ABOUT ME
Ahmet Duran is a full Professor of
Mathematics at Istanbul Technical University (ITU). He worked as an
Assistant Professor with research and teaching responsibilities in the
Department of Mathematics at the University of Michigan - Ann Arbor
between 2006 and 2010, before joining ITU. His research in applied
mathematics, differential equations and numerical analysis contributed
about 30 papers published in J. of Computational and Applied
Mathematics, Applied Mathematics Letters, J. of Computational Science, J. of Supercomputing,
Optimization Methods & Software, Numerical Functional Analysis and
Optimization, Quantitative Finance, SIAM Linear Algebra and others. One
of his journal papers was elected as a key paper in risk by Quantitative Finance journal in 2010.
Nonlinear
asset flow differential equations, heat equations with nonlinear source
terms, Heston's volatility stochastic differential equations,
Black-Scholes partial differential equation, Navier-Stokes equations,
"black-oil" equations, and magnetohydrodynamics (MHD) equations are
among the important differential equations in his research.
He
participated as a researcher in several research projects for the
National Science Foundation and International Foundation for Research in
Experimental Economics in USA. After being associate professor at ITU, he accomplished, as a principal
investigator, a number of research projects supported by European Union
and international companies.
He has his Ph.D. and M.A. in
Mathematics from University of Pittsburgh, his M.S. in Computer &
Information Sciences from University of Delaware, his M.S. and B.S. in
Mathematics from Middle East Technical University. He wrote a Ph.D.
thesis “Overreaction behavior and optimization techniques in
mathematical finance” and a master’s thesis “Asymptotic behavior of
solutions of semilinear heat equations with source”.
He is one of the pioneers of Quantitative Behavioral Finance with his
PhD thesis in 2006 and Overreaction Diamonds paper (with G. Caginalp)
published in Quantitative Finance in 2007. Mathematical models,
differential equations, parameter optimiztion and statistical methods
are used to understand asset price dynamics and behavioral biases
together with valuation. Among many significant
citations, Ramiah, Xu and Moosa (International Review of
Financial Analysis-Elsevier, 2015) cited them as "Recently we
witnessed the emergence of quantitative behavioral finance as a
discipline (see, for example, Duran and Caginalp, 2007)."
He has taught
many courses such as Differential Equations, Numerical Solution of
Stochastic Differential Equations, Mathematics of Finance and
Computational Finance in the graduate and undergraduate programs at the
University of Michigan-Ann Arbor and ITU. His 3 Ph.D. students
graduated in 2015, 2019 & 2023. He has one more Ph.D. student.
He
organized “Advances in Financial Mathematics” in the World Congress of
Nonlinear Analysts, in Orlando, July 2008. He chaired the International
Conference on Mathematical Finance and Economics in Istanbul in 2011. He
became a committee member for the SPE - SIAM Conference on
Mathematical Methods in Fluid Dynamics and Simulation of Giant Oil and
Gas Reservoirs in 2012 and the SPE - SIAM Conference on Large
Scale Computing and Big Data Challenges in Reservoir Simulation in 2014,
in Istanbul.
He attended his research project meetings or gave conference
presentations in United States of America, Canada, France, Holland,
Italy, Kuveyt, Poland, Saudi Arabia, Spain, Bulgaria and
Greece. He gave invited talks at Courant Institute of Mathematical
Sciences-New York University, University of Michigan-Ann Arbor, Indiana University-Bloomington, Koc Un.