Halis SAK

DERFLINGER, G., HOERMANN, W., LEYDOLD, J., SAK, H. (2009). Efficient Numerical Inversion for Financial Simulations. dans P. L' Ecuyer & A.B. Owen (Ed.), Monte Carlo and Quasi-Monte Carlo methods 2008. Springer.

2018

WU, Q., SAK, H., SESHADRI, S., HAKSOZ, C. (2018) . Optimization Under Supplier Portfolio Risk Considering Breach of Contract and Market Risks, Risk and Decision Analysis, 7 (3-4), 77-89

BASOGLU, I., HOERMANN, W., SAK, H. (2018) . Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk, Annals of Operations Research, 260 (1-2), 113-128

2017

SAK, H., BASOGLU, I. (2017) . Efficient Randomized Quasi-Monte Carlo Methods for Portfolio Market Risk, Insurance: Mathematics and Economics, 76 87-94

2015

DINGEC, K., SAK, H., HOERMANN, W. (2015) . Variance Reduction for Asian Options under a General Model Framework, Review of Finance, 19 (2), 907-949

2013

BASOGLU, I., HOERMANN, W., SAK, H. (2013) . Optimally Stratified Importance Sampling for Portfolio Risk with Multiple Loss Thresholds, Optimization, 62 (11), 1451-1471

2012

SAK, H., HOERMANN, W. (2012) . Fast Simulations in Credit Risk, Quantitative Finance, 12 (10), 1557-1569

2011

SAK, H., HAKSOZ, C. (2011) . A Copula-Based Simulation Model for Supply Portfolio Risk, Journal of Operational Risk, 6 (3), 15-38

2010

SAK, H., HOERMANN, W., LEYDOLD, J. (2010) . Efficient Risk simulations for Linear Asset Portfolios in the t-Copula Model, European Journal of Operational Research, 202 802-809

HOERMANN, W., SAK, H. (2010) . t-Copula Generation for Control Variates, Mathematics and Computers in Simulation, 81 782-790

SAK, H., HOERMANN, W., LEYDOLD, J. (2010) . Better Confidence Intervals for Importance Sampling, International Journal of Theoretical and Applied Finance, 13 1279-1291

2007

SAK, H., OZEKICI, S., BODUROGLU, I. (2007) . Parallel computing in Asian option pricing, Parallel Computing, 33 92-108