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Main
Research Interests
Mathematical
finance and economics, quantitative behavioral finance, data analysis, optimization, high
performance computing, numerical
analysis and solution of differential equations, ODEs, PDEs, and SDEs
Other
Research Interests
Wireless
networking algorithms and simulation, large scale scientific computing, and
computer algebra
Professional
Activities
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Minisymposium
organizer, Advances
in Financial Mathematics, World
Congress of Nonlinear Analysts (WCNA),
Orlando, FL, July 2008
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Invited
session
chair, Finance,
SIAM Conference on Computational Science & Engineering,
Costa Mesa, CA, Feb. 19-23, 2007
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Minisymposium
organizer, New Horizons in Quantitative Methods for Finance and Economics,
SIAM
Conference on Financial Mathematics and Engineering,
Boston,
MA, July 2006
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Reviewer
for National
Science Foundation; Quantitative
Finance; IEEE
Wireless Communications & Networking Conference (WCNC);
Mobile
Ad Hoc Wireless Networks in the Journal of Communications and Networks (JCN);
Ad Hoc Networks
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Book
reviewer, Numerical Analysis, for Addison Wesley
Refereed
Publications
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A.
Duran and G.
Caginalp, Parameter Optimization for Differential Equations in Asset Price
Forecasting, Optimization Methods & Software, 2008, forthcoming, 24 pages,
download
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A.
Duran and G.
Caginalp, Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes,
Quantitative Finance, Vol. 7, No. 3, June 2007, pp. 321-342
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A.
Duran and G.
Caginalp,
Data
Mining for Overreaction in Financial Markets, Proceedings of the IASTED International Conference on Software
Engineering and Applications (SEA), Phoenix, AZ, Nov. 14-16, 2005, pp.
28-35
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A.
Duran and C. Shen, Mobile
Ad hoc P2P File Sharing,
Proceedings of IEEE Wireless Communications
and Networking Conference (WCNC),
Atlanta, GA, vol.
1, pp. 114-119, 21-25 March
2004, google,
cited
by 9
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A.
Duran, B. D. Saunders and Z. Wan, Hybrid
Algorithms for Rank of Sparse Matrices, Proceedings of the SIAM International Conference on Applied Linear Algebra (SIAM-LA),
Williamsburg, VA, July 15-19, 2003,
12 pages
Other
Publications
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Overreaction
Behavior and Optimization Techniques in Mathematical Finance, PhD
thesis,
University of Pittsburgh, Pittsburgh, PA, Aug. 1st 2006, 128 pages
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L. Cheng, A.
Duran, S.N. Predoiu, and A. Yu, Asset
Correlation Implied by Historical Default Data, working paper,
University of Pittsburgh, December 2003, after completion of the project for
"Risk Metrics", 22 pages
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A.
Duran, D.
Saunders, and Z. Wan, Rank
of Sparse {0, 1} Matrices, poster, East
Coast Computer Algebra Day (ECCAD), Clemson
University, Clemson, SC, Apr. 5, 2003
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A. Duran and B.D.
Saunders, GenBLAS:
Basic Linear Algebra Subroutines in C++ over Any Fields, poster, ECCAD,
New York, NY, 2002
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Asymptotic Behavior of
Solutions of Semilinear Heat Equations with Source, Master's thesis, Middle
East Technical University, Ankara, Turkey, Sep. 1998, 101 pages
Conference
Presentations
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Quantitative
Behavioral Finance and Out-of-sample Prediction via Asset Flow
Differential Equations, Advances
in Financial Mathematics, World
Congress of Nonlinear Analysts,
Orlando, FL, July 2008
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Sensitivity
Analysis of Asset Flow Optimization Forecast Algorithm, SIAM
Conference on Optimization
(OP08), May 10-13, 2008
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Parameter
Optimization Algorithm for Differential Equations in Market Return
Prediction,
SIAM Conference on Computational Science & Engineering,
Costa Mesa, CA, Feb. 19-23, 2007
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Deviation Model for Financial Overreaction, AMS Special Session on Financial and Actuarial Mathematics, Cincinnati, OH, October 21-22, 2006
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Overreaction and Optimization in Stock Markets,
SIAM
Conference on Financial Mathematics and Engineering,
Boston,
MA, July 9-12, 2006
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A
Comparison of Numerical Optimization Techniques for Financial Markets,
SIAM
Annual Meeting,
Boston,
MA, July 10-14, 2006
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Differential
Equations and Computational Optimization for Closed End Funds, AMS
Joint Mathematics Meetings, San Antonio,
Texas, Jan. 12-15, 2006
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Data
Mining for Overreaction in Financial Markets, IASTED-SEA,
Phoenix, AZ, Nov. 14-16, 2005
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Overreaction
and Risk for Closed End Funds, SIAM Conference on
Mathematics for Industry: Challenges and Frontiers (MI), Detroit, MI, Oct.
24-26, 2005
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Mobile
Ad hoc P2P File Sharing,
IEEE Wireless Communications and
Networking Conference, Atlanta, 21-25
March 2004
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GenBLAS:
Basic Linear Algebra Subroutines in C++ over Any Fields,
ECCAD, New
York, NY, 2002
Invited/Other
Talks
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A
Multi-start Approach for Parameter Optimization of Asset Flow Differential
Equations, AMS Special Session on Financial
Mathematics, Indiana University, Bloomington, IN, April 5-6, 2008
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Spectral
Analysis in Mathematical Finance, Financial/Actuarial
Mathematics Seminar, University of Michigan, Dept. of Mathematics, March 27, 2008
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Computational
Parameter Optimization and Differential Equations in Asset Price
Forecasting, Bogazici University Mathematics Colloquium, July 11,
2007
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Computational
Parameter Optimization and Differential Equations For Stock Markets,
Financial/
Actuarial Mathematics Seminar, University of Michigan, Dept. of
Mathematics, September 21, 2006
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Overreaction
and Computational Optimization in Stock Markets, University of Michigan,
Dept. of Mathematics, August 28, 2006
Software Development
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Gen_SuperLU
package (version 1.0, August 2002), referenced as GSLU
also, a part of LinBox
package. GSLU contains a set of
subroutines to solve a sparse linear system A*X=B
over any field
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GenBLAS.
Generic Basic Linear Algebra Subroutines in C++.
You can download
and use GenBLAS version 1.0 for academic purpose only, by giving
reference
Awards
& Honors
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Spring/Summer
2008 Research Fellowship award by the Department of Mathematics at the
University of Michigan-Ann
Arbor
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Post-doc/early
career travel award, SIAM Conference on Optimization (OP08)
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B.S.
in Mathematics, with rank in class: 2nd
among 159 students
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University
of Delaware offered teaching assistantship. Exceptional score, 300 out of 300, from
Instructional Assessment (UDIA) for Teaching Assistants, 2001
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