ZORA Publication List

Publications

• 2018

  • Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet (2018). A tale of two risks in the EMU sovereign debt markets. Economics Letters, 172:102-106.

• 2017

  • Göncü, Ahmet; Akyildirim, Erdinc (2017). Statistical arbitrage in the multi-asset Black–Scholes economy. Annals of Financial Economics, 12(01):1750004.

• 2016

  • Göncü, Ahmet; Akyildirim, Erdinc (2016). Statistical Arbitrage with Pairs Trading. International Review of Finance, 16(2):307-319.
  • Akyildirim, Erdinc; Altarovici, Albert (2016). Partial hedging and cash requirements in discrete time. Quantitative Finance, 16(6):929-945.
  • Göncü, Ahmet; Akyildirim, Erdinc (2016). A stochastic model for commodity pairs trading. Quantitative Finance, 16(12):1843-1857.

• 2015

  • Akyildirim, Erdinc; Altarovici, Albert; Ekinci, Cumhur (2015). Effects of firm-specific public announcements on market dynamics: Implications for high-frequency traders. In: Gregoriou, Greg N. Handbook of High Frequency Trading. London: Academic Press, 305-326.

• 2014

  • Akyildirim, Erdinc; Dolinsky, Yan; Soner, H Mete (2014). Approximating stochastic volatility by recombinant trees. Annals of Applied Probability, 24(5):2176-2205.
  • Akyildirim, Erdinç; Güney, I Ethem; Rochet, Jean-Charles; Soner, H Mete (2014). Optimal dividend policy with random interest rates. Journal of Mathematical Economics, 51:93-101.

• 2013

  • Akyildirim, Erdinc. Essays in quantitative finance. 2013, University of Zurich, Faculty of Economics.

Pagination