2 citations · 5 across the 6 of their papers we have counts for
7 papers · 1 filter
Backward Monge Potential and Monge-Ampere Equation
Mine Caglar, Ihsan Demirel
In this paper, Monge-Kantorovich problem is considered in the infinite dimension on an abstract Wiener space , where is Cameron-Martin space and is the Gaussian m…
Hedging Portfolio for a Degenerate Market Model
Mine Caglar, Ihsan Demirel, Ali Suleyman Ustunel
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, th…
Maximum Drawdown and Drawdown Duration of Spectrally Negative Levy Processes Decomposed at Extremes
C. Vardar-Acar, M. Caglar, F. Avram
Path decomposition is performed to characterize the law of the pre/post-supremum, post-infimum and the intermediate processes of a spectrally negative Levy process taken up to an i…
Conditional Law and Occupation Times of Two-Sided Sticky Brownian Motion
Bugra Can, Mine Caglar
Sticky Brownian motion on the real line can be obtained as a weak solution of a system of stochastic differential equations. We find the conditional distribution of the process giv…
A buffer Hawkes process for limit order books
Ingemar Kaj, Mine Caglar
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buf…
Distribution of Maximum Loss for Fractional Brownian Motion
Mine Caglar, Ceren Vardar
In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter The Black-Scholes model for the values of returns of a…