Quantitative Finance Research Group


The Quantitative Finance Research Group's vision is to be an internationally recognised research group in the field of quantitative finance. The research done for thesis preperation also helps our students to become qualified employees in the Turkish financial sector.

Since 2006 we are active in the research on Monte Carlo Methods in finance. Our main focus are improved variance reduction techniques for risk quantification and option pricing. We are especially interested in efficient simulation methods for state of the art models, such as the t-copula approach for portfolio risk quantification and Levy process models for option pricing. The variance reduction methods we have proposed in our papers include applications of control variates and importance sampling. We also work on designing improved random variate generation algorithms that are useful for Monte Carlo in finance.

Trying out our ideas in practice is of highest importance to us. We, therefore, code all our algorithms in "R" and many of them are also coded in C. We extensively test correctness and performance of these algorithms.

The Quantitative Finance Research Group core members are:

Refik Güllü (IE BOUN)
Wolfgang Hörmann (IE BOUN)
Halis Sak (PostDoc at WU Vienna)
Kemal Dinçer Dingeç (writing a PhD Thesis on "Option Pricing for Levy Process Models")
İsmail Başoğlu (PhD Student)





Boğaziçi University Department of Industrial Engineering