"Cetin, Umut"

Article

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 insider's dynamic 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

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, 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

Book Section

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

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.