"Cetin, Umut"

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

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

Campi, Luciano, Cetin, Umut and Danilova, Albina (2012) Equilibrium model with default and dynamic insider information. Finance and stochastics, online . ISSN 0949-2984 (In Press)

Cetin, Umut (2012) Filtered Azéma martingales. Electronic communications in probability, 17 . ISSN 1083-589X

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

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

Cetin, Umut (2010) Stochastic integration. In: Cont, Rama, (ed.) Encyclopedia of quantitative finance. Wiley, Chichester, UK. ISBN 9780470057568

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

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

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

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

Cetin, Umut and Rogers, L.C.G. (2007) Modeling liquidity effects in discrete time. Mathematical finance, 17 (1). pp. 15-29. ISSN 0960-1627

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 Mathematics Day]. Koninklijke Vlaamse Academie van Belgie voor Wetenschappen en Kunsten, Brussels, Belgium, pp. 33-42.

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

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

Cetin, Umut, Jarrow, R., Protter, P. and Yildirim, Y. (2004) Modeling credit risk with partial information. Annals of applied probability, 14 (3). pp. 1167-1178. ISSN 1050-5164