Publié
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
