Valuation and
hedging of contingent claims, real options
Publications:
J. B. G. Frenk, B. Pourghannad, and S. O.
Sezer. A static model in single leg flight airline revenue
management. Transportation Science, to appear.
S. Dayanik and S. O. Sezer.
Sequential sensor installation for Wiener disorder detection. Mathematics
of Operations
Research, to appear.
A. M. Arslan, J. B. G. Frenk, and S. O.
Sezer. On the single-leg airline revenue management problem in
continuous time. Mathematical Methods
of Operations Research, 81:1, 27-52.
S. Dayanik and S. O.
Sezer. Multisource Bayesian sequential
binary hypothesis testing problem. Annals
of Operations Research, 201:1,
99-130.
M. Ludkovski and S. O.
Sezer. Finite horizon decision timing with
partially observable Poisson processes. Stochastic Models, 28:2, 207-247.
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 Lévy processes, Proceedings
of the 2008
International Workshop on Applied Probability.
Courses Offered at Sabancı University:
IE 605 Advanced
Topics in Stochastic Processes
IE 581 Special Topics in Industrial Eng.: Probability
and Stochastics