Items where Author is "Soner, Halil Mete"

Gökay, Selim and Soner, Halil Mete (2012) Liquidity in a binomial market. Mathematical Finance, 22 (2). pp. 250-276. ISSN 0960-1627 (print) ; 1467-9965 (online)

Eğriboyun, Feyzullah and Soner, Halil Mete (2010) Optimal investment strategies with a reallocation constraint. Mathematical Methods of Operations Research, 71 (3). pp. 551-585. ISSN 1432-2994 (Print) 1432-5217 (Online)

Soner, Halil Mete and Touzi, Nizar (2009) The dynamic programming equation for second order stochastic target problems. SIAM Journal on Control and Optimization, 48 (4). pp. 2344-2365. ISSN 0363-0129 (print) 1095-7138 (online)

Ben-Tahar, Imen and Soner, Halil Mete and Touzi, Nizar (2007) The dynamic programming equation for the problem of optimal investment under capital gains taxes. (Accepted)

Ben-Tahar, Imen and Soner, Halil Mete and Touzi, Nizar (2007) Modeling continuous-time financial markets with capital gains taxes. [Working Paper / Technical Report] Sabanci University ID:SU_FMAN_2007/0018

Çetin, Umut and Soner, Halil Mete and Touzi, Nizar (2007) Options hedging under liquidity costs. [Working Paper / Technical Report] Sabanci University ID:SU_FMAN_2007/0017

Cheridito, Patrick and Soner, Halil Mete and Touzi, Nizar and Victoir, Nicolai (2006) Second order backward stochastic differential equations and fully non-linear parabolic PDEs. (Accepted)