#### Filter Results:

- Full text PDF available (4)

#### Publication Year

2003

2010

- This year (0)
- Last 5 years (0)
- Last 10 years (2)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Aslihan Altay-Salih, Mustafa Ç. Pinar, Sven Leyffer
- SIAM Review
- 2003

This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented to the reader as unconstrained optimization models with recursive terms in the literature, whereas they actually fall into the domain of… (More)

- Mustafa Ç. Pinar, Aslihan Altay-Salih, Ahmet Camci
- European Journal of Operational Research
- 2010

We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a sufficiently attractive expected gain opportunity to a claim’s writer and buyer. Pricing results somewhat different from, but reminiscent of, the arbitrage pricing theorems of mathematical finance are obtained. We… (More)

- Yaz Gulnur Muradoglu, Aslihan Altay-Salih, Muhammet Mercan
- 2005

This paper investigates the portfolio performance of subjective forecasts given in different forms. In constructing the efficient frontier, we base the expectation formation processes on subjective forecasts and human behavior, rather than on past prices. We construct the efficient portfolios first, using point, interval, and probabilistic forecasts. Next,… (More)

- Aydin Yuksel, Levent Akdeniz, Aslihan Altay-Salih
- Applied Mathematics and Computation
- 2010

In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is efficient and produces the maximally possible amount of welfare for society, and (2)… (More)

- ‹
- 1
- ›