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Finansal krizlerin dinamiklerinin elipsosoidal analiz ve kümeleme metodları aracılığıyla modellenmesi ve anlaşılması
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Proje Yürütücüsü:
Cem İYİGÜN
(Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü Finansal Matematik Bölümü, Ankara, Türkiye)
Proje Grubu:
TÜBİTAK TBAG Proje
Sayfa Sayısı:
29
Proje No:
112T744
Proje Bitiş Tarihi:
15.02.2014
Metin Dili:
Türkçe
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Türkçe
Finansal krizlerin dinamiklerinin elipsosoidal analiz ve kümeleme metodları aracılığıyla modellenmesi ve anlaşılması
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Kaynakça
Projeden Çıkan Yayınlar
Projenin Atıfları
1. Aster, R. C., Borchers, B., Thurber, C., Parameter Estimation and Inverse Problems, Academic Press, 2nd edition, (2012).
2. Calverley, J., Bubbles and How to Survive Them, Boston: N. Brealey Publishing, (2004).
3. Cont, R., Tankov, P., Financial Modelling with Jump Processes, Financial Mathematics Series, Chapman&Hall/CRC, (2004).
4. Feeman, T., The Radon Transform, The Mathematics of Medical Imaging, Springer Undergraduate Texts 11 in Mathematics and Technology, (2013).
5. Hoilund, C., The Radon transform, http://www.cvmt.dk/education/teaching/e07/MED3/IP/Carsten Hoilund - Radon Transform.pdf. Accessed 10 June 2013, (2007).
6. Jacobsson, E., How to predict crashes in financial markets with the log-periodic power law, Technical Report, Stockholm University, (2009).
7. Johansen, A., Ledoit, O., Sornette, D., Crashes as critical points, International Journal of Theoretical and Applied Finance, 3(2), 219-255, (2000).
8. Johansen, A., Sornette, D., Ledoit, O., Predicting financial crashes using discrete scale invariance. Journal of Risk, 1(4), 5-32, (1999).
9. Karatsaz, I., Shreve, S., Brownian Motion and Stochastic Calculus, Springer, New York, USA, (1991).
10. Karplus, W. J., The Heavens are Falling: The Scientific Prediction of Catastrophes in Our Time. New York: Plenum Press, (1992).
11. Kürüm, E., Early Warning on Stock Market Bubbles via Ellipsoidal Clustering and Inverse Problems. PhD Thesis, Middle East Technical University, Ankara, Turkey, (2014).
12. Shreve, S., Stochastic calculus for finance II continuous-time models, Springer, New York, USA, (2001).
13. Sun, P., Freund, R. M., Computation of minimum-volume covering ellipsoids, Operations Research, 52(5), 690-706, (2004).
14. Yan, W., Identification and Forecasts of Financial Bubbles, PhD Thesis, ETH Zurich, Switzerland, (2011).
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