
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

Minisymposium
organizer, Advances
in Financial Mathematics, World
Congress of Nonlinear Analysts (WCNA),
Orlando, FL, July 2008

Invited
session
chair, Finance,
SIAM Conference on Computational Science & Engineering,
Costa Mesa, CA, Feb. 1923, 2007

Minisymposium
organizer, New Horizons in Quantitative Methods for Finance and Economics,
SIAM
Conference on Financial Mathematics and Engineering,
Boston,
MA, July 2006

Referee
for National
Science Foundation; Quantitative
Finance; Mathematics of Operations Research; Optimization
Methods and Software; Department of Energy; Mobile
Ad Hoc Wireless Networks in the Journal of Communications and Networks (JCN);
Ad Hoc Networks;
IEEE
Wireless Communications & Networking Conference (WCNC)

Book
reviewer for
Pearson AddisonWesley in numerical analysis

Book
reviewer for
MIT Press in quantitative
finance

Book
reviewer for
WileyBlackwell
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. 5253
You can download papers from http://ssrn.com/author=683507 or from this web site below.
Refereed
Publications

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

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. 8297, download,
cited
by 1

A.
Duran and G.
Caginalp, Parameter
optimization for differential equations in asset price forecasting, Optimization Methods &
Software, 23(4), 2008, pp. 551574,
download,
cited
by 3

A.
Duran and G.
Caginalp, Overreaction diamonds: Precursors and
aftershocks for significant price changes,
Quantitative Finance,
7(3), 2007, pp. 321342, download,
cited
by 6

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. 1416, 2005, pp.
2835, download,
cited
by 4

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. 2125,
2004, pp. 114119, google,
cited
by 19

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 (SIAMLA),
Williamsburg, VA, July 1519, 2003,
12 pages, cited
by 2
Other
Publications

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

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

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

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

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

Stability analysis for a highdimensional dynamical system of
stochastic differential equations,
Applied and
Interdisciplinary Mathematics Seminar, University
of Michigan, Dept. of Mathematics, April 2, 2010

A profitable trading and risk management
strategy in presence of transaction cost, Courant Institute of Mathematical
Sciences, New York University, March 9, 2010

A profitable trading and risk management
strategy in presence of transaction cost, Financial
Engineering Practitioners Seminar, University of
Michigan, February 12, 2010, 1210 Ross School of Business

Mathematical
modeling in health economics during economic crisis, Financial/Actuarial
Mathematics Seminar, University of Michigan, Dept. of Mathematics,
December 4, 2009

A
multistart approach for parameter optimization of asset flow differential
equations, AMS Special Session on Financial
Mathematics, Indiana University, Bloomington, IN, April 56, 2008

Spectral
analysis in mathematical finance, Financial/Actuarial
Mathematics Seminar, University of Michigan, Dept. of Mathematics, March 27, 2008

Computational
parameter optimization and differential equations in asset price
forecasting, Bogazici University Mathematics Colloquium, Turkey, July 11,
2007

Computational
parameter optimization and differential equations for stock markets,
Financial/
Actuarial Mathematics Seminar, University of Michigan, Dept. of
Mathematics, September 21, 2006

Overreaction
and computational optimization in stock markets, University of Michigan,
Dept. of Mathematics, August 28, 2006
Conference
Presentations

Daily
return discovery in financial markets, Workshop
on Data, Text, Web, and Social Network Mining, University of
Michigan, Ann Arbor, MI, April 23, 2010

Sensitivity
analysis to AFDE and
transitions between microeconomic stability and nonequilibrium
states, Joint Midwest Numerical Analysis Day & SIAM Great
Lakes Numerical PDEs Spring Conference, Wayne State University,
Detroit, MI, April 1718, 2009

Sensitivity
analysis of asset flow differential equations and a new volatility
approach, AMS session on
Financial Mathematics,
Joint Mathematics Meetings,
Washington, DC, January 7, 2009

A
profitable risk management despite transaction cost,
SIAM Conference on
Financial Mathematics and Engineering, New Brunswick, NJ,
Nov. 2122, 2008

Quantitative behavioral
finance and outofsample prediction via asset flow differential
equations, Advances
in Financial Mathematics, World
Congress of Nonlinear Analysts,
Orlando, FL, July 2008

Parameter
optimization algorithm for
differential equations in market return prediction,
SIAM Conference on Computational Science & Engineering,
Costa Mesa, CA, Feb. 1923, 2007

Deviation
model for financial overreaction, AMS Special Session on Financial and Actuarial Mathematics, Cincinnati, OH, October 2122, 2006

Overreaction and optimization in stock markets,
SIAM
Conference on Financial Mathematics and Engineering,
Boston,
MA, July 912, 2006

A
comparison of numerical optimization techniques for financial
markets,
SIAM
Annual Meeting,
Boston,
MA, July 1014, 2006

Differential
equations and computational optimization for closed end funds, AMS
Joint Mathematics Meetings, San Antonio,
Texas, Jan. 1215, 2006

Data
mining for overreaction in
financial markets,
IASTEDSEA,
Phoenix, AZ, Nov. 1416, 2005

Overreaction
and risk for closed end funds, SIAM Conference on
Mathematics for Industry: Challenges and Frontiers (MI), Detroit, MI, Oct.
2426, 2005

Mobile
ad hoc p2p file sharing,
IEEE Wireless Communications and
Networking Conference, Atlanta, 2125
March 2004

GenBLAS:
Basic linear algebra subroutines in C++ over any fields,
ECCAD, New
York, NY, 2002
Software Development

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

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 MichiganAnn
Arbor

B.S.
in Mathematics, with rank in class: 2^{nd}
among 159 students

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