ABOUT ME

Ahmet Duran is a full Professor of Mathematics at Istanbul Technical University (ITU). He worked as an Assistant Professor with research and teaching responsibilities in the Department of Mathematics at the University of Michigan - Ann Arbor between 2006 and 2010, before joining ITU. His research in applied mathematics, differential equations and numerical analysis contributed about 30 papers published in J. of Computational and Applied Mathematics, Applied Mathematics Letters, J. of Computational Science, J. of Supercomputing, Optimization Methods & Software, Numerical Functional Analysis and Optimization, Quantitative Finance, SIAM Linear Algebra and others. One of his journal papers was elected as a key paper in risk by Quantitative Finance journal in 2010.

Nonlinear asset flow differential equations, heat equations with nonlinear source terms, Heston's volatility stochastic differential equations, Black-Scholes partial differential equation, Navier-Stokes equations, "black-oil" equations, and magnetohydrodynamics (MHD) equations are among the important differential equations in his research.

He participated as a researcher in several research projects for the National Science Foundation and International Foundation for Research in Experimental Economics in USA. After being associate professor at ITU, he accomplished, as a principal investigator, a number of research projects supported by European Union and international companies.

He has his Ph.D. and M.A. in Mathematics from University of Pittsburgh, his M.S. in Computer & Information Sciences from University of Delaware, his M.S. and B.S. in Mathematics from Middle East Technical University. He wrote a Ph.D. thesis “Overreaction behavior and optimization techniques in mathematical finance” and a master’s thesis “Asymptotic behavior of solutions of semilinear heat equations with source”.

He is one of the pioneers of Quantitative Behavioral Finance with his PhD thesis in 2006 and Overreaction Diamonds paper (with G. Caginalp) published in Quantitative Finance in 2007. Mathematical models, differential equations, parameter optimiztion and statistical methods are used to understand asset price dynamics and behavioral biases together with valuation. Among many significant citations, Ramiah, Xu and Moosa (International Review of Financial Analysis-Elsevier, 2015) cited them as "Recently we witnessed the emergence of quantitative behavioral finance as a discipline (see, for example, Duran and Caginalp, 2007)." 

He has taught many courses such as Differential Equations, Numerical Solution of Stochastic Differential Equations, Mathematics of Finance and Computational Finance in the graduate and undergraduate programs at the University of Michigan-Ann Arbor and ITU. His 3 Ph.D. students graduated in 2015, 2019 & 2023. He has one more Ph.D. student.

He organized “Advances in Financial Mathematics” in the World Congress of Nonlinear Analysts, in Orlando, July 2008. He chaired the International Conference on Mathematical Finance and Economics in Istanbul in 2011. He became a committee member for the SPE - SIAM Conference on Mathematical Methods in Fluid Dynamics and Simulation of Giant Oil and Gas Reservoirs in 2012 and the SPE - SIAM Conference on Large Scale Computing and Big Data Challenges in Reservoir Simulation in 2014, in Istanbul.

He attended his research project meetings or gave conference presentations in United States of America, Canada, France, Holland, Italy, Kuveyt, Poland, Saudi Arabia, Spain, Bulgaria and Greece. He gave invited talks at Courant Institute of Mathematical Sciences-New York University, University of Michigan-Ann Arbor, Indiana University-Bloomington, Koc Un.

CONTACT

  • İTÜ Fen Edebiyat Fakültesi, Matematik Mühendisliği, Maslak Kampüsü
  • 2020
    PROFESÖRİSTANBUL TEKNİK ÜNİVERSİTESİMATEMATİK BÖLÜMÜ2020 / -
  • 2014
    Yönetim Kurulu ÜyeliğiİSTANBUL TEKNİK ÜNİVERSİTESİ2014 / 2015
  • 2012
    Dekan YardımcısıİSTANBUL TEKNİK ÜNİVERSİTESİ2012 / 2013
  • 2012
    Lisansüstü Program Yürütme Kurulu ÜyesiİSTANBUL TEKNİK ÜNİVERSİTESİ2012 / 2015
  • 2012
    Doktora Yeterlik KomitesiÜyesiİSTANBUL TEKNİK ÜNİVERSİTESİ2012 / 2015
  • 2012
    Akademik Danışma Kurulu ÜyesiİSTANBUL TEKNİK ÜNİVERSİTESİ2012 / 2017
  • 2012
    DOÇENTİSTANBUL TEKNİK ÜNİVERSİTESİMATEMATİK BÖLÜMÜ2012 / 2020
  • 2011
    Bölüm Başkan YardımcısıİSTANBUL TEKNİK ÜNİVERSİTESİ2011 / 2012
  • 2010
    YARDIMCI DOÇENTİSTANBUL TEKNİK ÜNİVERSİTESİMATEMATİK BÖLÜMÜ2010 / 2012
  • 2006
    YARDIMCI DOÇENTUniversity of MichiganMathematics2006 / 2010
  • 2003
    DoktoraUniversity of Pittsburgh2003 / 2006
  • 2003
    ARAŞTIRMA GÖREVLİSİUniversity of PittsburghMathematics2003 / 2006
  • 2001
    Yüksek LisansUniversity of Delaware2001 / 2003
  • 2001
    ARAŞTIRMA GÖREVLİSİUniversity of DelawareComputer & Information Sciences2001 / 2003
  • 2000
    Yüksek LisansUniversity of Pittsburgh2000 / 2001
  • 2000
    ARAŞTIRMA GÖREVLİSİUniversity of PittsburghMathematics2000 / 2001
  • 1997
    ARAŞTIRMA GÖREVLİSİDİĞER (KURUMLAR, HASTANELER VB.)TÜBİTAK1997 / 2000
  • 1995
    Yüksek LisansORTA DOĞU TEKNİK ÜNİVERSİTESİMATEMATİK (YL) (TEZLİ)1995 / 1998
  • 1995
    ARAŞTIRMA GÖREVLİSİORTA DOĞU TEKNİK ÜNİVERSİTESİMATEMATİK BÖLÜMÜ1995 / 1997
  • 1990
    LisansORTA DOĞU TEKNİK ÜNİVERSİTESİMATEMATİK BÖLÜMÜ1990 / 1995