photo_cv
Département
Département
Département Finance
Formation
PhD, Industrial Engineering
Bogazici University, Istanbul
(2008)
Master of Science, Industrial Engineering
Bogazici University, Istanbul
(2003)
Expériences professionnelles
Visiting Assistant Professor of Finance
Hong Kong University of Science and Technology (HKUST), Hong Kong
2019 - 2021
Assistant Professor of Finance
Xi'an Jiaotong-Liverpool University, Suzhou
2014 - 2019
Asssistant professor in Industrial and Systems Engineering Department
Yeditepe University , Istanbul
2010 - 2014
Postdoctoral Researcher in the Institute for Statistics and Mathematics
Wirtschaftsuniversität Wien (WU Vienna), Vienna
2008 - 2010
Publications
Publié
SAK H., HUANG T., CHNG M. T., (2024). Exploring the factor zoo with a machine-learning portfolio.
International Review of Financial Analysis, 96 (Part A), 103599
BASOGLU I., HOERMANN W., SAK H., (2018). Efficient Simulations for a Bernoulli Mixture Model of Portfolio Credit Risk.
Annals of Operations Research, 260 (1-2), 113-128
WU Q., SAK H., SESHADRI S., HAKSOZ C., (2018). Optimization Under Supplier Portfolio Risk Considering Breach of Contract and Market Risks.
Risk and Decision Analysis, 7 (3-4), 77-89
SAK H., BASOGLU I., (2017). Efficient Randomized Quasi-Monte Carlo Methods for Portfolio Market Risk.
Insurance: Mathematics and Economics, 76, 87-94
DINGEC K. D., SAK H., HOERMANN W., (2015). Variance Reduction for Asian Options under a General Model Framework.
Review of Finance, 19 (2), 907-949
BASOGLU I., HOERMANN W., SAK H., (2013). Optimally Stratified Importance Sampling for Portfolio Risk with Multiple Loss Thresholds.
Optimization, 62 (11), 1451-1471
SAK H., HOERMANN W., (2012). Fast Simulations in Credit Risk.
Quantitative Finance, 12 (10), 1557-1569
SAK H., HAKSOZ C., (2011). A Copula-Based Simulation Model for Supply Portfolio Risk.
Journal of Operational Risk, 6 (3), 15-38
HOERMANN W., SAK H., (2010). t-Copula Generation for Control Variates.
Mathematics and Computers in Simulation, 81, 782-790
SAK H., HOERMANN W., LEYDOLD J., (2010). Efficient Risk simulations for Linear Asset Portfolios in the t-Copula Model.
European Journal of Operational Research, 202, 802-809
SAK H., HOERMANN W., LEYDOLD J., (2010). Better Confidence Intervals for Importance Sampling.
International Journal of Theoretical and Applied Finance, 13, 1279-1291
SAK H., OZEKICI S., BODUROGLU I., (2007). Parallel computing in Asian option pricing.
Parallel Computing, 33, 92-108
DERFLINGER, G., HOERMANN, W., LEYDOLD, J., SAK, H. (2009). Efficient Numerical Inversion for Financial Simulations. dans P. L' Ecuyer & A.B. Owen (Ed.), Monte Carlo and Quasi-Monte Carlo methods 2008. Springer.