Emel Savku is a Postdoctoral Fellow at the Department of Mathematics of the University of Oslo; recently, she was a Post-Doc at École Polytechnique, working on:
- Stochastic Optimal Control
- Market Making
She has a Ph.D in Financial Mathematics from Middle East Technical University and a Master in Mathematics at Ankara University, and served as a lecturer at Bilkent University and at Türk Eğitim Derneği University (TEDU). She was the recipient of a French Embassy Young Visiting Researcher Fellowship in 2018 and has presented results in Stochastic Optimal Control at several conferences.
Publications:
- (Book Chapter) E. Savku and G.-W. Weber, A Regime-Switching Model with Applications to Finance: Markov and Non-Markov Cases. Accepted: Dynamic Economic Problems with Regime Switches, 2019.
- Assessing MiFID 2 Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint with Mathieu Rosenbaum and Sophie Laruelle
- Stochastic Differential Games for Optimal Investment Problems in a Markov Regime-Switching Jump-Diffusion Market, with Gerhard-Wilhelm Weber, Ann Oper Res (2020). DOI: 10.1007/s10479-020-03768-5
- A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance, with Gerhard-Wilhelm Weber, Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 696-721, DOI: 10.1007/s10957-017-1159-3, (2018).
- (Book Chapter) E. Savku, N. Azevedo and G.-W. Weber, 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, DOI:10.1007/978-3-319-55236-1_18 (2017)
- Savku E. and Weber, G.W., Memory and Anticipation: Two main theorems for Markov regime-switching stochastic processes, 2020, Submitted.