3 papers
math.NA2021
Speeding up the Euler scheme for killed diffusions
Umut Çetin, Julien Hok
Let be a linear diffusion taking values in and consider the standard Euler scheme to compute an approximation to for a given f…
q-fin.TR2020
Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics
Umut Çetin, Henri Waelbroeck
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute…
math.PR2004
Modeling Credit Risk with Partial Information
Umut Cetin, Robert Jarrow, Philip Protter +1
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and…