Institute of Applied Mathematics @ METU

Submitted Papers

The following papers are submitted to Journals (or elsewhere).

  • Analytical Pricing of Time Dependent Stop-Loss Reinsurance and Exposure Curves under Time-Changed Brownian Motion, jointly with Ali Alper Hekimoğlu and Bilgi Yılmaz.
  • SUPG Finite Element Computation of High-Speed Inviscid Flows around a Cylinder using YZβ Shock-Capturing: Thermochemical Equilibrium, jointly with Süleyman Cengizci.

Recently Published

A Computational Study on Sobol' Sequences

Bahri Tokmak, Ömür Uğur, A Computational Study on Sobol' Sequences, in: VI. International Applied Statistics Congress (UYIK – 2025), 14–16 May 2025.

The QLBS Model Within the Presence of Feedback Loops Through the Impacts of a Large Trader

Ahmet Umur Özsoy, Ömür Uğur, The QLBS Model Within the Presence of Feedback Loops Through the Impacts of a Large Trader, Computational Economics, XX: XX (April 2025).

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Application of Various Modelling Techniques into Consumer Confidence Index

Betül Kalayci, Vilda Purutçuoğlu, Gerhard Wilhelm Weber, Ömür Uğur, Özlem Defterli, Application of Various Modelling Techniques into Consumer Confidence Index, in: Operations Research: Evolving Frontiers and Diverse Applications, Vilda Purutçuoğlu, Gerhard Wilhelm Weber, Hajar Farnoudkia (editors), CRC Press, pp. 42-66, 2025.
ISBN: 978-1-032-84304-9 | eBook ISBN: 9781003540434

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A Computational Study for Pricing European- and American-type Options under Heston's Stochastic Volatility Model: application of the SUPG-YZβ Formulation

Süleyman Cengizci, Ömür Uğur, A Computational Study for Pricing European- and American-type Options under Heston's Stochastic Volatility Model: application of the SUPG-YZβ Formulation, Computational Economics, 66: pp. 179 - 206, (August 2024, July 2025).

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A Computational Study for Simulating MHD Duct Flows at High Hartmann Numbers using a Stabilized Finite Element Formulation with Shock-Capturing

Süleyman Cengizci, Ömür Uğur, A Computational Study for Simulating MHD Duct Flows at High Hartmann Numbers using a Stabilized Finite Element Formulation with Shock-Capturing, Journal of Computational Science, 81: 102381 (September 2024, June 2024).

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Publications

Research Networks

An Introduction to Computational Finance

An Introduction to Computational FinanceOrder your copy from the publisher's web site. To request for an inspection copy, please follow the instructions on this page.

Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Üniversiteler Mahallesi, Dumlupınar Bulvarı No:1, 06800 Çankaya/Ankara