Papers:

1. Bayraktar, Erhan, Asaf Cohen, and April Nellis. 2021. "A Macroeconomic SIR Model for COVID-19" Mathematics 9, no. 16: 1901. https://doi.org/10.3390/math9161901

2. Cartee, Elliot, Antonio Farah, April Nellis, Jacob Van Hook, and Alexander Vladimirsky. 2023. Quantifying and managing uncertainty in piecewise-deterministic Markov processes. SIAM/ASA Journal on Uncertainty Quantification, 11(3), 814–847. https://epubs.siam.org/doi/full/10.1137/20M1357275

3. Bayraktar, Erhan, Asaf Cohen and April Nellis. 2023. "A neural network approach to high-dimensional optimal switching problems with jumps in energy markets" SIAM Journal on Financial Mathematics, 14(4), 1028–1061. https://epubs.siam.org/doi/full/10.1137/22M1527246

Preprints:

1. Coming soon!

Presentations:

• Quantifying and Managing the Uncertainty in Piecewise-Deterministic Processes

  • January 18, 2019 - Joint Mathematics Meetings, Undergraduate Student Poster Session

•  Deep backward schemes for high-dimensional nonlinear PDEs

  • September 21, 2020 - University of Michigan Student Financial Math Seminar

• A Macroeconomic SIR Model for COVID-19

  • June 1, 2021 - SIAM Conference on Financial Mathematics and Engineering, Stochastic Modeling and Financial Impacts of the Coronavirus Pandemic Mini-Session

  • July 12, 2022 - SIAM Annual Meeting, Workshop Celebrating Diversity - Point Processes, Techniques, and Probabilistic Methods to Model Different COVID-19 Aspects

• A Neural Network Approach to Optimal Switching

  • October 17, 2022 - INFORMS Annual Meeting, Technical Session - Deep Learning Methods in Energy Systems Research

  • November 4, 2022 - University of Michigan Student MCAIM Seminar

  • November 11, 2022 - University of Michigan Financial Math Seminar

  • October 20, 2023 - 7th Eastern Conference on Mathematical Finance