Azize Hayfavi

E-mail
azizeh@metu.edu.tr
Department
Department of Mathematics
A regime switching model for temperature modeling and applications to weather derivatives pricing
Turkvatan, Aysun; Hayfavi, Azize; Omay, Tolga (2020-01-01)
In this study, we propose a regime-switching model for temperature dynamics, where the parameters depend on a Markov chain. We improve upon the traditional models by modeling jumps in temperature dynamics via the chain its...
Modeling Temperature and Pricing Weather Derivatives Based on Temperature
Tastan, Birhan; Hayfavi, Azize (2017-01-01)
This study first proposes a temperature model to calculate the temperature indices upon which temperature-based derivatives are written. The model is designed as a mean-reverting process driven by a Levy process to represe...
Stochastic multifactor modeling of spot electricity prices
Hayfavi, Azize; Talasli, Irem (2014-03-15)
In this paper, a stochastic multifactor model is proposed for modeling of the daily spot market electricity prices. Stochastic part of the model is composed of three jump processes and a Brownian motion where two of the ju...
PRICING AND COMPLETION IN A LEVY MARKET MODEL WITH TEUGEL MARTINGALES
Okur, Yeliz Yolcu; Temoçin, Büşra Zeynep; Hayfavi, Azize (2012-10-01)
We consider a geometric Levy market model. Since these markets are generally incomplete, we cannot find a unique martingale measure. There are many ways to handle this problem. In this paper, we choose the completion techn...
Citation Formats