Umut Cetin Reader in Statistics

Office: Room B608, Columbia House Mail: Department of Statistics London School of Economics Houghton Street London, WC2A 2AE United Kingdom Phone: +44 (0)20 7955 7644 Fax: +44 (0)20 7955 7416 Email: u.cetin at lse.ac.uk

ISTANBUL WORKSHOP ON MATHEMATICAL FINANCE

Courses Taught

• ST409 Stochastic Processes
• ST433 Risk Project
• OR201.2 Remedial Lectures in Probability
• ST302 Stochastic Processes
• ST306 Actuarial Mathematics: General
• ST441 Introduction to Markov Processes and Their Applications
  

Research Interests

• Stochastic calculus, theory of martingales and Markov processes
• Linear and nonlinear filtering
• Portfolio optimisation in incomplete markets
• Liquidity risk and credit risk modelling
• Information effects on pricing
• Pricing, hedging and market design issues for carbon emission permits

Recent Publications

CV

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