Umut Cetin
Centre member
Umut is a Reader in Statistics at the London School of Economics and Political Science (LSE). He joined the Department of Statistics in 2004.
He is also an Associate of the Grantham Research Institute on Climate Change and the Environment|, based at LSE.
Background
Prior to joining the Department of Statistics, Umut had a postdoctoral position at the Institute of Financial and Actuarial Mathematics, Technical University of Vienna. He obtained his PhD degree in Applied Mathematics from Cornell University in 2003.
Research interests
-
Stochastic calculus;
-
Theory of martingales and Markov processes;
-
Linear and nonlinear filtering;
-
Portfolio optimisation in incomplete markets;
-
Liquidity risk and credit risk modelling;
-
Information effects on pricing;
-
Pricing, hedging and market design issues for carbon emission permits.
Research articles
2009
Cetin, U., and Verschuere, M. November 2009. Pricing and hedging in carbon emission markets. International Journal of Theoretical and Applied Finance, v.12. Download PDF of article| (229KB)
More information