Ahmet Göncü

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Statistical arbitrage: factor investing approach OR Spectrum	2024-02-21	Paper
Statistical arbitrage in jump-diffusion models with compound Poisson processes Annals of Operations Research	2022-07-05	Paper
Prediction of cryptocurrency returns using machine learning Annals of Operations Research	2021-05-05	Paper
Pricing portfolios of contracts on cumulative temperature with risk premium determination Risk and Decision Analysis	2019-03-12	Paper
A stochastic model for commodity pairs trading Quantitative Finance	2018-11-13	Paper
Statistical arbitrage in the Black-Scholes framework Quantitative Finance	2018-09-19	Paper
Uniform point sets and the collision test Journal of Computational and Applied Mathematics	2015-06-17	Paper
Efficient simulation of a multi-factor stochastic volatility model Journal of Computational and Applied Mathematics	2015-06-17	Paper
Modelling temperatures in Shanghai using fractional Brownian motion	2013-05-03	Paper
Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform? Mathematical and Computer Modelling	2011-07-21	Paper
On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo Mathematical and Computer Modelling	2008-02-26	Paper

Research outcomes over time

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