Person

Dr.

Burcu Aydogan

Ph.D.
Lehrstuhl für Mathematics for Uncertainty Quantification

Address

Room: 161

Pontdriesch 14-16

52062 Aachen

 

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I graduated from the Department of Mathematics, Atilim University in Turkey in 2013 as a first student of the department. I obtained my Master degree in Mathematics in Atilim University with the thesis named as “Computational Methods for Pricing American Options”. I carried out my PhD studies in Financial Mathematics in Middle East Technical University during the years of 2015-2021 under the supervision of Prof. Dr. Omur Ugur and Prof. Dr. Umit Aksoy. I successfully defended my PhD thesis named as “Optimal Market Making Models in High-Frequency Trading” in April, 2021. Now, I am working as a Postdoctoral Researcher at the Chair of Mathematics for Uncertainty Quantification.

 

Research Focus

My main research area lies in the Stochastic Optimal Control theory with the applications on optimal trading and investment strategies. I mostly focus on optimal market making models in a limit order book for high-frequency trading. I also work on mean-variance portfolio optimization via mean-field games approach with some uncertainty cases.

 

Research Areas

  • Quantitative Finance
  • Stochastic Control
  • High-Frequency Trading
  • Mean-Field Games
  • Option Pricing
  • Uncertainty Quantification
 

Publications, Projects and Conference Proceedings

Publications:

Projects:

  • A Real-Time Working Prototype for Algorithmic Trading and its Tools for Finance, Scientific Research Projects, METU, (2018-1019).

Conference Proceedings:

  • B. Aydogan, O. Ugur and U. Aksoy, An Optimal Market Making Model where the Price Dynamics Follows a Mean-reverting Process with Stochastic Volatility, EURO 2021, 31st European Conference on Operational Research, (July, 2021).

  • B. Aydogan, O. Ugur and U. Aksoy, Optimal Market Making Models with Stochastic Volatility for High-Frequency Trading, EPCO 2021, Portuguese Meeting on Optimal Control, (June, 2021).

  • B. Aydogan, U. Aksoy and O. Ugur, Methods for Pricing American Options: Case study for comparison, 55th Meeting of the EWGCFM, METU IAM, Ankara / TURKEY, (May, 2015).

Google Scholar: Dr. Burcu Aydogan