Umut Çetin

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Minimal subharmonic functions and related integral representations	2024-02-02	Paper
Insider trading with penalties, entropy and quadratic BSDEs	2023-11-21	Paper
Power laws in market microstructure	2023-06-26	Paper
On Pricing Rules and Optimal Strategies in General Kyle--Back Models	2021-11-05	Paper
Speeding up the Euler scheme for killed diffusions	2021-06-28	Paper
Linear inverse problems for Markov processes and their regularisation	2020-05-26	Paper
Diffusion transformations, Black-Scholes equation and optimal stopping	2018-11-07	Paper
Path transformations for local times of one-dimensional diffusions	2018-10-31	Paper
Integral representation of subharmonic functions and optimal stopping with random discounting	2018-09-21	Paper
Dynamic Markov Bridges and Market Microstructure	2018-08-28	Paper
Financial equilibrium with asymmetric information and random horizon	2018-01-16	Paper
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems	2016-11-16	Paper
On certain integral functionals of squared Bessel processes	2016-04-27	Paper
Markov bridges: SDE representation	2016-02-15	Paper
A simple model for market booms and crashes	2014-11-06	Paper
Filtered Azéma martingales	2014-09-24	Paper
Point process bridges and weak convergence of insider trading models	2014-01-17	Paper
Explicit construction of a dynamic Bessel bridge of dimension 3	2014-01-17	Paper
Equilibrium model with default and dynamic insider information	2013-07-18	Paper
On absolutely continuous compensators and nonlinear filtering equations in default risk models	2012-10-10	Paper
Option hedging for small investors under liquidity costs	2011-11-27	Paper
Dynamic Markov bridges motivated by models of insider trading	2011-07-08	Paper
PRICING AND HEDGING IN CARBON EMISSIONS MARKETS	2010-01-08	Paper
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling	2007-12-16	Paper
MODELING LIQUIDITY EFFECTS IN DISCRETE TIME	2007-06-08	Paper
Liquidity risk and arbitrage pricing theory	2005-05-20	Paper
Modeling credit risk with partial information.	2004-09-15	Paper

Research outcomes over time

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