Kadın ve Matematik: Finansal Matematik  

Konuşmalar Atılım Üniversitesi Lamia Ergenekon (Kırmızı) Salonu'nda yapılacaktır. Etkinlik sabah 09:45'de başlayacaktır. Etkinlik programını burada bulabilirsiniz. 

Konuşma özetleri:

  A. Sevtap Kestel Konuşma Özeti:

 "A Bridge Between Financial Mathematics and Actuarial Sciences: Reinsurance under jump influence"
The pricing in the stop-loss contracts is an important consideration of insurer and reinsurer. Based on historical loss amounts a stochastic model with the time-varying parameters to capture the time-dependent structure is developed. The analytical derivations of costs associated with reinsurance contract for reinsurer and insurer with constraints on time, loss amount, retention, and both retention and cap levels are made by including the extreme event influences which cause jumps in the course of the claim payments. Along with these, the analytical forms of exposure curves are derived for determining the premium share between reinsurer and insurer under prescribed constraints. An illustrative case study is given at which the calibration of time-varying parameters is made using dynamic maximum likelihood estimator The findings depict that implementation of a stochastic model with jump parameters improves the prediction power and ascertains a fair risk share between insurer and reinsurer. (Joint work with Dr. M. Özenç Mert)

  İnci Kılıçkaya Konuşma Özeti:

 "Bir finansçının gözünden finansal matematik ve finans piyasalarındaki karşılığı"
Merhaba sevgili katılımcılar, bugünkü konuşmamda sizlere 25 yıla yayılan işletme-finans-muhasebe-hukuk alanlarını kesiştiren iş deneyimimin süzgeciyle finansal matematik alanına bakışımı anlatacağım. Kadın bir finansçı-regülator-denetçinin finansal matematiği nasıl seçtiğini, akademide nasıl yol aldığını, nasıl karşılandığını ve akademide edindiğimiz bilgilerin piyasadaki karşılıklarını sizlerle paylaşmak beni çok mutlu edecek. Bu sohbetimizde mutlaka değinmek istediğim konular şunlar:
- Sermaye piyasalarında finansal matematiğin karşılık bulduğu alanlar neler-teoride ve pratikte iş nasıl yürüyor? Neler geliştirilebilir?
- Kadın regülator olmak nasıl bir şey? Özel sektörde kadınların iş hayatı nasıl işliyor, özellikle teknik alanlarda kendini yetiştiren kadın finansçıların deneyimleri nasıl?
- Finansal matematik alanlarında kendini geliştiren kişiler finans piyasalarında iş bulabilir mi? Genç arkadaşlara fikir verecek öneriler.

 Sinem Kozpınar Konuşma Özeti:

 "Pricing Energy Quanto Options in The Framework of Markov-Modulated Additive Processes"
Energy quanto options are risk management tools that have a payoff similar to the product of the payoffs of two options, each written on an energy-related underlying. These options, as opposed to standardized contracts that only account for price risk, are designed to manage both volumetric and price risk in energy markets. Since the use of such options enables actors in the energy market also to hedge against production volume risk, they are becoming very popular. Our focus is on the valuation of such an option on futures when the underlying futures prices are governed by Markov-modulated additive processes, which have independent but non-stationary increments within each regime. We derive a valuation formula by using the Fast Fourier Transform (FFT) technique under the assumption that the joint characteristic function of the log-futures prices is known analytically. We study this approximation under different regime-switching models. Numerical case studies illustrate that our FFT-based valuation has a high precision.

 Büşra Temoçin Konuşma Özeti:

 "Improvement of the Retirement System in Turkey, Minimization of Budget Deficit, and Designing Unique Retirement Plans"
Pension systems constitute a cornerstone of modern economies, particularly when administered as public social security schemes. Traditional pension designs—defined-benefit (DB) and defined-contribution (DC) plans—allocate financial risks asymmetrically between governments and individuals, often leading to sustainability challenges when demographic and economic conditions deteriorate. In Turkey, the growing budget deficit of the Social Security Institution (SGK) highlights the urgency of revisiting existing pension structures. This study proposes an innovative hybrid pension plan that integrate the security of DB schemes with the profitability of DC schemes while enabling explicit risk sharing between the government and plan members. The model adopts an individual-based hybrid structure, whose dynamics are derived using machine learning techniques and analyzed analytically to assess its impact on public deficits. The proposed framework aim to alleviate fiscal pressure on public finances, enhance intergenerational fairness, and improve retirement outcomes. Overall, the study contributes to the pension literature by combining financial modeling, financial engineering, and risk-sharing principles to design sustainable and efficient social security systems.