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Ahmet Duran

Assistant Professor

Department of Mathematics
University of Michigan

2855 East Hall, 530 Church Street
Ann Arbor, MI 48109

Phone: (734) 763-3204

Fax:      (734) 763-0937

E-mail: durana  [no spam]  umich (dot) edu

 

Ph.D, Mathematics, University of Pittsburgh, Aug. 2006

M.S., Computer & Information Sciences, University of Delaware, 2003

M.A., Mathematics, University of Pittsburgh, 2001

M.S., Mathematics, Middle East Technical University (METU), Turkey, 1998

B.S., Mathematics, METU, 1995


Main Research Interests Mathematical finance and economics, quantitative behavioral finance, data analysis, computational finance, optimization, high performance computing, numerical analysis, mathematical modeling, ordinary, partial, and stochastic differential equations

Other Research Interests Networking algorithms and simulation, large scale scientific computing, and computer algebra

Professional Activities

Research in the News

  • Cover story: Mind games, an interview with Professor Caginalp about quantitative behavioral finance, Wilmott Sept 2009 (mainstream quantitative finance magazine), pp. 52-53

You can download papers from http://ssrn.com/author=683507 or from this web site below.

Refereed Publications

  1. A. Duran and M.J. Bommarito, A profitable trading and risk management strategy despite transaction cost, 20 pages, Quantitative Finance, accepted, (2009), DOI: 10.1080/14697680903449815, download

  2. A. Duran, Sensitivity analysis of asset flow differential equations and volatility comparison of two related variables, Numerical Functional Analysis and Optimization, 30(1), 2009, pp. 82-97, download, cited by 1

  3. A. Duran and G. Caginalp, Parameter optimization for differential equations in asset price forecasting, Optimization Methods & Software, 23(4), 2008, pp. 551-574, download, cited by 3

  4. A. Duran and G. Caginalp, Overreaction diamonds: Precursors and aftershocks for significant price changes, Quantitative Finance, 7(3), 2007, pp. 321-342, download, cited by 6

  5. 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, vol. 467, Nov. 14-16, 2005, pp. 28-35, download, cited by 4

  6. A. Duran and C. Shen, Mobile ad hoc p2p file sharing, Proceedings of IEEE Wireless Communications and Networking Conference (WCNC), Atlanta, GA, vol. 1, Mar. 21-25, 2004, pp. 114-119, google, cited by 19

  7. 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, cited by 2

Other Publications

  1. Overreaction Behavior and Optimization Techniques in Mathematical Finance, PhD thesis, University of Pittsburgh, Pittsburgh, PA, Aug. 1st 2006, 128 pages, cited by 4

  2. 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

  3. A. Duran, D. Saunders, and Z. Wan, Rank of sparse {0, 1} matrices, poster, East Coast Computer Algebra Day, Clemson University, Clemson, SC, Apr. 5, 2003

  4. A. Duran and B.D. Saunders, GenBLAS: Basic linear algebra subroutines in C++ over any fields, poster, East Coast Computer Algebra Day, Association for Computing Machinery (ACM) SIGSAM Bulletin, Communications in Computer Algebra 36(3), pp. 6, New York, NY, 2002

  5. Asymptotic Behavior of Solutions of Semilinear Heat Equations with Source, Master's thesis, Middle East Technical University, Ankara, Turkey, Sep. 1998, 101 pages

Invited/Other Talks

Conference Presentations

Software Development

  1. 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

  2. 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

  • Spring/Summer 2008 Research Fellowship award by the Department of Mathematics at the University of Michigan-Ann Arbor

  • B.S. in Mathematics, with rank in class: 2nd among 159 students

  • University of Delaware offered teaching assistantship. Exceptional score, 300 out of 300, from Instructional Assessment (UDIA) for Teaching Assistants, 2001

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