Graduate School of Applied Mathematics, Book / Book chapter

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Kestel, Sevtap Ayşe (4)
Kalaycı, Erkan (2)
Mert, Özenç Murat (2)
Çabuk, Sezer (2)
Ergökmen, Gülden (1)

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Catastrophe risk (1)
Expected loss (1)
Gaussian process model (1)
Hydro inflow forecast (1)
Mean absolute percentage error (1)

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2009 - 2009 (1)
2010 - 2019 (2)
2020 - 2022 (3)

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Book Chapter (5)

Recent Submissions

Impact of Outlier-Adjusted Lee–Carter Model on the Valuation of Life Annuities
Yavrum, Cem; Kestel, Sevtap Ayşe (Springer, London/Berlin , 2022-01-01)
Annuity pricing is critical to the insurance companies for their financial liabilities. Companies aim to adjust the prices using a forecasting model that fits best to their historical data, which may have outliers influ...
Forecasting the Hydro Inflow and Optimization of Virtual Power Plant Pricing
Çabuk, Sezer; Mert, Özenç Murat; Kestel, Ayşe Sevtap; Kalaycı, Erkan (Springer, London/Berlin , 2021-07-01)
Forecasting the Hydro Inflow and Optimization of Virtual Power Plant Pricing
Çabuk, Sezer; Mert, Özenç Murat; Kestel, Sevtap Ayşe; Kalaycı, Erkan (Springer, 2021-01-01)
Hydro inflow forecasting is crucial for effective hydro optimization, virtual power plant pricing, volume risk management, and weather derivatives pricing in the electricity markets. Predicting hydro inflow allows the deci...
Actuarial present value and variance for changing mortality and stochastic interest rates
Yıldırım, Bükre; Kestel, Sevtap Ayşe; Ergökmen, Gülden (Springer Proceedings in Mathematics Statistics, 2017-01-01)
A Bayesian pricing model for CAT bonds
Frıeder, Ahrens; Fuess, Roland; Kestel, Sevtap Ayşe (Springer, 2014-01-01)
This paper examines the impact of the 2005 hurricane season, particularly Hurricane Katrina, on the pricing of CAT bonds. We examine whether highly rated CAT bonds demonstrate a different relationship than subinvestment bo...
An Introduction to Computational Finance
Uğur, Ömür (Imperial College Press, 2009-01-01)
Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contribu...
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