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Ahmet Duran

Professor

Department of Mathematics Engineering

Istanbul Technical University, 34469 Maslak, Istanbul

Email: aduran  [no spam]  itu (dot) edu (dot) tr 

Phone: +90 (212) 285-3273

Ph.D, Mathematics, University of Pittsburgh

M.S., Computer & Information Sciences, College of Engineering, University of Delaware

M.A., Mathematics, School of Arts & Sciences, University of Pittsburgh

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

B.S., Mathematics, METU

In the News 

• EU Horizon 2020 project, "HPC-based Design of a Novel Electromagnetic Stirrer for Steel Segment Casting", PRACE Digest 2016

• Bloomberg Businessweek, Interview, Sept. 23-29 2012, Face to Face: Ahmet Duran

• Bloomberg HT, June 29, 2011, Behavioral approaches also give direction to financial markets

• Key paper, 2010 Duran and Bommarito's paper

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

Main Research Interests Applied mathematics, ordinary, partial, and stochastic differential equations, nonlinear differential equations, high performance computing, mathematical finance and economics, quantitative behavioral finance, numerical linear algebra, data analysis, computational finance, optimization, numerical analysis, mathematical modeling, machine learning, networking algorithms and simulation

Appointments

• Professor, Mathematical Engineering, Istanbul Technical University, 2020 - Present

• Associate Professor, Mathematics, Istanbul Technical University, 2012 - 2020

• Assistant Professor, Mathematics, Istanbul Technical University, 2010 - 2012

• Assistant Professor, Mathematics, University of Michigan at Ann Arbor, 2006 - 2010

• Graduate Student Researcher, Mathematics, University of Pittsburgh, (May - Aug.) 2005, 2006

• Teaching Assistant/Fellow, Mathematics, University of Pittsburgh, 2000 - 2001, 2003 - 2006

• Teaching Assistant, Computer & Information Sciences, University of Delaware, (June - Aug.) 2003

• Research Assistant, Computer & Information Sciences, University of Delaware, 2001 - 2003

• Research Assistant, Mathematics, Middle East Technical University, 1995 - 1997

Professional Activities

• Committee member, SPE & SIAM Conference, Large Scale Computing and Big Data Challenges in Reservoir Simulation Conference and Exhibition, Istanbul, Turkey, September 15-17, 2014

• Chair, International Conference on Mathematical Finance and Economics, ITU, Istanbul, Turkey, July 6-8, 2011; Editor of Abstracts Book and Proceedings of the International Conference on Mathematical Finance and Economics (ICMFE 2011)

• Contact person of Turkey for Work Package 7 (WP7) in EU PRACE 1IP project (The Partnership for Advanced Computing in Europe - First Implementation Phase Project), 2013

• Contact person of Turkey for Work Package 12 (WP12) in EU PRACE 2IP project, 2011-2014

• Contact person of Turkey for Work Package 7 (WP7) in EU PRACE 3IP project, 2012-2014

• Committee member, SPE & SIAM Conference on Mathematical Methods in Fluid Dynamics and Simulation of Giant Oil and Gas Reservoirs, Istanbul, Turkey, September 3-5, 2012 

• Scientific Steering Committee member, SIAM & Gulf International Conference on Applied Mathematics (GICAM 13), Nov. 19-21, 2013

• Session chair, Big Data Discovery and Impact on Decision Making, SPE & SIAM Conference, Istanbul, Turkey, September 15-17, 2014

• 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. 19-23, 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 Journal of Computational and Applied Mathematics - Elsevier; Quantitative Finance - Taylor & Francis; Mathematics of Operations Research - Informs; Optimization Methods and Software - Taylor & Francis; Mathematical Modelling and Analysis; Hacettepe Journal of Mathematics and Statistics; Journal of Supercomputing - Springer; Concurrency and Computation: Practice and Experience - Wiley; Expert Systems with Applications - Elsevier; Mobile Ad Hoc Wireless Networks in the Journal of Communications and Networks (JCN); Ad Hoc Networks - Elsevier; IEEE Wireless Communications & Networking Conference (WCNC)

• Referee for projects - The Scientific and Technological Research Council of T rkiye (T BİTAK); US National Science Foundation; US Department of Energy project (2,000,000 USD), EU PRACE

• Book reviewer

  • Pearson Addison-Wesley, T. Sauer Numerical Analysis 2nd edition

  • MIT Press, Introduction to Quantitative Finance

  • Wiley-Blackwell, Introduction to Financial Economics, Fabozzi Series

• Mehmet Tuncel, Ph.D. student, graduated in 2023, currently Instructor in Artificial Intelligence and Data Science Application and Research Center at ITU

• Furkan Goktas, Ph.D. student, graduated in 2019, currently Assistant Professor at Karabuk University

• Burhaneddin Izgi, Ph.D. student, graduated in 2015, currently Associate Professor at ITU

• H. Unsal Ozer, Ph.D. student, currently Research Assistant at Yıldız Technical University

Selected International Journal Papers (SCI)

1. M. Tuncel and A. Duran, Effectiveness of grid and random approaches for a model parameter vector optimization, Journal of Computational Science, Vol. 67, 2023, 101960 DOI: https://doi.org/10.1016/j.jocs.2023.101960

2. A. Duran and M. Farrukh, Multiple regression analysis for dynamics of patient volumes, Communications in Statistics - Simulation and Computation, 51(6), 2022, pp. 2906-2923, DOI: 10.1080/03610918.2019.1704419, cited by 1 , Taylor & Francis line

3. A. Duran, Stability analysis of asset flow differential equations, Applied Mathematics Letters, 24(4), 471-477, 2011, doi: 10.1016/j.aml.2010.10.044, download, cited by 7, Elsevier link

4. A. Duran and G. Caginalp, Parameter optimization for differential equations in asset price forecasting, Optimization Methods & Software, Vol. 23, Issue 4: Mathematical programming in data mining and machine learning, 2008, pp. 551-574, download, cited by 15, Taylor & Francis link

5. A. Duran and B. İzgi, Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm, Journal of Computational and Applied Mathematics, 281, 2015, pp. 126-134, DOI 10.1016/j.cam.2014.12.020 Elsevier link

6. 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 40, Taylor & Francis line

7. M.J. Bommarito and A. Duran, Spectral analysis of time-dependent market-adjusted return correlation matrix, Physica A, 503, 2018, pp. 273-282 cited by 8, Elsevier link

8. B. İzgi and A. Duran, 3D extreme value analysis for stock return, interest rate and speed of mean reversion, Journal of Computational and Applied Mathematics, 297, 2016, pp. 51-64, DOI: 10.1016/j.cam.2015.10.009 cited by 11,  Elsevier link

9. A. Duran, M.S. Celebi, S. Piskin, and M. Tuncel, Scalability of OpenFOAM for Bio-medical Flow Simulations, Journal of Supercomputing, 71(3), 2015, pp. 938-951, DOI 10.1007/s11227-014-1344-1 download, cited by 22, Springer link.

   • This work was financially supported by the PRACE Project funded in part by the EUs 7th Framework Programme under Grant agreement No. RI-312763, (see PRACE white paper WP 162 for an early version, June 9, 2014)

10. M.S. Celebi, A. Duran, F. Oztoprak, M. Tuncel, and B. Akaydin, On the improvement of a scalable sparse direct solver for unsymmetrical linear equations, Journal of Supercomputing, 73, 2017, pp. 1852-1904, DOI:10.1007/s11227-016-1892-7 cited by 3, Springer link

11. A. Duran and M.J. Bommarito, A profitable trading and risk management strategy despite transaction costs, Quantitative Finance, 11(6), 2011, pp. 829-848, doi: 10.1080/14697680903449815, cited by 18, key paper

12. H.U. Ozer and A. Duran, The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods, Int. Journal of Financial Engineering, Vol. 05 No. 03, 2018, pp. 1850028 1-22 https://doi.org/10.1142/S2424786318500287  download World Scientific link

13. 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 9 , Taylor & Francis link

14. F. Goktas and A. Duran, A new possibilistic mean-variance model based on the principal component analysis: An application on the Turkish holding stocks, Journal of Multiple-Valued Logic and Soft Computing, Vol. 32 Issue 5-6, 2019, pp. 455-476 cited by 1, download

15. L.S. Kabbani, G. A. Escobar, B. Knipp, C.B. Deatrick, A. Duran, G.R. Upchurch, L.M. Napolitano, APACHE III score on ICU admission predicts hospital mortality after open thoraco-abdominal and open abdominal aortic aneurysm repair, Annals of Vascular Surgery, 24(8), 2010, pp. 1060-1067, doi:10.1016/j.avsg.2010.07.011, cited by 11, Elsevier link

16. F. Goktas and A. Duran, New robust portfolio selection models based on the principal component analysis: An application on the Turkish holding stocks, Journal of Multiple-Valued Logic and Soft Computing, Vol. 34, 2020, pp. 43-48 cited by 2, download

    Refereed International Proceedings Papers

17. A. Duran ve M. Tuncel, Evaluation of a new parallel numerical parameter optimization algorithm for a dynamical system, Proceedings of the 2nd International Conference Numerical Computations: Theory and Algorithms (NUMTA2016), Italy, 19-25 June 2016, AIP Conference Proceedings 1776, 090052 (2016), doi: 10.1063/1.4965416 download, cited by

18. A. Duran, S. Piskin, and M. Tuncel, Evaluating the maturity of OpenFOAM simulations on GPGPU for bio-fluid applications, Proceedings of the Emerging Technology (EMiT) Conference, pp. 11-14, Barcelona Supercomputing Center, Spain, 2-3 June 2016, editors: B.D.Rogers, D.Topping, F.Mantovani, M.K.Bane. ISBN 978-0-9933426-3-9 download, cited by 1

19. M. Tuncel, A. Duran, M. S. Celebi, B. Akaydin, ve F. O. Topkaya, A comparison of superlu solvers on the intel mic architecture, Proceedings of the 2nd International Conference Numerical Computations: Theory and Algorithms (NUMTA2016), Italy, 19-25 June 2016, AIP Conference Proceedings 1776, 090030 (2016), doi: 10.1063/1.4965394 download, cited by

20. I. Mazza, A. Duran, Y. Hundur, C. Persi, A. Santoro, and M. Tuncel, Scalability of OpenFOAM for Simulations of a Novel Electromagnetic Stirrer for Steel Casting, Proceedings of the 2016 International Conference on Parallel and Distributed Processing Techniques and Applications (PDPTA'16), World Congress in Computer Science, Computer Engineering & Applied Computing, pp. 111-116, ISBN: 1-60132-444-8, CSREA Press, July 25-28, 2016, Las Vegas, USA download, cited by 1

21. A. Duran and M. Tuncel, Spectral Effects Of Large Matrices From Oil Reservoir Simulators On Performance Of Scalable Direct Solvers, OnePetro, 172984 SPE Paper - 2014, download , SPE Link

22. A. Duran and B. İzgi, Solution behavior of Heston model using impression matrix norm, Advances in Applied Mathematics, Springer Proc. in Mathematics & Statistics 87, 215-221, Springer Switzerland, 2014

23. A. Duran and B. İzgi, Comovement and polarization of interest rate and stock market in Turkey, Borsa İstanbul Finance & Economics Conference (BIFEC) 2013 "Policy Issues and Challenges in the Global Financial System and Economies", BIFEC Book of Abstracts & Proceedings, Volume 1, Issue II, 130-141, Istanbul, March 2014

24. A. Duran, M.S. Celebi, M. Tuncel and F. Oztoprak, Spectral Analysis of Large Sparse Matrices for Scalable Direct Solvers, Advances in Applied Mathematics, Springer Proceedings in Mathematics & Statistics 87, pp. 153-160, 2014. DOI 10.1007/978-3-319-06923-4__14 (see PRACE-2IP white paper, Scalable Algorithms, WP 82, for an early version, August 20, 2013 download )

25. 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 9

26. 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, download , google, cited by 64

27. 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 14

    National Journal Papers

28. A Duran, M Tuncel, HU Ozer, GPU Programlama ile Yuksek Boyutlu Yogun Matrislerin Kronecker Carpimlarinin Hesaplanmasi, Erciyes Universitesi Fen Bilimleri Enstitusu Fen Bilimleri Dergisi 36 (1), 2020, pp 119-127 download

29. F. Goktas and A. Duran, Olabilirlik ortalama-varyans modelinin matematiksel analizi, Balikesir Universitesi Fen Bilimleri Enstitusu Dergisi 22 (1), 2020, pp 80-91  download