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Ahmet Duran

Associate Professor

Department of Mathematical 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

You can download research papers from this web site below or scholar 

In the News 

  • PRACE Digest 2016, Interview about EU Horizon 2020 project, "Liquid metal: simulating continuous steel casting"

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

  • TV8, March 01, 2012, 18:16, Haber Aktif, The new currency sign for Turkish lira 

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

  • 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 High performance computing, mathematical finance and economics, quantitative behavioral finance, numerical linear algebra, data analysis, computational finance, optimization, numerical analysis, mathematical modeling, ordinary, partial, and stochastic differential equations, networking algorithms and simulation

Previous Appointments

  • 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

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 US National Science Foundation; US Department of Energy project (2,000,000 USD); Quantitative Finance - Taylor & Francis; Mathematics of Operations Research - Informs; Optimization Methods and Software - Taylor & Francis; Concurrency and Computation: Practice and Experience - Wiley; Mobile Ad Hoc Wireless Networks in the Journal of Communications and Networks (JCN); Ad Hoc Networks - Elsevier; IEEE Wireless Communications & Networking Conference (WCNC)

  • Book reviewer for Pearson Addison-Wesley in numerical analysis

  • Book reviewer for MIT Press, Introduction to Quantitative Finance

  • Book reviewer for Wiley-Blackwell, Introduction to Financial Economics, Fabozzi Series

Software Development

  1. A. Duran and B.D. Saunders, 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. A. Duran and B.D. Saunders, GenBLAS. Generic Basic Linear Algebra Subroutines in C++, 2002. You can download and use GenBLAS  version 1.0 for academic purpose only, by giving  reference

Selected Journal Papers (SCI)

  1. 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 Elsevier Link

  2. 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, 2016, pp. 1-53, DOI:10.1007/s11227-016-1892-7

  3. 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

  4. 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 Springer Link. This work was financially supported by the PRACE Project funded in part by the EUs 7th Framework Programme (FP7/2007–2014) under Grant agreement No. RI-312763, (see PRACE white paper WP 162 for an early version, June 9, 2014, download )

  5. 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

  6. 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 7

  7. 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 6

  8. 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 7

  9. 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 23

Refereed Proceedings Papers

  1. 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

  2. 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

  3. 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

  4. 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

  5. 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, SPE Link

  6. 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

  7. 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

  8. 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 )

  9. 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 8

  10. 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 48

  11. 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 10

Peer-Reviewed Project White Papers and Reports

  1. I. Mazza, A. Duran, Y. Hundur, C. Persi, A. Santoro, and M. Tuncel, HPC-based Design of a Novel Electromagnetic Stirrer for Steel Segment Casting, in EU Horizon 2020 - PRACE 4IP, white paper, WP214, April 2016, download

  2. A. Duran, M.S. Celebi, S. Piskin, and M. Tuncel, Scalability of OpenFOAM for Bio-medical Flow Simulations,  PRACE PN: RI-312763, PRACE-3IP white paper, Application scalability: Computational Fluid Dynamics (CFD) applications, WP 162, June 9, 2014, download

  3. A. Duran and M. Tuncel, Scalable Parallel Nonlinear Parameter Optimization Algorithm with Parameter Pools, PRACE PN: 283493, PRACE-2IP Extension white paper, Scalable Algorithms, WP 185, August 11, 2014, download

  4. A Report on Summary of Novel Programming Techniques Results, D12.5, PRACE (Partnership for Advanced Computing in Europe), PRACE PN:RI-283493, PRACE-2IP Extension, August 31, 2014, download

  5. Exploitation of HPC Tools and Techniques, D7.2.2, PRACE (Partnership for Advanced Computing in Europe), PRACE PN: RI-312763, PRACE-3IP, May 24, 2014, download

  6. A. Duran, M.S. Celebi, B. Akaydin, M. Tuncel and F. Oztoprak, Analysis of SuperLU Solvers on the Intel MIC Architecture, PRACE PN: 261557, PRACE-1IP Extension white paper, Evaluations on Intel MIC, WP 135, December 25, 2013, download

  7. A Report on Application Enabiling for Capability Science in the MIC Architecture, D7.1.3, PRACE (Partnership for Advanced Computing in Europe), PRACE PN: RI-261557, PRACE-1IP, December 13, 2013, download

  8. A. Duran, M.S. Celebi, M. Tuncel and F. Oztoprak, Structural Analysis of Large Sparse Matrices for Scalable Direct Solvers, PRACE PN: 283493, PRACE-2IP white paper, Scalable Algorithms, WP 82, August 20, 2013 download

  9. M.S. Celebi, A. Duran, M. Tuncel, B. Akaydin and F. Oztoprak, Performance Analysis of BLAS Libraries in SuperLU_DIST for SuperLU_MCDT (Multi Core Distributed) Development, PRACE PN: 283493, PRACE-2IP white paper, Libraries, WP 83, August 20, 2013, download

  10. D7.2.1 A Report on the Survey of HPC Tools and Techniques, PRACE (Partnership for Advanced Computing in Europe), PRACE PN: RI-312763, PRACE-3IP , April 29, 2013, download

  11. A. Duran, M.S. Celebi, M. Tuncel and B. Akaydın, Design and implementation of new hybrid algorithm and solver on CPU for large sparse linear systems, PRACE (Partnership for Advanced Computing in Europe), PRACE PN: 283493, PRACE-2IP white paper, Libraries, WP 43, July 13, 2012, download

  12. M.S. Celebi, A. Duran, M. Tuncel and B. Akaydın, Scalable and improved SuperLU on GPU for heterogeneous systems, PRACE (Partnership for Advanced Computing in Europe), PRACE PN: 283493, PRACE-2IP white paper, Libraries, WP 44, July 13, 2012, download

Projects

  1. ITR/ASC: Collaborative Research – Linbox: A Generic Library for Seminumeric Black Box Linear Algebra, National Science Foundation (NSF) Grant CCR-0112807, Research Assistant, 2001-2003

  2. Exact Computation in Sparse Linear Algebra, NSF Grant CCR-0098284, Research Assistant, 2001-2003

  3. Default and Asset Correlation, project for Risk Metrics, University of Pittsburgh, Graduate Student, 2003

  4. Modeling in Mathematical Finance and Economics, research projects for International Foundation for Research in Experimental Economics (IFREE) and LGT Capital Management, Graduate Student Researcher, 2005-2006

  5. Several Research Topics in Mathematical Finance and Economics, University of Michigan-Ann Arbor, Assistant Professor, Spring/Summer 2008

  6. Parallel Algorithm (Kernel) Development for Large Scale Sparse Linear Systems in Oil Reservoir Simulation (PASSOR), Project PI, Computational Linear Algebra Project for Saudi ARAMCO, July 1, 2012-2016.

  7. Design and implementation of new hybrid algorithm and solver on CPU for large sparse linear systems, PRACE-2IP (The Partnership for Advanced Computing in Europe - Second Implementation Phase Project, persistent pan-European Research Infrastructure for High Performance Computing) WP12 T12.2, 2011 - 2013

  8. Scalable and improved SuperLU on GPU for heterogeneous systems, PRACE-2IP WP12 T12.2, Project Co-PI, 2011 - 2013

  9. Structural Analysis of Large Sparse Matrices for Scalable Direct Solvers, PRACE-2IP WP12 T12.2, Project PI,  2011 - 2013

  10. Performance Analysis of BLAS Libraries in SuperLU_DIST for SuperLU_MCDT (Multi Core Distributed) Development, PRACE-2IP WP12 T12.2, Project Co-PI, 2011 - 2013

  11. Analysis of SuperLU Solvers on the Intel MIC Architecture, PRACE-1IP WP7 T7.1, Project PI,  2013

  12. Scalability of OpenFOAM for Bio-medical Flow Simulations, PRACE-3IP WP7 T7.2, Project PI, Sept. 2012 - Aug. 2014

  13. Scalable Parallel Nonlinear Parameter Optimization Algorithm with Parameter Pools, PRACE-2IP WP12 T12.2, Project PI, Sept. 2013 - Aug. 2014

  14. HPC-based Design of a Novel Electromagnetic Stirrer for Steel Segment Casting, in EU Horizon 2020 - PRACE 4IP, Project Co-PI, 2015 - 2016

Other Publications

  1. M.J. Bommarito and A. Duran, Spectral analysis of time-dependent market-adjusted return correlation matrix, 7 pages, ssrn, 2010

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

  3. 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

  4. 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

  5. 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

  6. 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

Graduate Students

  • Michael J. Bommarito

  • Burhaneddin İzgi (Ph.D. Student)

  • Mehmet Tuncel (Ph.D. Student)

  • Furkan Göktaş (Ph.D. Student)

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