Items where Author is "Çetin, Umut"

Article

Çetin, Umut ORCID: 0000-0001-8905-853X and Larsen, Kasper (2023) Uniqueness in cauchy problems for diffusive real-valued strict local martingales. Transactions of the American Mathematical Society Series B, 10 (13). pp. 381-406. ISSN 2330-0000

Çetin, Umut ORCID: 0000-0001-8905-853X and Waelbroeck, Henri (2023) Power laws in market microstructure. Frontiers of Mathematical Finance, 2 (1). 56 - 98. ISSN 2769-6715

Çetin, Umut ORCID: 0000-0001-8905-853X (2018) Financial equilibrium with asymmetric information and random horizon. Finance and Stochastics, 22 (1). pp. 97-126. ISSN 0949-2984

Çetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina ORCID: 0009-0001-4264-3798 (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

Çetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina ORCID: 0009-0001-4264-3798 (2016) Markov bridges: SDE representation. Stochastic Processes and Their Applications, 126 (3). 651 - 679. ISSN 0304-4149

Çetin, Umut ORCID: 0000-0001-8905-853X (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

Campi, Luciano and Çetin, Umut ORCID: 0000-0001-8905-853X (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

Book Section

Çetin, Umut ORCID: 0000-0001-8905-853X and Waelbroeck, Henri (2023) Power laws in market microstructure. In: Jarrow, Robert A and Madan, Dilip B, (eds.) Peter Carr Gedenkschrift: Research Advances in Mathematical Finance. World Scientific (Firm), 753 - 819. ISBN 9789811280290