| 1. |
Çetin, Umut and Danilova, Albina
(2016)
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems.
Annals of Applied Probability, 26
(4).
pp. 1996-2029.
ISSN 1050-5164
| ![[img]](/63259/1.hassmallThumbnailVersion/Cetin_Markovian%20Nash%20equilibrium%20published_2016.pdf)  Preview |
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| 2. |
Çetin, Umut and Danilova, Albina
(2016)
Markov bridges: SDE representation.
Stochastic Processes and Their Applications, 126
(3).
pp. 651-679.
ISSN 0304-4149
| ![[img]](/63779/1.hassmallThumbnailVersion/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Cetin%2C%20U_Cetin_Markov%20bridges_2015_author.pdf)  Preview |
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| 3. |
Çetin, Umut
(2015)
On certain integral functionals of squared Bessel processes.
Stochastics: an International Journal of Probability and Stochastic Processes, 87
(6).
pp. 1033-1060.
ISSN 1744-2508
| ![[img]](/61211/1.hassmallThumbnailVersion/__lse.ac.uk_storage_LIBRARY_Secondary_libfile_shared_repository_Content_Cetin%2C%20U_Certain%20integral%20functionals_Cetin_Certain%20integral%20functionals_2015.pdf)  Preview |
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| 4. |
Cetin, Umut and Sheynzon, Ilya
(2014)
A simple model for market booms and crashes.
Mathematics and Financial Economics, 8
(3).
291 -319.
ISSN 1862-9679
Not available from LSE Research Online. | | |
| 5. |
Campi, Luciano, Cetin, Umut and Danilova, Albina
(2013)
Equilibrium model with default and dynamic insider information.
Finance and Stochastics, 17
(347).
pp. 565-585.
ISSN 0949-2984
Not available from LSE Research Online. | | |
| 6. |
Campi, Luciano, Cetin, Umut and Danilova, Albina
(2013)
Explicit construction of a dynamic Bessel bridge of dimension 3.
Electronic Journal of Probability, 18
(20).
pp. 1-25.
ISSN 1083-6489
| ![[img]](/45263/1.hassmallThumbnailVersion/__Libfile_repository_Content_Cetin%2C%20U_Explicit_%20construction_%20%20dynamic_Explicit_construction_dynamic__digital_2013.pdf)  Preview |
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| 7. |
Cetin, Umut and Xing, Hao
(2013)
Point process bridges and weak convergence of insider trading models.
Electronic Journal of Probability, 18
(26).
pp. 1-24.
ISSN 1083-6489
| ![[img]](/48745/1.hassmallThumbnailVersion/Cetin_Point_%20process_bridges_2012.pdf)  Preview |
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| 8. |
Pamuk, Sevket
(2013)
Economic growth and institutional change in Turkey before 1980.
In: Çetin, Tamer and Yilmaz, Feridun, (eds.)
Understanding the process of economic change in Turkey: an institutional approach.
Economic issues, problems and perspectives.
Nova Science Publishers, Hauppauge NY, USA, pp. 3-19.
ISBN 9781608769452
Not available from LSE Research Online. | | |
| 9. |
Cetin, Umut
(2012)
Filtered Azéma martingales.
Electronic Communications in Probability, 17
.
ISSN 1083-589X
Not available from LSE Research Online. | | |
| 10. |
Cetin, Umut
(2012)
On absolutely continuous compensators and nonlinear filtering in default risk models.
Stochastic Processes and Their Applications, 122
(11).
pp. 3619-3647.
ISSN 0304-4149
Not available from LSE Research Online. | | |
| 11. |
Campi, Luciano, Cetin, Umut and Danilova, Albina
(2011)
Dynamic Markov bridges motivated by models of insider trading.
Stochastic Processes and Their Applications, 121
(3).
pp. 534-567.
ISSN 0304-4149
| ![[img]](/31538/1.hassmallThumbnailVersion/Dynamic_Markov_bridges_%28LSERO%29.pdf)  Preview |
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| 12. |
Cetin, Umut
(2010)
Stochastic integration.
In: Cont, Rama, (ed.)
Encyclopedia of Quantitative Finance.
Wiley, Chichester, UK.
ISBN 9780470057568
Not available from LSE Research Online. | | |
| 13. |
Cetin, Umut, Jarrow, R. and Protter, P.
(2010)
Liquidity risk and arbitrage pricing theory.
In: Lee, Cheng-Few, Lee, Alice C. and Lee, John, (eds.)
Handbook of Quantitative Finance and Risk Management.
Springer, New York, USA.
ISBN 9780387771168
Not available from LSE Research Online. | | |
| 14. |
Soner, H. Mete, Cetin, Umut and Touzi, Nizar
(2010)
Option hedging for small investors under liquidity costs.
Finance and Stochastics, 14
(3).
pp. 317-341.
ISSN 0949-2984
| ![[img]](/28992/1.hassmallThumbnailVersion/Option_hedging_for_small_investors_under_liquidity_costs_%28LSERO_version%29.pdf)  Preview |
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| 15. |
Cetin, Umut and Verschuere, Michel
(2009)
Pricing and hedging in carbon emissions markets.
International Journal of Theoretical and Applied Finance, 12
(7).
pp. 949-967.
ISSN 0219-0249
| ![[img]](/29321/1.hassmallThumbnailVersion/Pricing_and_hedging_in_carbon_emissions_markets_%28LSERO_version%29.pdf)  Preview |
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| 16. |
Campi, Luciano and Çetin, Umut
(2007)
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling.
Finance and Stochastics, 11
(4).
pp. 591-602.
ISSN 0949-2984
| ![[img]](/4821/1.hassmallThumbnailVersion/Insider_trading_in_an_equilibrium_model_%28LSERO_version%29.pdf)  Preview |
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| 17. |
Cetin, Umut and Rogers, L.C.G.
(2007)
Modeling liquidity effects in discrete time.
Mathematical Finance, 17
(1).
pp. 15-29.
ISSN 0960-1627
| ![[img]](/2844/1.hassmallThumbnailVersion/Modelling_liquidity_effects_%28LSERO_version%29.pdf)  Preview |
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| 18. |
Cetin, Umut and 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 and Van Goethem, Paul, (eds.)
Proceedings of the 5th Actuarial and Financial Mathematics Day: Contactforum [Proceedings of the 5th Actuarial and Financial Mat.
Koninklijke Vlaamse Academie van Belgie voor Wetenschappen en Kunsten, Brussels, Belgium, pp. 33-42.
Not available from LSE Research Online. | | |
| 19. |
Cetin, Umut, Jarrow, P., Protter, M. and Warachka, M.
(2006)
Pricing options in an extended black-scholes economy with illiquidity: theory and empirical evidence.
Review of Financial Studies, 19
(2).
pp. 493-529.
ISSN 1465-7368
Not available from LSE Research Online. | | |
| 20. |
Cetin, Umut, Jarrow, Robert A. and Protter, Philip
(2004)
Liquidity risk and arbitrage pricing theory.
Finance and Stochastics, 8
(3).
pp. 311-341.
ISSN 1432-1122
Not available from LSE Research Online. | | |
