INSTITUTE OF APPLIED MATHEMATICS
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Affiliation: Middle East Technical University
Office: S227
Phone: +90 (312) 210-5617
E-Mail: ougur\( @ \)metu.edu.tr
Website: http://ougur.iam.metu.edu.tr
Research Interests: Differential Equations; Boundary value and Eigenvalue Problems; Special Functions; Schrödinger Equations; Quantum Mechanics; Numerical Analysis; Numerical Solutions of Differential Equations; Financial Mathematics; Optimisation; Parallel Computing

  • 2017:
    1. Pricing Pension Buy-outs under Stochastic Interest and Mortality Rates. A. Arık, Y. Yolcu-Okur, Ş. Şahin and Ö. Uğur. Scandinavian Actuarial Journal, 2017. BibTeX | URL | DOI ]
      @article{AyseArkYelizYolcu-OkurSuleSahin2017,
        author        = {Ayşe Arık and Yeliz Yolcu-Okur and Şule Şahin and Ömür Uğur},
        doi           = {10.1080/03461238.2017.1328370},
        journal       = {Scandinavian Actuarial Journal},
        keywords      = {change of measure, defined benefit pension plan, interest rate risk, mortality risk, pension buy-out, stochastic models},
        title         = {Pricing Pension Buy-outs under Stochastic Interest and Mortality Rates},
        url           = {http://www.tandfonline.com/eprint/Cp6BzvrUQmVRgFEInBUw/full},
        year          = {2017}
      }
      
      
    2. Impulsive Expressions in Stochastic Simulation Algorithms. D. Altıntan, V. Purutçuoğlu and Ö. Uğur. International Journal of Computational Methods, 2017. BibTeX | DOI ]
      @article{Altntan2017,
        author        = {Altıntan, D. and Purut{\c{c}}uoğlu, V. and Uğur, {\"{O}}.},
        doi           = {10.1142/S021987621750075X},
        journal       = {International Journal of Computational Methods},
        title         = {Impulsive Expressions in Stochastic Simulation Algorithms},
        year          = {2017}
      }
      
      
  • 2016:
    1. On the methods of pricing American options: case study. B. Aydoğan, Ü. Aksoy and Ö. Uğur. Annals of Operations Research, 2016. BibTeX | DOI ]
      @article{Aydogan2016,
        author        = {Aydoğan, B. and Aksoy, {\"{U}}. and Uğur, {\"{O}}.},
        doi           = {10.1007/s10479-016-2267-4},
        journal       = {Annals of Operations Research},
        title         = {On the methods of pricing American options: case study},
        year          = {2016}
      }
      
      
    2. Multiresolution analysis of S&P500 time series. D.K. Kılıç and Ömür. Uğur. Annals of Operations Research, 2016. BibTeX | URL | DOI ]
      @article{Klc2016,
        author        = {Kılı{\c{c}}, Deniz Kenan and Uğur, {\"{O}}m{\"{u}}r},
        doi           = {10.1007/s10479-016-2215-3},
        issn          = {0254-5330},
        journal       = {Annals of Operations Research},
        keywords      = {analysis,frequency domain analysis,multiresolution,statistical analysis,time series analysis,wavelets},
        title         = {Multiresolution analysis of S{\&}P500 time series},
        url           = {http://link.springer.com/10.1007/s10479-016-2215-3},
        year          = {2016}
      }
      
      
    3. Preface. B. Karasözen, M. Manguoğlu, M. Tezer-Sezgin, S. Göktepe and Ö. Uğur. Lecture Notes in Computational Science and Engineering, 112, 2016. BibTeX ]
      @article{Karasozen2016,
        author        = {Karas{\"{o}}zen, B. and Manguoğlu, M. and Tezer-Sezgin, M. and G{\"{o}}ktepe, S. and Uğur, {\"{O}}.},
        isbn          = {9783319399270},
        journal       = {Lecture Notes in Computational Science and Engineering},
        title         = {Preface},
        volume        = {112},
        year          = {2016}
      }
      
      
  • 2014:
    1. On the single name CDS price under structural modeling. İ.H. Gökgöz, Ö. Uğur and Y. Yolcu Okur. Journal of Computational and Applied Mathematics, 259(PART B):406–412, 2014. BibTeX | DOI ]
      @article{Gokgoz2014,
        author        = {G{\"{o}}kg{\"{o}}z, İ. H. and Uğur, {\"{O}}. and {Yolcu Okur}, Y.},
        doi           = {10.1016/j.cam.2013.07.052},
        issn          = {03770427},
        journal       = {Journal of Computational and Applied Mathematics},
        keywords      = {Credit crisis,Credit default swap,Credit derivatives,Credit risk,Structural models},
        number        = {PART B},
        pages         = {406--412},
        title         = {On the single name CDS price under structural modeling},
        volume        = {259},
        year          = {2014}
      }
      
      
    2. Recent Advances in Applied and Computational Mathematics: ICACM-IAM-METU. E. Akyıldız.L. Gebizlioğlu, B. Karasözen, Ömür. Uğur and G. Weber. Journal of Computational and Applied Mathematics, 259(PART B):327–328, 2014. BibTeX | URL | DOI ]
      @article{Akyildiz2014,
        author        = {Akyıldız, Ersan and Gebizlioğlu, {\"{O}}mer L. and Karas{\"{o}}zen, B{\"{u}}lent and Uğur, {\"{O}}m{\"{u}}r and Weber, Gerhard-Wilhelm},
        doi           = {10.1016/j.cam.2013.10.033},
        issn          = {03770427},
        journal       = {Journal of Computational and Applied Mathematics},
        number        = {PART B},
        pages         = {327--328},
        title         = {Recent Advances in Applied and Computational Mathematics: ICACM-IAM-METU},
        url           = {http://www.sciencedirect.com/science/article/pii/S0377042713005773},
        volume        = {259},
        year          = {2014}
      }
      
      
    3. Pricing formulae for constant proportion debt obligation notes: The Laplace transform technique. A. Çekiç and Ö. Uğur. Journal of Computational and Applied Mathematics, 259(PART B), 2014. BibTeX | DOI ]
      @article{Cekic2014,
        author        = {{\c{C}}eki{\c{c}}, A.İ. and Uğur, {\"{O}}.},
        doi           = {10.1016/j.cam.2013.06.006},
        journal       = {Journal of Computational and Applied Mathematics},
        number        = {PART B},
        title         = {Pricing formulae for constant proportion debt obligation notes: The Laplace transform technique},
        volume        = {259},
        year          = {2014}
      }
      
      
    4. Solution of initial and boundary value problems by the variational iteration method. D. Altıntan and Ö. Uğur. Journal of Computational and Applied Mathematics, 259(PART B):790–797, 2014. BibTeX | URL | DOI ]
      @article{Altintan2014,
        author        = {Altıntan, D. and Uğur, {\"{O}}.},
        doi           = {10.1016/j.cam.2013.07.012},
        issn          = {03770427},
        journal       = {Journal of Computational and Applied Mathematics},
        keywords      = {boundary value problems,initial value problems,variational iteration method},
        number        = {PART B},
        pages         = {790--797},
        title         = {Solution of initial and boundary value problems by the variational iteration method},
        url           = {http://linkinghub.elsevier.com/retrieve/pii/S0377042713003567},
        volume        = {259},
        year          = {2014}
      }
      
      
  • 2013:
    1. Computer simulation and optimization of stirrer hydrodynamics at high reynolds numbers. Ö. Uğur, K. Yapici, Y. Uludaǧ and B. Karasözen. Nova Publishers, 2013. BibTeX ]
      @book{Ugur2013,
        author        = {Uğur, {\"{O}}. and Yapici, K. and Uludaǧ, Y. and Karas{\"{o}}zen, B.},
        booktitle     = {Computational Fluid Dynamics: Theory, Analysis and Applications},
        isbn          = {9781612092768},
        pages         = {493--510},
        publisher     = {Nova Publishers},
        title         = {Computer simulation and optimization of stirrer hydrodynamics at high reynolds numbers},
        year          = {2013}
      }
      
      
  • 2011:
    1. Generalisation of the Lagrange multipliers for variational iterations applied to systems of differential equations. D. Altıntan and Ö. Uğur. Mathematical and Computer Modelling, 54(9-10):2040–2050, 2011. BibTeX | DOI ]
      @article{Altintan2011,
        author        = {Altıntan, D. and Uğur, {\"{O}}.},
        doi           = {10.1016/j.mcm.2011.05.013},
        issn          = {08957177},
        journal       = {Mathematical and Computer Modelling},
        keywords      = {Higher-order differential equations,Iterative solutions,Lagrange multipliers,Restricted variations,Systems of differential equations,Variational iteration method},
        number        = {9-10},
        pages         = {2040--2050},
        title         = {Generalisation of the Lagrange multipliers for variational iterations applied to systems of differential equations},
        volume        = {54},
        year          = {2011}
      }
      
      
  • 2009:
    1. An Introduction to Computational Finance. Ö. Uğur. Imperial College Press, Series in quantitative finance, 2009. BibTeX | URL ]
      @book{u2009introduction,
        title         = {An Introduction to Computational Finance},
        author        = {Uğur, Ömür},
        isbn          = {9781848161924},
        lccn          = {2009288372},
        series        = {Series in quantitative finance},
        url           = {http://www.worldscientific.com/worldscibooks/10.1142/p556},
        year          = {2009},
        publisher     = {Imperial College Press}
      }
      
      
    2. Variational iteration method for Sturm–Liouville differential equations. D. Altıntan and Ö. Uğur. Computers & Mathematics with Applications, 58(2):1–11, 2009. BibTeX | URL | DOI ]
      @article{Altintan2009,
        author        = {Altıntan, D. and Uğur, {\"{O}}.},
        doi           = {10.1016/j.camwa.2009.02.029},
        issn          = {08981221},
        journal       = {Computers {\&} Mathematics with Applications},
        keywords      = {boundary value problems,computing variations,ei-,genvalue problems,la-,sturm-liouville equations,variational iteration method},
        number        = {2},
        pages         = {1--11},
        title         = {Variational iteration method for Sturm–Liouville differential equations},
        url           = {http://www.sciencedirect.com/science/article/pii/S0898122109002326},
        volume        = {58},
        year          = {2009}
      }
      
      
    3. On optimization, dynamics and uncertainty: A tutorial for gene-environment networks. G.-W. Weber, Ö. Uğur, P. Taylan and A. Tezel. Discrete Applied Mathematics, 157(10):2494–2513, 2009. BibTeX | DOI ]
      @article{Weber2009,
        author        = {Weber, G.-W. and Uğur, {\"{O}}. and Taylan, P. and Tezel, A.},
        doi           = {10.1016/j.dam.2008.06.030},
        issn          = {0166218X},
        journal       = {Discrete Applied Mathematics},
        keywords      = {Chebychev approximation,Computational biology,Conic programming,Continuous,Discrete,Dynamical system,Errors,Generalized semi-infinite programming,Hybrid,Intervals,Matrix,Modeling,Splines,Structural stability,Uncertainty},
        number        = {10},
        pages         = {2494--2513},
        pmid          = {118},
        title         = {On optimization, dynamics and uncertainty: A tutorial for gene-environment networks},
        volume        = {157},
        year          = {2009}
      }
      
      
    4. An algorithmic approach to analyse genetic networks and biological energy production: An introduction and contribution where or meets biology. Ö. Uğur, S.W. Pickl, G.-W. Weber and R. Wunschiers. Optimization, 58(1), 2009. BibTeX | DOI ]
      @article{Ugur2009,
        author        = {Uğur, {\"{O}}. and Pickl, S.W. and Weber, G.-W. and Wunschiers, R.},
        doi           = {10.1080/02331930701761169},
        issn          = {02331934},
        journal       = {Optimization},
        number        = {1},
        title         = {An algorithmic approach to analyse genetic networks and biological energy production: An introduction and contribution where or meets biology},
        volume        = {58},
        year          = {2009}
      }
      
      
  • 2008:
    1. Derivative free optimization methods for optimizing stirrer configurations. Ö. Uğur, B. Karasözen, M. Schäfer and K. Yapici. European Journal of Operational Research, 191(3):855–863, 2008. BibTeX | DOI ]
      @article{Ugur2008,
        author        = {Uğur, {\"{O}}. and Karas{\"{o}}zen, B. and Sch{\"{a}}fer, M. and Yapici, K.},
        doi           = {10.1016/j.ejor.2007.01.058},
        issn          = {03772217},
        journal       = {European Journal of Operational Research},
        keywords      = {Computational fluid dynamics,Derivative-free optimization,Energy,Numerical optimization,Parallel computing},
        number        = {3},
        pages         = {855--863},
        title         = {Derivative free optimization methods for optimizing stirrer configurations},
        volume        = {191},
        year          = {2008}
      }
      
      
  • 2007:
    1. Mathematical and data mining contributions to dynamics and optimization of gene-environment networks. G.-W. Weber, P. Taylan, B. Akteke-Öztürk and Ö. Uğur. Electronic Journal of Theoretical Physics, 4(16 PART 2), 2007. BibTeX ]
      @article{Weber2007,
        author        = {Weber, G.-W. and Taylan, P. and Akteke-{\"{O}}zt{\"{u}}rk, B. and Uğur, {\"{O}}.},
        isbn          = {9781616680374},
        journal       = {Electronic Journal of Theoretical Physics},
        number        = {16 PART 2},
        title         = {Mathematical and data mining contributions to dynamics and optimization of gene-environment networks},
        volume        = {4},
        year          = {2007}
      }
      
      
    2. Optimization and dynamics of gene-environment networks with intervals. Ö. Uğur and G.-W. Weber. Journal of Industrial and Management Optimization, 3(2), 2007. BibTeX ]
      @article{Ugur2007,
        author        = {Uğur, {\"{O}}. and Weber, G.-W.},
        journal       = {Journal of Industrial and Management Optimization},
        number        = {2},
        title         = {Optimization and dynamics of gene-environment networks with intervals},
        volume        = {3},
        year          = {2007}
      }
      
      
  • 2006:
    1. The Sturm-Liouville operator on the space of functions with discontinuity conditions. Ö. Uğur and M.U. Akhmet. Computers and Mathematics with Applications, 51(6-7), 2006. BibTeX | DOI ]
      @article{Ugur2006,
        author        = {Uğur, {\"{O}}. and Akhmet, M.U.},
        doi           = {10.1016/j.camwa.2005.11.034},
        journal       = {Computers and Mathematics with Applications},
        number        = {6-7},
        title         = {The Sturm-Liouville operator on the space of functions with discontinuity conditions},
        volume        = {51},
        year          = {2006}
      }
      
      
    2. Boundary value problems for higher order linear impulsive differential equations. Ö. Uğur and M.U. Akhmet. Journal of Mathematical Analysis and Applications, 319(1):139–156, 2006. BibTeX | DOI ]
      @article{Ugur2006a,
        author        = {Uğur, {\"{O}}. and Akhmet, M.U.},
        doi           = {10.1016/j.jmaa.2005.12.077},
        issn          = {0022247X},
        journal       = {Journal of Mathematical Analysis and Applications},
        keywords      = {boundary value problems,eigenvalue problems,green,impulsive differential equations,s function},
        number        = {1},
        pages         = {139--156},
        title         = {Boundary value problems for higher order linear impulsive differential equations},
        volume        = {319},
        year          = {2006}
      }
      
      
  • 2005:
    1. Numerical method for optimizing stirrer configurations. M. Schäfer, B. Karasözen, Y. Uludaǧ, K. Yapici and Ö. Uğur. Computers and Chemical Engineering, 30(2):183–190, 2005. BibTeX | DOI ]
      @article{Schafer2005,
        author        = {Sch{\"{a}}fer, M. and Karas{\"{o}}zen, B. and Uludaǧ, Y. and Yapici, K. and Uğur, {\"{O}}.},
        doi           = {10.1016/j.compchemeng.2005.08.016},
        issn          = {00981354},
        journal       = {Computers and Chemical Engineering},
        keywords      = {Computational fluid dynamics,Derivative-free optimisation,Numerical optimisation,Parallel computing,Stirrer},
        number        = {2},
        pages         = {183--190},
        title         = {Numerical method for optimizing stirrer configurations},
        volume        = {30},
        year          = {2005}
      }
      
      
  • 2002:
    1. An eigenfunction expansion for the Schrödinger equation with arbitrary non-central potentials. H. Taşeli, İ.M. Erhan and Ö. Uğur. Journal of Mathematical Chemistry, 32(4):323–338, 2002. BibTeX | DOI ]
      @article{Taseli2002,
        author        = {Taşeli, H. and Erhan, İnci M. and Uğur, {\"{O}}.},
        doi           = {10.1023/A:1022949421571},
        issn          = {02599791},
        journal       = {Journal of Mathematical Chemistry},
        keywords      = {Eigenfunction expansion,Eigenvalue problems,Two-dimensional Schr??dinger equation},
        number        = {4},
        pages         = {323--338},
        title         = {An eigenfunction expansion for the Schr{\"{o}}dinger equation with arbitrary non-central potentials},
        volume        = {32},
        year          = {2002}
      }
      
      
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