Postdoctoral Fellow - Risk and Stochastics (SECTION 3)
Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postal address Postboks 1053 Blindern 0316 Oslo
Other affiliations The International Summer School (Student)
Teaching Autumn 2021
STK-MAT3710/4710 Probability Theory
Stochastic Optimal Control, Reinforcement Learning, Delay Equations, Anticipated BSDEs, Game Theory, Finance
- 04/03/2019 - 31/08/2020 Ecole Polytechnique, CMAP, Post-Doctorate, France
- 04/06/2018 - 03/08/2018 Ecole Polytechnique, CMAP, French Embassy Young Visiting Researcher Fellowship, France
- 29/01/2018 - 14/05/2018 Bilkent University, Ankara, Turkey, Part-time
- 18/10/2017- 29/12/2017 TEDU, Ankara, Turkey, Part-time
Research and Teaching Assistant
- 2011 - 2017 Middle East Technical University (METU), Ankara, Turkey, Full-time
- Savku E., A stochastic control approach for constrained stochastic differential games with jumps and regimes. Submitted.
- Savku E. and Weber, GW, Memory and Anticipation: Two main theorems for Markov regime-switching stochastic processes. Submitted.
- Laurelle S., Rosenbaum M. and Savku E., Assessing MiFID 2 Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint , Market Microstructure and Liquidity, Vol. 1, 2050003 (27 pages) @ World Scientific Publishing Company (2020).
DOI: 10.1142 / S2382626620500033
- Savku E. and Weber G.-W., Stochastic Differential Games for Optimal Investment Problems in a Markov Regime-Switching Jump-Diffusion Market , Ann Oper Res (2020). DOI: 10.1007 / s10479-020-03768-5
- Savku E. and Weber G.-W., A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance , Journal of Optimization Theory and Applications, Springer, vol. 179 (2), pages 696-721, (2018). DOI: 10.1007 / s10957-017-1159-3
- Savku E., Fundamentals of Market Making via Stochastic Optimal Control, Accepted, Operations Research - New Paradigms and Emerging Applications, CRC Taylor and Francis (2021).
- Savku E. and Weber G.-W., A Regime-Switching Model with Applications to Finance: Markov and Non-Markov Cases. Dynamic Economic Problems with Regime Switches, 13, Springer Nature Switzerland AG, (2020). DOI: 10.1007 / 978-3-030-54576-5_13
- Savku E., Azevedo N. and Weber G.-W., Optimal Control of Stochastic Hybrid Models in the Framework of Regime Switches. International Conference on Dynamics, Games and Science, DGS 2014: Modeling, Dynamics, Optimization and Bioeconomics II, Springer Proceedings in Mathematics and Statistics Series Volume 195, pp 371-387, (2017). DOI: 10.1007 / 978-3-319-55236-1_18
Savku, Emel (2022). An Application of Stochastic Differential Games with Lagrange Multipliers: Bancassurance.
Savku, Emel (2022). A Constrained Nonzero-Sum Stochastic Differential Game Application.
Savku, Emel (2022). An Application of Stochastic Differential Games with Lagrange Multipliers:Bancassurance.
Savku, Emel (2022). A constrained stochastic differential game application: Bancassurance.
Savku, Emel (2021). An Application of Stochastic Maximum Principle with Regimes and Memory.
Savku, Emel (2021). Stochastic Optimal Control Techniques for a Regime-Switching Model with Applications in Finance.
Savku, Emel (2021). A Nonzero-sum Game Formulation for a Markov Regime-Switching Portfolio Strategy.
Savku, Emel (2021). Stochastic Maximum Principle with Regimes and Memory.
Savku, Emel (2021). Stochastic Differential Games via Dynamic Programming Principle with Regimes.
Savku, Emel (2021). Portfolio Strategies via Stochastic Differential Games with Regimes.
Savku, Emel (2021). Stochastic Differential Games within the framework of Regime-Switches.
Published Sep. 9, 2020 10:46 AM - Last modified June 7, 2022 1:41 PM