Double Exponential Jump Diffusion Model: An Empirical Assessment for the Turkish Stock Market

In continuous time option pricing and portfolio optimization problems generally Geometric Brownian Motion risky asset dynamic is used. However, normality of risky asset returns is not always supported by empirical studies.  In empirical studies it is seen that asymmetric leptokurtic feature and the volatility smile are observed in emerging market asset returns. For this purpose, in this paper the applicability of Kou’s Double Exponential Jump Diffusion model to İstanbul Stock Exchange main index ISE100 is investigated. The results are compared with Geometric Brownian Motion price dynamic. It is seen that Kou’s model perform better to capture the leptokurtic property of returns. Key Words: Double Exponential Jump Diffusion Model, Geometric Brownian Motion, Empirical Characteristic Exponen

The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market

In this study, the option pricing performance of the adjusted Black-Scholes model proposed by Corrado and Su (1996) and corrected by Brown and Robinson (2002), is investigated and compared with original Black Scholes pricing model for the Turkish derivatives market. The data consist of the European options written on BIST 30 index extends from January 02, 2015 to April 24, 2015 for given exercise prices with maturity April 30, 2015. In this period, the strike prices are ranging from 86 to 124. To compare the models, the implied parameters are derived by minimizing the sum of squared deviations between the observed and theoretical option prices. The implied distribution of BIST 30 index does not significantly deviate from normal distribution. In addition, pricing performance of Black Scholes model performs better in most of the time. Black Scholes pricing Formula, Carrado-Su pricing Formula, Implied Parameter

Match-fixing in Turkish Football Super League: Fenerbahçe Case

Turkish football was hit hard by a sudden match-fixing scandal of Fenerbahçe during the 2010–2011 season with a 19.3% slump on a day in the Istanbul Stock Exchange (currently known as Borsa Istanbul). This paper aims to asses the impact of news about the event of match-fixing that is claimed to have taken place in Fenerbahçe on its stock return volatility. To do this, all publicly available match-fixing announcements are collected and classified into five different news types to capture their individual effects on the volatility of Fenerbahçe’s stock return by using GARCH model. Our results show that any positive or negative announcement released from Turkish court, Turkish Football Federation, the UEFA and/or the Court of Arbitration for Sport about Fenerbahçe and also any news about club executives allegedly involved in the event of match-fixing and the match results have significant positive effects on the Fenerbahçe’s stock return volatility

Outcomes of high-risk breast lesions diagnosed using image-guided core needle biopsy: results from a multicenter retrospective study

PURPOSEThe clinical management of high-risk lesions using image-guided biopsy is challenging. This study aimed to evaluate the rates at which such lesions were upgraded to malignancy and identify possible predictive factors for upgrading high-risk lesions.METHODSThis retrospective multicenter analysis included 1.343 patients diagnosed with high-risk lesions using an image-guided core needle or vacuum-assisted biopsy (VAB). Only patients managed using an excisional biopsy or with at least one year of documented radiological follow-up were included. For each, the Breast Imaging Reporting and Data System (BI-RADS) category, number of samples, needle thickness, and lesion size were correlated with malignancy upgrade rates in different histologic subtypes. Pearson’s chi-squared test, the Fisher–Freeman–Halton test, and Fisher’s exact test were used for the statistical analyses.RESULTSThe overall upgrade rate was 20.6%, with the highest rates in the subtypes of intraductal papilloma (IP) with atypia (44.7%; 55/123), followed by atypical ductal hyperplasia (ADH) (38.4%; 144/375), lobular neoplasia (LN) (12.7%; 7/55), papilloma without atypia (9.4%; 58/611), flat epithelial atypia (FEA) (8.7%; 10/114), and radial scars (RSs) (4.6%; 3/65). There was a significant relationship between the upgrade rate and BI-RADS category, number of samples, and lesion size Lesion size was the most predictive factor for an upgrade in all subtypes.CONCLUSIONADH and atypical IP showed considerable upgrade rates to malignancy, requiring surgical excision. The LN, IP without atypia, pure FEA, and RS subtypes showed lower malignancy rates when the BI-RADS category was lower and in smaller lesions that had been adequately sampled using VAB. After being discussed in a multidisciplinary meeting, these cases could be managed with follow-up instead of excision

Kredi derecelendirmede istatistiksel teknikler.

Credit risk is one of the major risks banks and financial institutions are faced with. With the New Basel Capital Accord, banks and financial institutions have the opportunity to improve their risk management process by using Internal Rating Based (IRB) approach. In this thesis, we focused on the internal credit rating process. First, a short overview of credit scoring techniques and validation techniques was given. By using real data set obtained from a Turkish bank about manufacturing firms, default prediction logistic regression, probit regression, discriminant analysis and classification and regression trees models were built. To improve the performances of the models the optimum sample for logistic regression was selected from the data set and taken as the model construction sample. In addition, also an information on how to convert continuous variables to ordered scaled variables to avoid difference in scale problem was given. After the models were built the performances of models for whole data set including both in sample and out of sample were evaluated with validation techniques suggested by Basel Committee. In most cases classification and regression trees model dominates the other techniques. After credit scoring models were constructed and evaluated, cut-off values used to map probability of default obtained from logistic regression to rating classes were determined with dual objective optimization. The cut-off values that gave the maximum area under ROC curve and minimum mean square error of regression tree was taken as the optimum threshold after 1000 simulation.M.S. - Master of Scienc

Zeolit A kristallerinin büyütülmesi

Bu tezin, veri tabanı üzerinden yayınlanma izni bulunmamaktadır.ÖZET Anahtar Kelimeler : Zeolit A, sentez, kristal büyütülmesi Endüstride kullanılan minerallerin önemli gruplarından biri olan zeolitler alkali ve toprak alkali metallerin sulu alümina silikatları olarak tanımlanmaktadır. Mineral türü olarak 1750'lerden bu yana bilinmesine rağmen kristal yapıları ancak 1930'larda çözümlenebilmiştir. Zeolitlerin kanal çaplarından daha küçük boyutlu olan molekülleri adsorplayabilmeleri, iyon değiştirme, dehidratasyon özellikleri ve katalitik özellikleri nedeniyle endüstriyel uygulama alanları ortaya çıkmıştır. Endüstride geniş uygulama alanlarının ortaya çıkması ve zeolitlerin sadece volkanik çatlak ve boşluklarda bulunduğunun bilinmesi üzerine araştırmacılar zeolitin yapay olarak üretimi üzerinde çalışmışlardır. Günümüzde 150'den fazla yapay zeolit minerali bulunmaktadır.Bunlardan en çok kullanılan zeolit A, deterjanlarda fosfat tozları yerine kullanılmaktadır. Böylece zeolit toksit olmayan, hayvan ve bitki hayatının sürdürülmesi için çevre üzerinde negatif etkiye sahip olan fosfatların oluşturduğu çevre kirlenmesini en aza indirmiştir. Bu çalışmada zeolit A sentezi hidrojel prosesi uygulanarak, AICI3.6H2O-'dan elde edilen alüminat çözeltisi, Ege Kimya A.Ş.'den temin edilen Na2O: 8,59 %w, SİO2: 27,90 %w bileşimindeki sodyum silikat çözeltisi ve NaOH reaktifleri kullanılarak yapılmıştır. Sonra zeolit A kristallerinin büyütülmesi üzerine sentez sıcaklığı, organik madde (triethanolamin) ilavesi ve kristallendirme süresinin etkisi incelenmiştir. Yapılan çalışmalar sonucunda sentez sıcaklığının arttırılması ve kristallendirme süresinin uzatılmasının zeolit A kristallerinin boyutunu büyüttüğü görülmektedir.GROWN OF ZEOLITE A CRYSTALS Keywords : Zeolite A, synthesis, crystal grown Zeolites are one of the most important groups of minerals used in industry, described as hydrous alumina silicates of alkaline earth alkaline metals. In spite of the fact that zeolites have been known as mineral since 1750 their crystal structure could be analyzed through out the 1930. Application of zeolite in many industrial area has appeared as a result of their ion exchange properties, catalytic properties, dehydration properties and ability to absorb molecules smaller than their own channel radius. It is known that zeolites have had wide application areas in industry and have existed in volcanic cracks and spaces. Therefore scientists have been working about production of synthetic zeolite. Nowadays zeolite A, which is mostly used synthetic zeolite is used in detergent industry instead of phosphate salts so that zeolite, non-toxic, decreases environmental pollution to minimum level due to using of phosphate that has harmful effect on the life of plants and animals. In this research, zeolite A synthesis have been applied to hydrogel process. Alumina solution have been obtained from AICI3.6H2O, sodium silicate solution (Na20:8,59 %w, SiO2:27,90 %w) obtained from Ege Kimya A.Ş. and NaOH reagents have been used in this process. After effect of synthesis temperature, adding organic material (triethanolamine) and time of crystallization have been searched for growing zeolite A crystals. According to researches conducted, it is clear that increasing synthesis temperature and time of crystallization have grown up the dimension of the zeolite A crystals. X

A conjoint analysis to determine the preferences for some selected M.B.A. programs

Este trabajo examina el método de análisis conjunto (CAM), que es una técnica multivariante de investigación de mercados utilizada para determinar los comportamientos y preferencias del consumidor por productos o servicios. Un objetivo de este estudio es demostrar que el CAM puede ser aplicado en el "sector servicios" al igual que en el "sector de producción". El otro objetivo principal es utilizar programa informático CBC de Sawtooth, que es un programa especial para CAM. El CBC de Sawtooth se aplica a las preferencias de estudiantes por los programas de Administración y Dirección de Empresas de (MBA) de la universidad de Baskent. Este estudio incluye sólo los programas de MBA que requieren una cuota de matrícula cuantiosa y pago de honorarios. Los resultados del estudio muestran que la variable "nombre de la universidad" es la más importante en las preferencias que los alumnos tienen por los MBA. El Análisis Conjunto encontró que los preferidos son como universidad de Bogaziçi y como tipo de programa el "MBA Ejecutivo" (que simultanea estudio y trabajo). Otra conclusión importante es que los mayores costes hacen el MBA menos atractivo.This paper reviews the Conjoint Analysis Method (CAM), which is a multivariate marketing research technique used to determine consumer behaviours and preferences for products or services. One aim of this study is to demonstrate that the CAM can be used in “Service Sector” as well as in “Product Sector” and the other aim is to utilize CBC Sawtooth Software Program, which is a special program for CAM. A usage of CBC Sawtooth Software Program is demonstrated in the analysis of Management Business Administration (MBA) program preferences of Ba?kent University students. This study includes those MBA programs that require substantial tuition and fee payments. According to the results of the study, “University Name” plays the most important role in MBA preferences. The Conjoint Analysis found that, most preferred university is the Bo?aziçi University and the most preferred type of MBA program is the “Executive MBA Program”. Another important finding is that “Higher Tuition and Fees” makes the MBA less attractive

Sürekli zaman beklenen değer varyans optimal portföyleri.

The most popular and fundamental portfolio optimization problem is Markowitz's one period mean-variance portfolio selection problem. However, it is criticized because of its one period static nature. Further, the estimation of the stock price expected return is a particularly hard problem. For this purpose, there are a lot of studies solving the mean-variance portfolio optimization problem in continuous time. To solve the estimation problem of the stock price expected return, in 1992, Black and Litterman proposed the Bayesian asset allocation method in discrete time. Later on, Lindberg has introduced a new way of parameterizing the price dynamics in the standard Black-Scholes and solved the continuous time mean-variance portfolio optimization problem. In this thesis, firstly we take up the Lindberg's approach, we generalize the results to a jump-diffusion market setting and we correct the proof of the main result. Further, we demonstrate the implications of the Lindberg parameterization for the stock price drift vector in different market settings, we analyze the dependence of the optimal portfolio from jump and diffusion risk, and we indicate how to use the method. Secondly, we present the Lagrangian function approach of Korn and Trautmann and we derive some new results for this approach, in particular explicit representations for the optimal portfolio process. In addition, we present the L2-projection approach of Schweizer for the continuous time mean-variance portfolio optimization problem and derive the optimal portfolio and the optimal wealth processes for this approach. While, deriving these results as the underlying model, the market parameterization of Lindberg is chosen. Lastly, we compare these three different optimization frameworks in detail and their attractive and not so attractive features are highlighted by numerical examples.Ph.D. - Doctoral Progra

Biyoeşdeğerlik çalışmalarında birey içi değişikliğin belirlenmesine yönelik bir uygulama

Bu tez çalışmasında, biyoeşdeğerlik çalışmalarında iki ürün arasındaki birey içi değişkenliğin belirlenmesine yönelik testler incelenmiştir. Farklı varsayımlar altında önerilen bu testlerin performanslarının I. tip hata bakımından değerlendirilmesi amaçlanmıştır. Bu amaçlara uygun olarak testler ilk önce teorik olarak incelenmiştir. Daha sonra simülasyon çalışması ile testlerin performansları I. tip hata bakımından değerlendirilmiştir. Son olarak gerçek biyoeşdeğerlik veri seti üzerinde testlerin tümü uygulanmıştır. PMD, PMDP ve SSKP; n=18 alındığında birer durum dışında başarılı bulunurken n=24 alındığında ise tüm durumlarda başarılı olmuşlardır. PMD ve PMDP; n=36 olarak alındığında ise tüm durumlarda başarılı olmuşlardır. SSK, n=18 alındığında tüm simülasyon çalışmaları sonucunda başarısız bulunurken n=24 alındığında yapılan simülasyon çalışmalarının bir kısmında başarılı bulunmuştur. n=36 alındığında ise sadece %90 güven düzeyinde başarısızdır. Gerçek veri seti uygulamasında Cmax ve AUC0-last için %90 güven düzeyinde tüm testler de iki ürün arasındaki birey içi değişkenliğin eşit olduğu sonucuna varılmıştır