| Liquidity risk and arbitrage pricing theory U Cetin, RA Jarrow, P Protter Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010 | 544 | 2010 |
| Modeling credit risk with partial information U Cetin, R Jarrow, P Protter, Y Yıldırım | 240 | 2004 |
| Pricing options in an extended Black Scholes economy with illiquidity: Theory and empirical evidence U Cetin, R Jarrow, P Protter, M Warachka The Review of Financial Studies 19 (2), 493-529, 2006 | 236 | 2006 |
| Option hedging for small investors under liquidity costs U Cetin, HM Soner, N Touzi Finance and Stochastics 14, 317-341, 2010 | 157 | 2010 |
| Modeling liquidity effects in discrete time U Cetin, LCG Rogers Mathematical Finance 17 (1), 15-29, 2007 | 137 | 2007 |
| Pricing and hedging in carbon emissions markets U Cetin, M Verschuere International Journal of Theoretical and Applied Finance 12 (07), 949-967, 2009 | 79 | 2009 |
| Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling L Campi, U Cetin Finance and stochastics 11, 591-602, 2007 | 54 | 2007 |
| Dynamic Markov bridges motivated by models of insider trading L Campi, U Cetin, A Danilova Stochastic Processes and their Applications 121 (3), 534-567, 2011 | 47 | 2011 |
| Equilibrium model with default and dynamic insider information L Campi, U Çetin, A Danilova Finance and Stochastics 17, 565-585, 2013 | 33 | 2013 |
| Bayesian sequential estimation of a drift of fractional Brownian motion U Çetin, A Novikov, AN Shiryaev Sequential analysis 32 (3), 288-296, 2013 | 25 | 2013 |
| Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems U Çetin, A Danilova | 24 | 2016 |
| Markov bridges: SDE representation U Çetin, A Danilova Stochastic Processes and their Applications 126 (3), 651-679, 2016 | 20 | 2016 |
| Financial equilibrium with asymmetric information and random horizon U Çetin Finance and Stochastics 22, 97-126, 2018 | 19 | 2018 |
| Option pricing with liquidity risk U Cetin, RA Jarrow, P Protter, M Warachka Preprint, Cornell University, 2002 | 16 | 2002 |
| Explicit construction of a dynamic Bessel bridge of dimension L Campi, U Cetin, A Danilova | 14 | 2013 |
| Default and liquidity risk modeling U Çetin Ph. D. thesis, Cornell University, 2003 | 13 | 2003 |
| Point process bridges and weak convergence of insider trading models U Cetin, H Xing | 11 | 2013 |
| On Pricing Rules and Optimal Strategies in General Kyle--Back Models U Çetin, A Danilova SIAM Journal on Control and Optimization 59 (5), 3973-3998, 2021 | 10 | 2021 |
| Dynamic Markov Bridges and Market Microstructure: Theory and Applications U Çetin, A Danilova Springer, 2018 | 10 | 2018 |
| Diffusion transformations, Black–Scholes equation and optimal stopping U Çetin The Annals of Applied Probability 28 (5), 3102-3151, 2018 | 10 | 2018 |
Philip ProtterProfessor of Statistics, Columbia University在 columbia.edu 的电子邮件经过验证
