University of Calgary
Deniz Sezer
- Associate Professor
- Applied Mathematics
- Mathematics
- Statistics and Actuarial Science
Research Interests
Applied Probability and Applied Statistics:
Mathematical Finance:
Currently Teaching
| F2021 - MATH 581 - Stochastic Calculus for Finance | ||||||||||
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| F2021 - MATH 681 - Stochastic Calculus for Finance | ||||||||||
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| F2021 - STAT 217 - Introduction to Statistics II | ||||||||||
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| W2022 - STAT 217 - Introduction to Statistics II | ||||||||||
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Preprints
Dong, J., Korobenko, L. and Sezer, D. A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets (Revised and resubmitted to Quantitative Finance)
Graduate student recruitment
I am accepting applications for both Ph.D and Masters in all of the above areas. Candidates with a strong background in probability and statistics will be given priority.
I am also offering a fellowship for Ph.D in spatio temporal processes and applications to modeling of wind and and solar energy. For more information please follow the link:
Fellowship in spatio-temporal processes and applications to wind and solar energy
Publications
Journal Articles - Peer Reviewed
- Sezer, Deniz, Le, Khoa and Kouritzin, Michael. "Laws of large numbers for super-critical branching Gaussian processes". Stochastic Processes and Applications (to appear), Print.
- Sezer, Deniz and Salisbury, Tom. "The moment densities of super Brownian motion and an Harnack estimate for a class of X-harmonic functions". Potential Analysis 41.4 (2014): 1347-1358. Print.
- Sezer, Deniz and Salisbury, Tom. "Conditioning super-Brownian motion on its boundary statistics, and fragmentation". Annals of Probability 41.5 (2013): 3617-3657. Print.
- Sezer, Deniz and Madras, Neal. "Quantitative bounds for Markov Chain Convergence: Wasserstein and Total Variation distances". Bernoulli 16.3 (2010): 882-908. Print.
- Sezer, Deniz. "Filtration Shrinkage by level-crossings of diffusion". Annals of Probability 35.2 (2007): 739-757. Print.
- Sezer, Deniz, Jarrow, Robert and Protter, Philip. "Information Reduction by level-crossings in a credit risk model". Finance and Stochastics 11.2 (2007). Print.
Curriculum Vitae
Degrees
- Ph.D. - Operations Research
Cornell University, 2005 - BSE High Honour - Industrial Engineering
Middle East Technical University, 2000 - BS High Honour - Mathematics
Middle East Technical University, 2000
Awards
- 2010 - Discovery Grant - NSERC
Students
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