ahmet goncu
ahmet goncu
Xian Jiaotong Liverpool University / Affiliation: Bogazici University Center for Economics and
Verified email at xjtlu.edu.cn - Homepage
TitleCited byYear
Pricing temperature‐based weather derivatives in China
A Göncü
The Journal of Risk Finance, 2012
232012
Generating low-discrepancy sequences from the normal distribution: Box–Muller or inverse transform?
G Ökten, A Göncü
Mathematical and Computer Modelling 53 (5-6), 1268-1281, 2011
182011
On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo
G Ökten, E Salta, A Göncü
Mathematical and Computer Modelling 47 (3-4), 484-494, 2008
142008
Statistical Arbitrage in the Black-Scholes Framework
A Goncu
Quantitative Finance, 0
11*
Statistical arbitrage with pairs trading
A Göncü, E Akyıldırım
International Review of Finance 16 (2), 307-319, 2016
102016
An analysis of the extreme returns distribution: the case of the Istanbul Stock Exchange
A Goncu, AK Akgul, O Imamoğlu, M Tiryakioğlu, M Tiryakioğlu
Applied Financial Economics 22 (9), 723-732, 2012
102012
Pricing temperature-based weather contracts: an application to China
A Goncu
Applied Economics Letters 18 (14), 1349-1354, 2011
92011
A stochastic model for commodity pairs trading
A Göncü, E Akyildirim
Quantitative Finance 16 (12), 1843-1857, 2016
82016
Forecasting daily residential natural gas Consumption: A dynamic temperature modelling approach
A Goncu, M Karahan, T Kuzubas
Bogazici University, Department of Economics, 2013
72013
Pairs trading with commodity futures: evidence from the Chinese market
Y Yang, A Goncu, A Pantelous
China Finance Review International 7 (3), 274-294, 2017
52017
Uniform point sets and the collision test
A Göncü, G Ökten
Journal of Computational and Applied Mathematics 259, 798-804, 2014
52014
Modeling and pricing precipitation-based weather derivatives
A Goncu
Financial Math Appl 1 (1), 9-18, 2011
52011
A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
A Göncü, MO Karahan, TU Kuzubaş
The North American Journal of Economics and Finance 36, 69-83, 2016
42016
Fitting the Heston Stochastic Volatility Model to Chinese Stocks
A Goncu, H Yang
International Finance and Banking 1 (1), 74-85, 2014
42014
Momentum and reversal strategies in Chinese commodity futures markets
Y Yang, A Göncü, AA Pantelous
International Review of Financial Analysis 60, 177-196, 2018
32018
Variance-Gamma and Normal-Inverse Gaussian models: Goodness-of-fit to Chinese high-frequency index returns
A Göncü, H Yang
The North American Journal of Economics and Finance 36, 279-292, 2016
32016
Estimating sensitivities of temperature-based weather derivatives
W Yuan, A Göncü, G Ökten
Applied Economics 47 (19), 1942-1955, 2015
32015
Efficient simulation of a multi-factor stochastic volatility model
A Göncü, G Ökten
Journal of Computational and Applied Mathematics 259, 329-335, 2014
32014
Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models
O Cepni, A Goncu, MO Karahan, TU Kuzubas
Research Paper, Department of Economics, Bogazici University, Istanbul, 2013
32013
Fitting the variance-gamma model: A goodness-of-fit check for emerging markets
A Göncü, MO Karahan, TU Kuzubas
Bogazici Journal of Economics and Administrative Sciences 27 (2), 1-10, 2013
32013
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