cryptography (2021-3-03)
This thesis consists of two main parts: In the first part, a study of several classes ofpermutation and complete permutation polynomials is given, while in the second part,a method of construction of several new classes o...
Hybrid wavelet-neural network models for time series data
Kılıç, Deniz Kenan; Uğur, Ömür; Department of Financial Mathematics (2021-3-3)
The thesis aims to combine wavelet theory with nonlinear models, particularly neural networks, to find an appropriate time series model structure. Data like financial time series are nonstationary, noisy, and chaotic. Ther...
Zero-knowledge range proofs and applications on decentralized constructions
Günsay, Esra; Cenk, Murat; Department of Cryptography (2021-2-15)
Appropriate, effective, and efficient use of cryptographic protocols contributes to many novel advances in real-world privacy-preserving constructions. One of the most important cryptographic protocols is the zero-knowledg...
Gröbner basis attack on stark-friendly symmetric-key primitives: jarvis, mimc and gmimcerf
Kara, Gizem; Doğanaksoy, Ali; Yayla, Oğuz; Department of Cryptography (2021-2-11)
A number of arithmetization-oriented ciphers emerge for use in advanced cryptographic protocols such as secure multi-party computation (MPC), fully homomorphic encryption (FHE) and zero-knowledge proofs (ZK) in recent year...
Performance of hybrid machine learning algorithms on financial time series data
Sayın, Merve Gözde; Yozgatlıgil, Ceylan; Uğur, Ömür; Department of Financial Mathematics (2021-2-5)
Estimating stock indices that reflect the market has been an essential issue for a long time. Although various models have been studied in this direction, historically, statistical methods and then various machine learning...
Identity/attribute-based authentication protocols based on pairings
Öztürk, Gülnihal; Doğanaksoy, Ali; Department of Cryptography (2020-10-22)
Authentication is one of the most important goals in cryptography. It provides sharing information with only authorized people and protecting data from being modified. Authentication can be achieved in various ways such as...
Efficient implementation of lattice-based schemes
Bilgin, Yusuf Alper; Cenk, Murat; Department of Cryptography (2020-10-14)
Quantum computing and quantum computers have been discussed for almost three decades. However, they remain mainly in theory. Almost all big companies like Google, IBM, and Microsoft have put their effort to build the mos...
Cryptographic modules validation process according to the FIPS 140 and ISO/IEC 15408
Yener, Cansu; Doğanaksoy, Ali; Yayla, Oğuz; Department of Cryptography (2020-9)
With the advancement of technology, questions have arisen regarding the reliability of information technology products. Some standards have emerged to ensure the reliability of these products and to validate this reliabili...
Pricing inflation indexed bonds and embedded deflation floor options: An analysis on Turkish bond market
Bayram, Berat; Sezer, Ali Devin; Department of Financial Mathematics (2020-9)
Fixed income securities are financial contracts that provide a stream of cash flows to the investors. Such cash flows are exposed to inflation risk. From the perspective of the lender, the purchasing power of provided cash...
Solution of the Almgren-Chriss model with quadratic market volume via special functions
Ertürk, Eren; Sezer, Ali Devin; Department of Financial Mathematics (2020-9)
One of the current topics of research in mathematical finance is the scheduling of buy or sell orders to liquidate a position. A well-known framework for this problem is the one proposed by Almgren and Chriss that poses th...
Reevaluating Spectral Partitioning for Unsymmetric Matrices
Oktay, Eda; Manguoğlu, Murat; Yücel, Hamdullah; Department of Scientific Computing (2020-9)
Parallel solutions to scientific problems having graph representation require efficienttasks and partitioning data. In this thesis, various parallel graph partitioning algorithms are studied. While these algorithms are app...
Continuity problem for backward stochastic differential equations with singular nonmarkovian terminal conditions and deterministic terminal times
Ahmadi, Mahdi; Sezer, Ali Devin; Department of Financial Mathematics (2020-9)
In this thesis we study a class of Backward Stochastic Differential Equations (BSDE) with superlinear driver process f adapted to a filtration F = fFt; t 2 [0; T]g supporting at least a d dimensional Brownian motion and a ...
Option pricing in interest rate derivatives
Küçüksaraç, Doruk; Danışoğlu, Seza; Department of Financial Mathematics (2020)
The valuation of interest rate derivatives and embedded options in fixed-income securities is crucial for market practitioners. Although there have been many models to price interest rate derivatives, the inconsistency acr...
High performance number theoretic transforms in cryptography
Ulu, Metin Evrim; Cenk, Murat; Department of Cryptography (2020)
Theoretical advances in physics opened up a new window into quantum computation. This window rendered a number of mathematically hard problems unusable for cryptographic applications. For instance, Shor showed that it is p...
Secure message authentication protocol for can (controller area network).
Mertol, Sarp; Doğanaksoy, Ali; Department of Cryptography (2020)
The widespread communication of vehicles with each other and road infrastructure has raised concerns about how to ensure network security of the electronic control units (ECUs) in the vehicle. The fact that networks such a...
On password-based authenticated key exchange (PAKE) protocols.
Tonga, Meryem; Doğanaksoy, Ali; Department of Cryptography (2020)
Authentication and key agreement protocols play an important role in today’s digital world. Key agreement methods mostly mimic Diffie-Hellman key exchange protocol, but unfortunately they are susceptible to man-in-the-midd...
A study of lightweight cryptography
Çamur, Zeliha; Doğanaksoy, Ali; Department of Cryptography (2020)
Technology is evolving rapidly and with technology, the internet is also changing. People used to use internet to connect to each other. But with the changes in recent years, the internet is starting to be used more to con...
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