Cetin, Umut

Number of items: 33.
LSE
  • Cetin, Umut (2012). Filtered Azéma martingales. Electronic Communications in Probability, 17, https://doi.org/10.1214/ECP.v17-2310
  • Soner, H. Mete, Cetin, Umut, Touzi, Nizar (2010). Option hedging for small investors under liquidity costs. Finance and Stochastics, 14(3), 317-341. https://doi.org/10.1007/s00780-009-0116-x
    • Mathematics
  • Cetin, Umut, Danilova, Albina (2025). Order routing and market quality who benefits from internalization? Mathematical Finance, https://doi.org/10.1111/mafi.70014 picture_as_pdf
  • Cetin, Umut, Danilova, Albina (2021). On pricing rules and optimal strategies in general Kyle-Back models. SIAM Journal on Control and Optimization, 59(5), 3973 – 3998. https://doi.org/10.1137/20M1319267 picture_as_pdf
  • Çetin, Umut, Danilova, Albina (2016). Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems. Annals of Applied Probability, 26(4), 1996-2029. https://doi.org/10.1214/15-AAP1138
  • Çetin, Umut, Danilova, Albina (2016). Markov bridges: SDE representation. Stochastic Processes and Their Applications, 126(3), 651 - 679. https://doi.org/10.1016/j.spa.2015.09.015
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Equilibrium model with default and dynamic insider information. Finance and Stochastics, 17(347), 565-585. https://doi.org/10.1007/s00780-012-0196-x
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Explicit construction of a dynamic Bessel bridge of dimension 3. Electronic Journal of Probability, 18(20), 1-25. https://doi.org/10.1214/EJP.v18-1907
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2011). Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and Their Applications, 121(3), 534-567. https://doi.org/10.1016/j.spa.2010.11.004
    • Statistics
  • Cetin, Umut, Danilova, Albina (2025). Order routing and market quality who benefits from internalization? Mathematical Finance, https://doi.org/10.1111/mafi.70014 picture_as_pdf
  • Cetin, Umut (2025). Insider trading with penalties in continuous time. Journal of Economic Theory, 228, https://doi.org/10.1016/j.jet.2025.106061 picture_as_pdf
  • Cetin, Umut, Larsen, Kasper (2024). Is Kyle’s equilibrium model stable? Mathematics and Financial Economics, 18(4), 623 - 639. https://doi.org/10.1007/s11579-024-00364-0 picture_as_pdf
  • Cetin, Umut, Hok, Julien (2024). Speeding up the Euler scheme for killed diffusions. Finance and Stochastics, 28(3), 663 - 707. https://doi.org/10.1007/s00780-024-00534-4 picture_as_pdf
  • Cetin, Umut (2024). Minimal subharmonic functions and related integral representations. Electronic Journal of Probability, 29, https://doi.org/10.1214/23-EJP1065 picture_as_pdf
  • Çetin, Umut, Waelbroeck, Henri (2023). Power laws in market microstructure. In Jarrow, R. A. & Madan, D. B. (Eds.), Peter Carr Gedenkschrift: Research Advances in Mathematical Finance (pp. 753 - 819). World Scientific (Firm). https://doi.org/10.1142/9789811280306_0022
  • Çetin, Umut, Larsen, Kasper (2023). Uniqueness in cauchy problems for diffusive real-valued strict local martingales. Transactions of the American Mathematical Society Series B, 10(13), 381-406. https://doi.org/10.1090/btran/141 picture_as_pdf
  • Çetin, Umut, Waelbroeck, Henri (2023). Power laws in market microstructure. Frontiers of Mathematical Finance, 2(1), 56 - 98. https://doi.org/10.3934/fmf.2023003 picture_as_pdf
  • Cetin, Umut, Danilova, Albina (2021). On pricing rules and optimal strategies in general Kyle-Back models. SIAM Journal on Control and Optimization, 59(5), 3973 – 3998. https://doi.org/10.1137/20M1319267 picture_as_pdf
  • Cetin, Umut (2019). Linear inverse problems for Markov processes and their regularisation. Stochastic Processes and Their Applications, https://doi.org/10.1016/j.spa.2019.11.009 picture_as_pdf
  • Cetin, Umut (2018). Diffusion transformations, Black-Scholes equation and optimal stopping. Annals of Applied Probability, 28(5), 3102-3151. https://doi.org/10.1214/18-AAP1385 picture_as_pdf
  • Cetin, Umut (2018). Path transformations for local times of one-dimensional diffusions. Stochastic Processes and Their Applications, 128(10), 3439-3465. https://doi.org/10.1016/j.spa.2017.11.005
  • Çetin, Umut (2018). Financial equilibrium with asymmetric information and random horizon. Finance and Stochastics, 22(1), 97-126. https://doi.org/10.1007/s00780-017-0348-0
  • Çetin, Umut, Danilova, Albina (2016). Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems. Annals of Applied Probability, 26(4), 1996-2029. https://doi.org/10.1214/15-AAP1138
  • Çetin, Umut, Danilova, Albina (2016). Markov bridges: SDE representation. Stochastic Processes and Their Applications, 126(3), 651 - 679. https://doi.org/10.1016/j.spa.2015.09.015
  • Çetin, Umut (2015). On certain integral functionals of squared Bessel processes. Stochastics: an International Journal of Probability and Stochastic Processes, 87(6), 1033-1060. https://doi.org/10.1080/17442508.2015.1026344
  • Cetin, Umut, Sheynzon, Ilya (2014). A simple model for market booms and crashes. Mathematics and Financial Economics, 8(3), 291 -319. https://doi.org/10.1007/s11579-014-0116-2
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Equilibrium model with default and dynamic insider information. Finance and Stochastics, 17(347), 565-585. https://doi.org/10.1007/s00780-012-0196-x
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Explicit construction of a dynamic Bessel bridge of dimension 3. Electronic Journal of Probability, 18(20), 1-25. https://doi.org/10.1214/EJP.v18-1907
  • Cetin, Umut, Xing, Hao (2013). Point process bridges and weak convergence of insider trading models. Electronic Journal of Probability, 18(26), 1-24. https://doi.org/10.1214/EJP.v18-2039
  • Cetin, Umut (2012). On absolutely continuous compensators and nonlinear filtering in default risk models. Stochastic Processes and Their Applications, 122(11), 3619-3647. https://doi.org/10.1016/j.spa.2012.07.001
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2011). Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and Their Applications, 121(3), 534-567. https://doi.org/10.1016/j.spa.2010.11.004
  • Cetin, Umut (2010). Stochastic integration. In Cont, R. (Ed.), Encyclopedia of Quantitative Finance . John Wiley & Sons.
  • Cetin, Umut, Jarrow, R., Protter, P. (2010). Liquidity risk and arbitrage pricing theory. In Lee, C., Lee, A. C. & Lee, J. (Eds.), Handbook of Quantitative Finance and Risk Management . Springer Berlin / Heidelberg. https://doi.org/10.1007/978-0-387-77117-5
  • Cetin, Umut, Verschuere, Michel (2009). Pricing and hedging in carbon emissions markets. International Journal of Theoretical and Applied Finance, 12(7), 949-967. https://doi.org/10.1142/S0219024909005531
  • Campi, Luciano, Çetin, Umut (2007). Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance and Stochastics, 11(4), 591-602. https://doi.org/10.1007/s00780-007-0038-4
  • Cetin, Umut, Rogers, L.C.G. (2007). Modeling liquidity effects in discrete time. Mathematical Finance, 17(1), 15-29. https://doi.org/10.1111/j.1467-9965.2007.00292.x
  • Cetin, Umut, Verschuere, Michel (2007). Hedging under incomplete information: applications to emmissions markets. In Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Reynaerts, H., Schoutens, W. & Van Goethem, P. (Eds.), Proceedings of the 5th Actuarial and Financial Mathematics Day: Contactforum [Proceedings of the 5th Actuarial and Financial Mat (pp. 33-42). Koninklijke Vlaamse Academie van Belgie voor Wetenschappen en Kunsten.
  • Cetin, Umut, Jarrow, P., Protter, M., Warachka, M. (2006). Pricing options in an extended black-scholes economy with illiquidity: theory and empirical evidence. Review of Financial Studies, 19(2), 493-529. https://doi.org/10.1093/rfs/hhj014
  • Cetin, Umut, Jarrow, Robert A., Protter, Philip (2004). Liquidity risk and arbitrage pricing theory. Finance and Stochastics, 8(3), 311-341. https://doi.org/10.1007/s00780-004-0123-x
  • Cetin, Umut, Jarrow, R., Protter, P., Yildirim, Y. (2004). Modeling credit risk with partial information. Annals of Applied Probability, 14(3), 1167-1178. https://doi.org/10.1214/105051604000000251