Umut Çetin

Publication Activity (10 Years)

Years Active: 2004-2021
Publications (10 Years): 3

Top Topics

Diffusion Processes

Partial Information

Top Venues

Finance Stochastics

SIAM J. Control. Optim.

Publications

Umut Çetin, Albina Danilova
On Pricing Rules and Optimal Strategies in General Kyle-Back Models. SIAM J. Control. Optim. 59 (5) (2021)
Umut Çetin, Julien Hok
Speeding up the Euler scheme for killed diffusions. CoRR (2021)
Umut Çetin
Financial equilibrium with asymmetric information and random horizon. Finance Stochastics 22 (1) (2018)
Luciano Campi, Umut Çetin, Albina Danilova
Equilibrium model with default and dynamic insider information. Finance Stochastics 17 (3) (2013)
Umut Çetin, H. Mete Soner, Nizar Touzi
Option hedging for small investors under liquidity costs. Finance Stochastics 14 (3) (2010)
Luciano Campi, Umut Çetin
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance Stochastics 11 (4) (2007)
Umut Çetin, Robert A. Jarrow, Philip Protter
Liquidity risk and arbitrage pricing theory. Finance Stochastics 8 (3) (2004)