Umut Cetin
Umut Cetin
Professor in Statistics, LSE
Bestätigte E-Mail-Adresse bei lse.ac.uk
Titel
Zitiert von
Zitiert von
Jahr
Liquidity risk and arbitrage pricing theory
U Cetin, RA Jarrow, P Protter
Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010
4892010
Modeling credit risk with partial information
U Cetin, R Jarrow, P Protter, Y Yıldırım
The Annals of Applied Probability 14 (3), 1167-1178, 2004
2202004
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
2082006
Option hedging for small investors under liquidity costs
U Cetin, HM Soner, N Touzi
Finance and Stochastics 14 (3), 317-341, 2010
1522010
Modeling liquidity effects in discrete time
U Cetin, LCG Rogers
Mathematical Finance 17 (1), 15-29, 2007
1212007
Pricing and hedging in carbon emissions markets
U Cetin, M Verschuere
International Journal of Theoretical and Applied Finance 12 (07), 949-967, 2009
722009
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
L Campi, U Cetin
Finance and stochastics 11 (4), 591-602, 2007
382007
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
272011
Bayesian sequential estimation of a drift of fractional Brownian motion
U Çetin, A Novikov, AN Shiryaev
Sequential analysis 32 (3), 288-296, 2013
232013
Equilibrium model with default and dynamic insider information
L Campi, U Çetin, A Danilova
Finance and Stochastics 17 (3), 565-585, 2013
172013
Option pricing with liquidity risk
U Cetin, RA Jarrow, P Protter, M Warachka
Preprint, Cornell University, 2002
152002
Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems
U Çetin, A Danilova
The Annals of Applied Probability 26 (4), 1996-2029, 2016
122016
Markov bridges: SDE representation
U Çetin, A Danilova
Stochastic Processes and their Applications 126 (3), 651-679, 2016
112016
Default and liquidity risk modeling
U Çetin
Ph. D. thesis, Cornell University, 2003
112003
Explicit construction of a dynamic Bessel bridge of dimension
L Campi, U Cetin, A Danilova
Electronic Journal of Probability 18, 2013
102013
On absolutely continuous compensators and nonlinear filtering equations in default risk models
U Cetin
Stochastic Processes and their Applications 122 (11), 3619-3647, 2012
72012
Point process bridges and weak convergence of insider trading models
U Cetin, H Xing
Electronic Journal of Probability 18, 2013
62013
Diffusion transformations, Black–Scholes equation and optimal stopping
U Cetin
Annals of Applied Probability 28 (5), 3102-3151, 2018
52018
On certain integral functionals of squared Bessel processes
U Çetin
Stochastics An International Journal of Probability and Stochastic Processes …, 2015
42015
A simple model for market booms and crashes
U Çetin, I Sheynzon
Mathematics and Financial Economics 8 (3), 291-319, 2014
42014
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