Items where Author is "Cetin, Umut"

Number of items: 23.
  • Diffusion transformations, Black-Scholes equation and optimal stopping. Cetin, Umut picture_as_pdf
  • Dynamic Markov bridges motivated by models of insider trading. Campi, Luciano; Cetin, Umut; Danilova, Albina
  • Equilibrium model with default and dynamic insider information. Campi, Luciano; Cetin, Umut; Danilova, Albina
  • Explicit construction of a dynamic Bessel bridge of dimension 3. Campi, Luciano; Cetin, Umut; Danilova, Albina
  • Filtered Azéma martingales. Cetin, Umut
  • Hedging under incomplete information: applications to emmissions markets. Cetin, Umut; Verschuere, Michel
  • Is Kyle’s equilibrium model stable? Cetin, Umut; Larsen, Kasper picture_as_pdf
  • Linear inverse problems for Markov processes and their regularisation. Cetin, Umut picture_as_pdf
  • Liquidity risk and arbitrage pricing theory. Cetin, Umut; Jarrow, R.; Protter, P.
  • Liquidity risk and arbitrage pricing theory. Cetin, Umut; Jarrow, Robert A.; Protter, Philip
  • Minimal subharmonic functions and related integral representations. Cetin, Umut picture_as_pdf
  • Modeling credit risk with partial information. Cetin, Umut; Jarrow, R.; Protter, P.; Yildirim, Y.
  • Modeling liquidity effects in discrete time. Cetin, Umut; Rogers, L.C.G.
  • On absolutely continuous compensators and nonlinear filtering in default risk models. Cetin, Umut
  • On pricing rules and optimal strategies in general Kyle-Back models. Cetin, Umut; Danilova, Albina picture_as_pdf
  • Option hedging for small investors under liquidity costs. Soner, H. Mete; Cetin, Umut; Touzi, Nizar
  • Path transformations for local times of one-dimensional diffusions. Cetin, Umut
  • Point process bridges and weak convergence of insider trading models. Cetin, Umut; Xing, Hao
  • Pricing and hedging in carbon emissions markets. Cetin, Umut; Verschuere, Michel
  • Pricing options in an extended black-scholes economy with illiquidity: theory and empirical evidence. Cetin, Umut; Jarrow, P.; Protter, M.; Warachka, M.
  • Speeding up the Euler scheme for killed diffusions. Cetin, Umut; Hok, Julien picture_as_pdf
  • Stochastic integration. Cetin, Umut
  • A simple model for market booms and crashes. Cetin, Umut; Sheynzon, Ilya