LSE creators

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, Robert A, Madan, Dilip 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, Rama (Ed.), Encyclopedia of Quantitative Finance . John Wiley & Sons.
  • Cetin, Umut, Jarrow, R., Protter, P. (2010). Liquidity risk and arbitrage pricing theory. In Lee, Cheng-Few, Lee, Alice C., Lee, John (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, Michèle, Deelstra, Griselda, De Schepper, Ann, Dhaene, Jan, Reynaerts, Huguette, Schoutens, Wim, Van Goethem, Paul (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