INSTITUTE OF APPLIED MATHEMATICS
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Affiliation: Middle East Technical University
Office: S207
Phone: +90 (312) 210-5609
E-Mail: ybilgi\( @ \)metu.edu.tr
Website: https://blog.metu.edu.tr/ybilgi/
Research Interests: Financial Mathematics; Stochastic Processes; Real Estate Market & Finance; Mortgage; Investment

ResearcherID OrcidID GoogleScholarID ResearchGateID ScopusAuthorID

  • 2018:
    1. Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus. B. Yilmaz. Modern Stochastics: Theory and Applications, 5(2):145-165, 2018. BibTeX | DOI ]
      @article{yilmaz_2018,
        author        = {Bilgi Yilmaz},
        title         = {Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus},
        journal       = {Modern Stochastics: Theory and Applications},
        volume        = {5},
        number        = {2},
        year          = {2018},
        pages         = {145-165},
        doi           = {10.15559/18-VMSTA100},
        issn          = {2351-6046},
        publisher     = {VTeX: Solutions for Science Publishing}
      }
      
      
    2. Computation of the Delta of European options under stochastic volatility models. Y. Yolcu-Okur, T. Sayer, B. Yilmaz and A.B. Inkaya. Computational Management Science, 15(2):213–237, 2018. BibTeX | DOI ]
      @article{Yolcu-Okur2018,
        author        = {Yolcu-Okur, Yeliz and Sayer, Tilman and Yilmaz, Bilgi and Inkaya, B. Alper},
        title         = {Computation of the Delta of European options under stochastic volatility models},
        journal       = {Computational Management Science},
        year          = {2018},
        month         = {Jun},
        day           = {01},
        volume        = {15},
        number        = {2},
        pages         = {213--237},
        issn          = {1619-6988},
        doi           = {10.1007/s10287-018-0316-y}
      }
      
      
  • 2017:
    1. Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey. Y. Co?kun, S.A. Selcuk-Kestel and B. Yilmaz. Borsa Istanbul Review, 17(4):199 - 215, 2017. BibTeX | DOI ]
      @article{COSKUN2017199,
        title         = {Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey},
        journal       = {Borsa Istanbul Review},
        volume        = {17},
        number        = {4},
        pages         = {199 - 215},
        year          = {2017},
        issn          = {2214-8450},
        doi           = {https://doi.org/10.1016/j.bir.2017.08.003},
        author        = {Yener Co?kun and A. Sevtap Selcuk-Kestel and Bilgi Yilmaz},
        keywords      = {REIT, CAPM, Fama-French model, Turkish REITs, Borsa Istanbul}
      }
      
      
  • 2014:
    1. Computation of Greeks in Black-Sholes-Merton and Stochastic Volatility Models Using Malliavin Calculus. B. Yılmaz. Master's thesis, Middle East Technical University, 2014. BibTeX ]
      @mastersthesis{Yilmaz2014,
        author        = {Bilgi Yılmaz},
        title         = {Computation of Greeks in Black-Sholes-Merton and Stochastic Volatility Models Using Malliavin Calculus},
        school        = {Middle East Technical University},
        year          = {2014},
        address       = {Financial Mathematics, Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey}
      }
      
      
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