26 citations · 26 across the 8 of their papers we have counts for
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q-fin.MF2020
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…
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…