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Umut Çetin

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2020 – today

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2021
[j6]
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Umut Çetin, Albina Danilova:
On Pricing Rules and Optimal Strategies in General Kyle-Back Models. SIAM J. Control. Optim. 59(5): 3973-3998 (2021)
[i1]
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Umut Çetin, Julien Hok:
Speeding up the Euler scheme for killed diffusions. CoRR abs/2107.03534 (2021)

2010 – 2019

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2018
[j5]
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Umut Çetin:
Financial equilibrium with asymmetric information and random horizon. Finance Stochastics 22(1): 97-126 (2018)
2013
[j4]
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Luciano Campi, Umut Çetin, Albina Danilova:
Equilibrium model with default and dynamic insider information. Finance Stochastics 17(3): 565-585 (2013)
2010
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Umut Çetin, H. Mete Soner, Nizar Touzi:
Option hedging for small investors under liquidity costs. Finance Stochastics 14(3): 317-341 (2010)

2000 – 2009

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2007
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Luciano Campi, Umut Çetin:
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance Stochastics 11(4): 591-602 (2007)
2004
[j1]
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Umut Çetin, Robert A. Jarrow, Philip Protter:
Liquidity risk and arbitrage pricing theory. Finance Stochastics 8(3): 311-341 (2004)

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