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Article Citation - WoS: 2Citation - Scopus: 2Optimal Limit Order Book Trading Strategies With Stochastic Volatility in the Underlying Asset(Springer, 2023) Aydogan, Burcu; Ugur, Omur; Aksoy, UmitIn quantitative finance, there have been numerous new aspects and developments related with the stochastic control and optimization problems which handle the controlled variables of performing the behavior of a dynamical system to achieve certain objectives. In this paper, we address the optimal trading strategies via price impact models using Heston stochastic volatility framework including jump processes either in price or in volatility of the price dynamics with the aim of maximizing expected return of the trader by controlling the inventories. Two types of utility functions are considered: quadratic and exponential. In both cases, the remaining inventories of the market maker are charged with a liquidation cost. In order to achieve the optimal quotes, we control the inventory risk and follow the influence of each parameter in the model to the best bid and ask prices. We show that the risk metrics including profit and loss distribution (PnL), standard deviation and Sharpe ratio play important roles for the trader to make decisions on the strategies. We apply finite differences and linear interpolation as well as extrapolation techniques to obtain a solution of the nonlinear Hamilton-Jacobi-Bellman (HJB) equation. Moreover, we consider different cases on the modeling to carry out the numerical simulations.Article Citation - WoS: 51Citation - Scopus: 58F-Contraction Mappings on Metric-Like Spaces in Connection With Integral Equations on Time Scales(Springer-verlag Italia Srl, 2020) Agarwal, Ravi P.; Aksoy, Umit; Karapinar, Erdal; Erhan, Inci M.In this paper we investigate the existence and uniqueness of fixed points of certain (phi,F)-type contractions in the frame of metric-like spaces. As an application of the theorem we consider the existence and uniqueness of solutions of nonlinear Fredholm integral equations of the second kind on time scales. We also present a particular example which demonstrates our theoretical results.Article Citation - WoS: 1Citation - Scopus: 4Fixed Point Theorems for Mappings With a Contractive Iterate at a Point in Modular Metric Spaces(House Book Science-casa Cartii Stiinta, 2022) Karapinar, Erdal; Aksoy, Umit; Fulga, Andreea; Erhan, Inci M.In this manuscript, we introduce two new types of contraction, namely, w-contraction and strong Sehgal w-contraction, in the framework of modular metric spaces. We indicate that under certain assumptions, such mappings possess a unique fixed point. For the sake of completeness, we consider examples and an application to matrix equations.Article Citation - WoS: 141Citation - Scopus: 144Uniqueness of Solution for Higher-Order Nonlinear Fractional Differential Equations With Multi-Point and Integral Boundary Conditions(Springer-verlag Italia Srl, 2021) Sevinik-Adiguzel, Rezan; Aksoy, Umit; Karapinar, Erdal; Erhan, Inci M.This study is devoted to the development of alternative conditions for existence and uniqueness of nonlinear fractional differential equations of higher-order with integral and multi-point boundary conditions. It uses a novel approach of employing a fixed point theorem based on contractive iterates of the integral operator for the corresponding fixed point problem. We start with developing an existence-uniqueness theorem for self-mappings with contractive iterate in a b-metric-like space. Then, we obtain the unique solvability of the problem under suitable conditions by utilizing an appropriate b-metric-like space.Article On a Boundary Value Problem for a Class of Second-Order Complex Partial Differential Equations(Univ Simon Bolivar, 2023) Aksoy, Umit; Celebi, Ahmet OkayIn this article, a boundary value problem for a second-order complex partial differential equation whose main part is the Laplacian, is introduced and its solvability is discussed by reduction of the problem into the Schwarz problem for a first-order equation. The condition for solvability is presented and an estimate for the unique solution is provided.Article Citation - WoS: 11Citation - Scopus: 14Schwarz Problem for Higher-Order Complex Partial Differential Equations in the Upper Half Plane(Wiley-v C H verlag Gmbh, 2019) Aksoy, Umit; Begehr, Heinrich; Celebi, A. OkayLinear and nonlinear elliptic complex partial differential equations of higher-order are considered under Schwarz conditions in the upper-half plane, Firstly, using the integral representations for the solutions of the inhomogeneous polyanalytic equation with Schvvarz conditions, a class of integral operators is introduced together with some of their properties. Then, these operators are used to transform the problem for linear equations into singular integral equations. In the case of nonlinear equations such a transformation yields a system of integro-differential equations. Existence of the solutions of the relevant boundary value problems for linear and nonlinear equations are discussed via Fredholm theory and fixed point theorems, respectively.Article Polynomial Logistic Distribution Associated With a Cubic Polynomial(Taylor & Francis inc, 2017) Aksoy, Umit; Ostrovska, Sofiya; Ozban, Ahmet YasarLet P(x) be a polynomial monotone increasing on ( - , +). The probability distribution possessing the distribution function is called the polynomial logistic distribution with associated polynomial P. This has recently been introduced by Koutras etal., who have also demonstrated its importance for modeling financial data. In this article, the properties of the polynomial logistic distribution with an associated polynomial of degree 3 have been investigated in detail. An example of polynomial logistic distribution describing daily exchange rate fluctuations for the US dollar versus the Turkish lira is provided.Article Citation - WoS: 8Citation - Scopus: 9Av Bitsadze's Observation on Bianalytic Functions and the Schwarz Problem Revisited(Taylor & Francis Ltd, 2021) Aksoy, Umit; Begehr, Heinrich; Celebi, A. OkayThe extension of the Schwarz representation formula to simply connected domains with harmonic Green function and its polyanalytic generalization is not valid in general. They do hold only for certain domains.Article Citation - WoS: 16Citation - Scopus: 18Weak Ψ-Contractions on Partially Ordered Metric Spaces and Applications To Boundary Value Problems(Springeropen, 2014) Karapinar, Erdal; Erhan, Inci M.; Aksoy, UmitA class of weak psi-contractions satisfying the C-condition is defined on metric spaces. The existence and uniqueness of fixed points of such maps are discussed both on metric spaces and on partially ordered metric spaces. The results are applied to a first order periodic boundary value problem.Article Citation - WoS: 2Citation - Scopus: 2A Normal Distribution on Time Scales With Application(Univ Nis, Fac Sci Math, 2022) Aksoy, Umit; Cuchta, Tom; Georgiev, Svetlin; Okur, Yeliz YolcuWe introduce a new normal distribution on time scales. Based on this generalized normal distribution, a Brownian motion is introduced and its quadratic variation is derived.
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