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Département
Département
Département Finance
Section CV
Formation
PhD, Industrial Engineering
Bogazici University, Istanbul 2008Master of Science, Industrial Engineering
Bogazici University, Istanbul 2003Expériences professionnelles
Visiting Assistant Professor of Finance
Hong Kong University of Science and Technology (HKUST), Hong Kong, Chine (RPC) 2019 - 2021Assistant Professor of Finance
Xi'an Jiaotong-Liverpool University, Suzhou, Chine (RPC) 2014 - 2019Asssistant professor in Industrial and Systems Engineering Department
Yeditepe University , Istanbul, Turquie 2010 - 2014Postdoctoral Researcher in the Institute for Statistics and Mathematics
Wirtschaftsuniversität Wien (WU Vienna), Vienna, Autriche 2008 - 2010Publications
Publié
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.
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.
SAK, H., BASOGLU, I. (2017). Efficient Randomized Quasi-Monte Carlo Methods for Portfolio Market Risk. Insurance: Mathematics and Economics, 76, 87-94.
DINGEC, K. D., SAK, H., HOERMANN, W. (2015). Variance Reduction for Asian Options under a General Model Framework. Review of Finance, 19 (2), 907-949.
BASOGLU, I., HOERMANN, W., SAK, H. (2013). Optimally Stratified Importance Sampling for Portfolio Risk with Multiple Loss Thresholds. Optimization, 62 (11), 1451-1471.
SAK, H., HOERMANN, W. (2012). Fast Simulations in Credit Risk. Quantitative Finance, 12 (10), 1557-1569.
SAK, H., HAKSOZ, C. (2011). A Copula-Based Simulation Model for Supply Portfolio Risk. Journal of Operational Risk, 6 (3), 15-38.
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). Efficient Risk simulations for Linear Asset Portfolios in the t-Copula Model. European Journal of Operational Research, 202, 802-809.
SAK, H., HOERMANN, W., LEYDOLD, J. (2010). Better Confidence Intervals for Importance Sampling. International Journal of Theoretical and Applied Finance, 13, 1279-1291.
SAK, H., OZEKICI, S., BODUROGLU, I. (2007). Parallel computing in Asian option pricing. Parallel Computing, 33, 92-108.
DERFLINGER, G., HOERMANN, W., LEYDOLD, J., SAK, H. (2009). Efficient Numerical Inversion for Financial Simulations. Springer