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Ravnovesnyj sče͏̈t tekuščich operacij v Rossii: naskolʹko važen motiv sbereženij iz predostorožnosti? O. A. Zamulin; K. A. Sosunov; I. A. Šejnzon

Zamulin, Oleg A. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003287006

Financial equilibrium with asymmetric information and random horizon

Çetin, Umut - In: Finance and stochastics 22 (2018) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10011945630

Liquidity risk and arbitrage pricing theory

Çetin, Umut; Jarrow, Robert A.; Protter, Philip E. - In: Finance and stochastics 8 (2004) 3, pp. 311-341

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Is Kyle's equilibrium model stable?

Çetin, Umut; Larsen, Kasper - In: Mathematics and financial economics 18 (2024) 4, pp. 623-639

Persistent link: https://www.econbiz.de/10015189216

Pricing and hedging in carbon emissions markets

Çetin, Umut; Verschuere, Michel - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 949-967

Persistent link: https://www.econbiz.de/10003928768

Option hedging for small investors under liquidity costs

Çetin, Umut; Soner, Halil Mete; Touzi, Nizar - In: Finance and stochastics 14 (2010) 3, pp. 317-341

Persistent link: https://www.econbiz.de/10010216487

Equilibrium model with default and dynamic insider information

Campi, Luciano; Çetin, Umut; Danifova, Albina - In: Finance and stochastics 17 (2013) 3, pp. 565-585

Persistent link: https://www.econbiz.de/10009756021

Insider trading in an equilibrium model with default : a passage from reduced-form to structural modelling

Campi, Luciano; Çetin, Umut - In: Finance and stochastics 11 (2007) 4, pp. 591-602

Persistent link: https://www.econbiz.de/10003645546

Modeling liquidity effects in discrete time

Çetin, Umut; Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10003543099

Informed Trading, Limit Order Book and Implementation Shortfall : Equilibrium and Asymptotics

Çetin, Umut - 2020

We propose a static equilibrium model for limit order book where $N\geq 1$ profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory. While the dealer's initial position plays a role...

Persistent link: https://www.econbiz.de/10012839922