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Umut Cetin
Umut Cetin
Professor in Statistics, LSE
Verified email at lse.ac.uk
Title
Cited by
Cited by
Year
Liquidity risk and arbitrage pricing theory
U Cetin, RA Jarrow, P Protter
Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010
5402010
Modeling credit risk with partial information
U Cetin, R Jarrow, P Protter, Y Yıldırım
2382004
Pricing options in an extended Black Scholes economy with illiquidity: Theory and empirical evidence
U Cetin, R Jarrow, P Protter, M Warachka
The Review of Financial Studies 19 (2), 493-529, 2006
2352006
Option hedging for small investors under liquidity costs
U Cetin, HM Soner, N Touzi
Finance and Stochastics 14, 317-341, 2010
1562010
Modeling liquidity effects in discrete time
U Cetin, LCG Rogers
Mathematical Finance 17 (1), 15-29, 2007
1362007
Pricing and hedging in carbon emissions markets
U Cetin, M Verschuere
International Journal of Theoretical and Applied Finance 12 (07), 949-967, 2009
782009
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
L Campi, U Cetin
Finance and stochastics 11, 591-602, 2007
542007
Dynamic Markov bridges motivated by models of insider trading
L Campi, U Cetin, A Danilova
Stochastic Processes and their Applications 121 (3), 534-567, 2011
472011
Equilibrium model with default and dynamic insider information
L Campi, U Çetin, A Danilova
Finance and Stochastics 17, 565-585, 2013
332013
Bayesian sequential estimation of a drift of fractional Brownian motion
U Çetin, A Novikov, AN Shiryaev
Sequential analysis 32 (3), 288-296, 2013
252013
Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems
U Çetin, A Danilova
232016
Markov bridges: SDE representation
U Çetin, A Danilova
Stochastic Processes and their Applications 126 (3), 651-679, 2016
192016
Financial equilibrium with asymmetric information and random horizon
U Çetin
Finance and Stochastics 22, 97-126, 2018
182018
Option pricing with liquidity risk
U Cetin, RA Jarrow, P Protter, M Warachka
Preprint, Cornell University, 2002
162002
Explicit construction of a dynamic Bessel bridge of dimension
L Campi, U Cetin, A Danilova
142013
Default and liquidity risk modeling
U Çetin
Ph. D. thesis, Cornell University, 2003
132003
Point process bridges and weak convergence of insider trading models
U Cetin, H Xing
112013
On Pricing Rules and Optimal Strategies in General Kyle--Back Models
U Çetin, A Danilova
SIAM Journal on Control and Optimization 59 (5), 3973-3998, 2021
102021
Dynamic Markov Bridges and Market Microstructure: Theory and Applications
U Çetin, A Danilova
Springer, 2018
102018
Diffusion transformations, Black–Scholes equation and optimal stopping
U Çetin
The Annals of Applied Probability 28 (5), 3102-3151, 2018
102018
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Articles 1–20