
In the News

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

Bloomberg
Businessweek,
Interview, Sept. 2329 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. 5253 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 1517, 2014

Chair,
International
Conference on Mathematical Finance and Economics, ITU, Istanbul, Turkey,
July 68, 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, 20112014

Contact person of Turkey for Work
Package 7 (WP7) in EU
PRACE 3IP project,
20122014

Committee
member, SPE & SIAM Conference on Mathematical
Methods in Fluid Dynamics and Simulation of Giant Oil and Gas Reservoirs,
Istanbul, Turkey, September 35, 2012

Scientific Steering Committee member,
SIAM & Gulf
International Conference on Applied Mathematics (GICAM
13), Nov. 1921, 2013

Session
chair,
Big Data Discovery and Impact on Decision Making,
SPE & SIAM Conference,
Istanbul, Turkey, September 1517, 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. 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 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 AddisonWesley in numerical analysis

Book
reviewer
for
MIT Press,
Introduction
to
Quantitative
Finance

Book
reviewer
for
WileyBlackwell,
Introduction to Financial Economics, Fabozzi
Series
Software Development

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

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)

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. 5164, DOI: 10.1016/j.cam.2015.10.009
Elsevier Link

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. 153,
DOI:10.1007/s1122701618927

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. 126134, DOI 10.1016/j.cam.2014.12.020
Elsevier Link

A. Duran,
M.S. Celebi, S. Piskin, and M. Tuncel,
Scalability
of OpenFOAM for Biomedical Flow Simulations,
Journal of Supercomputing, 71(3),
2015, pp. 938951, DOI 10.1007/s1122701413441
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. RI312763,
(see PRACE white
paper
WP 162
for an early version, June 9, 2014,
download
)

A.
Duran,
Stability analysis of asset flow differential
equations, Applied
Mathematics Letters, 24(4), 471477, 2011, doi: 10.1016/j.aml.2010.10.044,
download

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 thoracoabdominal and open abdominal aortic aneurysm
repair, Annals of Vascular Surgery, 24(8), 2010, pp.
10601067, doi:10.1016/j.avsg.2010.07.011,
cited by
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. 8297,
download,
cited
by 6

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 7

A.
Duran and G.
Caginalp,
Overreaction diamonds: Precursors and
aftershocks for significant price changes,
Quantitative Finance,
7(3), 2007, pp. 321342,
download,
cited
by 23
Refereed
Proceedings
Papers

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,
1925 June 2016, AIP Conference Proceedings 1776, 090052 (2016), doi:
10.1063/1.4965416

A. Duran, S. Piskin, and M. Tuncel, Evaluating the maturity of OpenFOAM
simulations on GPGPU for biofluid applications, Proceedings of the Emerging
Technology (EMiT) Conference, pp. 1114, Barcelona Supercomputing Center,
Spain, 23 June 2016,
editors:
B.D.Rogers, D.Topping, F.Mantovani, M.K.Bane. ISBN 9780993342639

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, 1925 June 2016, AIP Conference
Proceedings 1776, 090030 (2016), doi: 10.1063/1.4965394

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. 111116,
ISBN: 1601324448, CSREA Press, July 2528, 2016, Las Vegas, USA

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

A. Duran and B. İzgi, Solution
behavior of Heston model using impression
matrix norm, Advances in Applied Mathematics, Springer Proc. in Mathematics
& Statistics 87, 215221, Springer Switzerland,
2014

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, 130141, Istanbul,
March 2014

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. 153160, 2014. DOI
10.1007/9783319069234__14
(see PRACE2IP white paper, Scalable Algorithms, WP 82, for an early
version, August 20, 2013
download
)

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 8

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 48

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 10
PeerReviewed Project White
Papers and Reports

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

A. Duran,
M.S. Celebi, S. Piskin, and M. Tuncel,
Scalability
of OpenFOAM for Biomedical Flow Simulations, PRACE PN: RI312763,
PRACE3IP white
paper, Application scalability: Computational Fluid Dynamics (CFD)
applications,
WP 162, June 9, 2014,
download

A. Duran and M. Tuncel,
Scalable Parallel Nonlinear Parameter Optimization Algorithm with Parameter
Pools, PRACE PN: 283493,
PRACE2IP
Extension white
paper, Scalable Algorithms, WP 185, August 11, 2014,
download

A Report on
Summary of Novel Programming Techniques Results, D12.5, PRACE (Partnership for Advanced Computing in Europe),
PRACE
PN:RI283493, PRACE2IP
Extension,
August 31, 2014,
download

Exploitation of HPC Tools and Techniques, D7.2.2, PRACE (Partnership for Advanced Computing in Europe),
PRACE PN: RI312763, PRACE3IP, May 24, 2014,
download

A. Duran,
M.S. Celebi, B. Akaydin, M. Tuncel and F. Oztoprak, Analysis of SuperLU
Solvers on the Intel MIC Architecture, PRACE PN: 261557, PRACE1IP
Extension white
paper, Evaluations on Intel MIC, WP 135, December 25, 2013,
download

A Report on
Application Enabiling for Capability Science in the MIC Architecture,
D7.1.3, PRACE (Partnership for Advanced Computing in Europe), PRACE
PN: RI261557, PRACE1IP,
December 13, 2013,
download

A. Duran, M.S.
Celebi, M. Tuncel and F. Oztoprak, Structural Analysis of Large Sparse
Matrices for Scalable Direct Solvers,
PRACE PN: 283493,
PRACE2IP white paper, Scalable Algorithms, WP 82, August 20, 2013
download

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, PRACE2IP white paper, Libraries, WP
83, August 20, 2013,
download

D7.2.1 A Report on the Survey of
HPC Tools and Techniques, PRACE (Partnership for Advanced Computing in Europe), PRACE
PN: RI312763, PRACE3IP
, April 29, 2013,
download

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, PRACE2IP white paper,
Libraries, WP 43, July 13, 2012,
download

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, PRACE2IP white paper, Libraries, WP 44, July 13, 2012,
download
Projects

ITR/ASC: Collaborative Research – Linbox: A
Generic Library for Seminumeric Black Box Linear Algebra,
National Science Foundation (NSF) Grant CCR0112807, Research Assistant,
20012003

Exact
Computation in Sparse Linear Algebra, NSF Grant CCR0098284, Research
Assistant, 20012003

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

Modeling in
Mathematical Finance and Economics, research projects for International
Foundation for Research in Experimental Economics (IFREE) and LGT Capital
Management, Graduate Student Researcher, 20052006

Several
Research Topics in Mathematical Finance and Economics, University of
MichiganAnn Arbor, Assistant Professor, Spring/Summer 2008

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, 20122016.

Design and
implementation of new hybrid algorithm and solver on CPU for large sparse
linear systems,
PRACE2IP (The Partnership for
Advanced Computing in Europe  Second Implementation Phase Project, persistent panEuropean Research Infrastructure for High Performance
Computing) WP12 T12.2, 2011  2013

Scalable and
improved SuperLU on GPU for heterogeneous systems,
PRACE2IP WP12 T12.2, Project CoPI, 2011  2013

Structural
Analysis of Large Sparse Matrices for Scalable Direct Solvers,
PRACE2IP WP12 T12.2, Project PI, 2011  2013

Performance
Analysis of BLAS Libraries in SuperLU_DIST for SuperLU_MCDT (Multi Core
Distributed) Development, PRACE2IP WP12
T12.2, Project CoPI, 2011  2013

Analysis of
SuperLU Solvers on the Intel MIC Architecture,
PRACE1IP WP7 T7.1, Project PI, 2013

Scalability
of OpenFOAM for Biomedical Flow Simulations,
PRACE3IP WP7 T7.2, Project PI, Sept. 2012  Aug.
2014

Scalable
Parallel Nonlinear Parameter Optimization Algorithm with Parameter Pools,
PRACE2IP WP12 T12.2, Project PI, Sept. 2013  Aug.
2014

HPCbased Design of a Novel Electromagnetic Stirrer for
Steel Segment Casting, in EU Horizon 2020  PRACE 4IP, Project CoPI, 2015 
2016
Other
Publications

M.J.
Bommarito and
A. Duran,
Spectral
analysis of timedependent marketadjusted return correlation matrix,
7
pages, ssrn, 2010 
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

Solution Behavior of
Heston Model Using Impression Matrix Norm,
Koc University, Department of Mathematics, November 11, 2014

Algorithmic Thinking of
Gifted and Talented People, 2. Gifted Education Days, ITU, April 26, 2014

Istanbul Commerce University, Department of Mathematics, March 12, 2014

Panelist,
Turkish
Offshore Hydrocarbon Energy Panel, Türkiye Offshore Energy Conference, ITU,
SDKM, June 1921, 2013

Stability analysis of asset flow differential
equations,
Colloquium Talk,
Koc University, Department of Mathematics, May 26, 2011

What
is quantitative behavioral finance?, ITU Finance Days, December 1516, 2010 
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

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

Spectral Effects
Of Large Matrices From Oil Reservoir Simulators On Performance Of
Scalable Direct Solvers,
SPE & SIAM Conference,
Large Scale Computing and Big Data Challenges in Reservoir Simulation
Conference and Exhibition,
Istanbul, Turkey, September 1517, 2014

Scalability
of SuperLU Solvers for Large Scale Complex Reservoir Simulations (joint
work with M.S. Celebi and M. Tuncel),
Int. Conference for Mathematical Methods in Fluid Dynamics and
Simulation of Giant Oil and Gas Reservoirs, SPE and SIAM Conf., Istanbul, Turkey, Sept. 35, 2012.

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

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
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 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
