Semih
Onur Sezer
Faculty
of Engineering and
Natural Sciences
Sabancı University
Contact Information:
| Mail |
Sabancı University.
Orhanlı, Tuzla
34956 Istanbul - TURKEY
|
| Office |
L024 |
| Phone |
+90 - 216 - 483 - 9586 |
| E-mail |
sezer@sabanciuniv.edu |
Education:
Ph.D.(2006)
& M.A.(2005), Princeton
University.
B.Sc.(2002), Bogazici
University, Turkey.
Research Interests:
- Applied
probability, statistics, stochastic processes
- Martingales,
Markov processes, Levy processes, random measures
- Optimal stopping,
stochastic optimal control with applications in finance and
engineering
- Bayesian
sequential analysis; sequential change detection, hypothesis testing
- Valuation and
hedging of contingent claims, real options
Publications:
- M. Ludkovski and S. O. Sezer. Finite horizon decision timing with partially observable Poisson processes. Stochastic Models, to appear.
- S. O. Sezer. On the Wiener disorder problem. Annals of Applied Probability, 20:4, 1537-1566.
- S. Dayanik, H. V. Poor, and S. O. Sezer. Multisource
Bayesian sequential change detection. Annals
of Applied Probability, 18:2,
552-590.
- S. Dayanik, H. V. Poor, and S. O. Sezer.
Sequential multi-hypothesis testing for compound Poisson processes. Stochastics, 80:1,
19-50.
- E. Bayraktar and S. O. Sezer.
Online change detection for a Poisson process with a phase-type change-time
distribution. Sequential Analysis, 28:2,
218-250.
- S. Dayanik and S. O. Sezer. Sequential
testing of simple hypotheses about compound Poisson processes.
Stochastic Processes and their Applications. 116:12,
1892-1919.
- S. Dayanik and S. O. Sezer. Compound
Poisson disorder problem. Mathematics of Operations
Research. 31:4, 649-672. (First
Place in the INFORMS 2005 JFIG
Paper Competition).
Conference Proceedings:
- S.Dayanik and S.O.Sezer (2009). Multisource Bayesian sequential
hypothesis testing, Proceedings of the Second International Workshop
in Sequential Methodologies.
- Dayanik, S., H. V. Poor, S. O. Sezer (2008). Bayesian sequential
change detection for Levy processes, Proceedings of the 2008
International Workshop on Applied Probability.
Ph.D. Thesis:
Bayesian sequential
change-point detection and hypothesis testing problems for compound
Poisson and Wiener processes, Princeton University, 2006.
Teaching
Experience:
Sabancı University
- MS 480 Special Topics: Stochastic
Models in Financial Eng.
- MS 412 Financial
Engineering
- MATH 203 Introduction to Probability
University of
Michigan
- MATH 525 Probability Theory
- MATH / IOE 506 Stochastic Analysis
for Finance II
- MATH 424 Compound Interest and Life
Insurance
- MATH 115 Calculus I