Publications

 
  1. U. Cetin, R. Jarrow and P. Protter. (2004) Liquidity Risk and Arbitrage Pricing Theory. Finance and Stochastics 8(3), 311-341.
  2. U. Cetin, R. Jarrow, P. Protter and Y. Yildirim. (2004) Modeling Credit Risk with Partial Information. Annals of Applied Probability, 14(3), 1167-1178.
  3. U. Cetin, R. Jarrow, P. Protter and M. Warachka. (2006) Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence, The Review of Financial Studies, 19, 493-529..
  4. U. Cetin and L. C. G. Rogers. (2007) Modelling liquidity effects in discrete time. Mathematical Finance, 17(1), 15-29.
  5. U. Cetin and L. Campi. (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.
  6. U. Cetin and M. Verschuere. (2007) Hedging under incomplete information: Applications to emissions markets. Proceedings of the 5th Actuarial and Financial Mathematics Day, Brussels. Edited by G. Deelstra, A. De Schepper, J. Dhaene, H. Reynaerts, W. Schoutens, P. Van Goethem and M. Vanmaele.
  7. U. Cetin and M. Verschuere. (2010) Pricing and hedging in carbon emissions markets.  International Journal of Theoretical and Applied Finance, 12(7), 949-967.
  8. U. Cetin. (2010) Stochastic Integration. To appear in Encyclopedia of Quantitative Finance, Wiley.
  9. U. Cetin, R. Jarrow and P. Protter. (2008) Liquidity Risk and Arbitrage Pricing Theory. To appear in Handbook of Quantitative Finance and Risk Management, Springer-Verlag.
  10. U. Cetin, M. Soner and N. Touzi. (2010) Option hedging for small investors under liquidity costs. Finance and Stochastics, 14(3), 317-341.
  11. L. Campi, U. Cetin and A. Danilova. (2011) Dynamic Markov bridges motivated by models of insider trading. Stoch. Proc. App., 121, 534-567.
  12. L. Campi, U. Cetin and A. Danilova. (2012) An equilibrium model with default and insider's dynamic information. To appear in Finance and Stochastics.
  13. U. Cetin. (2012) On absolutely continuous compensators and nonlinear filtering equations in default risk models. Stoch. Proc. App., 122, pp. 3619-3647. 
  14. U. Cetin. (2012) Filtered Azema Martingales. Electron. Commun. Probab., vol. 7, no. 62, pp. 1-13.
  15. U. Cetin and H. Xing. (2013) Point process bridges and weak convergence of insider trading models. Electron.  J. Probab., vol. 18, no. 26, pp.1-24.
  16. L. Campi, U. Cetin and A. Danilova. (2013) Explicit construction of a dynamic Bessel bridge of dimension 3.  Electron.  J. Probab., vol. 18, no. 30, pp.1-25.
  17. U. Cetin, A. Novikov and A. Shiryaev. (2013) Bayesian sequential estimation of a drift of fractional Brownian motion. Sequential Analysis, 32(3), pp.288-296.
  18. U. Cetin and I. Sheynzon (2014) A simple model for market booms and crashes. Mathematics and Financial Economics, 8(3), pp. 291-319.
  19. U. Cetin. (2015) On certain integral functionals of squared Bessel processes. Stochastics, 87(6), pp. 1033-1060.
  20. U. Cetin and A. Danilova (2016) Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems. Ann. App. Prob., vol. 26, No. 4, pp. 1996-2029. 
  21. U. Cetin and A. Danilova (2016) Markov bridges: SDE representation. Stoch. Proc. App., 126(3), pp. 651-679.
  22. U. Cetin. (2017) Financial equilibrium with asymmetric information and random horizon.  Finance and Stochastics, 22(1), pp. 97-126.
  23. U. Cetin. (2018) Path transformations for local times of one-dimensional diffusions. Stoch. Proc. App. 128(10), pp. 3439-3465.
  24. U. Cetin. (2018) Diffusion transformations, Black-Scholes equation and optimal stopping. Ann. App. Prob. 28(5), pp. 3102-3151.
  25. U. Cetin. (2020) Linear inverse problems for Markov processes and their regularisation. Stoch. Proc. Appl. 130(7), pp. 4062-4080.
  26. U. Cetin and A. Danilova (2021). On pricing rules and optimal strategies in general Kyle-Back models. SIAM J. Control and Optimization, 59(5), pp. 3973-3998.
  27. U. Cetin (2021) Price formation and learning in equilibrium under asymmetric information. To appear in the Handbook of Machine Learning for Financial Markets, Cambridge University Press.
  28. U. Cetin and H. Waelbroeck (2023). Power laws in market microstructure. Frontiers of Mathematical Finance, 2(1), pp. 56-98.
  29. U. Cetin and K. Larsen. (2023) Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. Trans. Amer. Math. Soc. Ser. B 10, pp. 381-406.
  30. U. Cetin and J. Hok. (2023) Speeding up the Euler scheme for killed diffusions. To appear in Finance and Stochastics.
  31. U. Cetin (2023) Minimal subharmonic functions and related integral representations. To appear in Electron. J. Probab.

Working papers

  1. U. Cetin and K. Larsen.  Is Kyle’s Equilibrium Model Stable?
  2. U. Cetin. Insider trading with legal risk in continuous time.

Books

Dynamic Markov Bridges and Market Microstructure: Theory and Applications, with A. Danilova. Probability Theory and Stochastic Modelling, Springer.

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[Last modified:18 July 2023 by  U Cetin]