26 citations · 26 across the 8 of their papers we have counts for
13 papers
When large trades are not (automatically) news: liquidity tail risk and price discovery
Umut Çetin, Mingwei Lin, Giulia Livieri
We examine how heavy-tailed liquidity demand changes price discovery in a sequential limit order book with asymmetric information. In our setting, liquidity suppliers observe aggre…
Weak convergence rate for the Cox-Ingersoll-Ross process
Alexandros Pavlis, Umut Cetin
We study the weak convergence rate of a drift-implicit discretisation scheme for the Cox-Ingersoll-Ross (CIR) process in the regime where the process remains strictly positive. Spe…
Is Kyle's equilibrium model stable?
Umut Cetin, Kasper Larsen
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading tim…
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…
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
Umut Cetin, Kasper Larsen
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local…
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…
On pricing rules and optimal strategies in general Kyle-Back models
Umut Çetin, Albina Danilova
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In…
Diffusion transformations, Black-Scholes equation and optimal stopping
Umut Çetin
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This im…
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
Umut Çetin, Albina Danilova
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the r…
Markov bridges: SDE representation
Umut Çetin, Albina Danilova
Let be a Markov process taking values in with continuous paths and transition function . Given a measure on , a Markov br…
Point process bridges and weak convergence of insider trading models
Umut Çetin, Hao Xing
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and i…
Dynamic Markov bridges motivated by models of insider trading
Luciano Campi, Umut Çetin, Albina Danilova
Given a Markovian Brownian martingale , we build a process which is a martingale in its own filtration and satisfies . We call a dynamic bridge, because its t…
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…