Mete Soner

Last Name

Soner

First Name

Mete

ORCID

0000-0002-0824-1808

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Publications 1 - 10 of 52

Homogenization and asymptotics for small transaction costs
Soner, Mete; Touzi, Nizar (2013)
SIAM Journal on Control and Optimization
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
Altarovici, Albert; Reppen, Max; Soner, Mete (2016)
arXiv
Hedging with temporary price impact
Bank, Peter; Soner, Mete; Voß, Moritz (2017)
Mathematics and Financial Economics
Constrained Optimal Transport
Ekren, Ibrahim; Soner, Mete (2018)
Archive for Rational Mechanics and Analysis
The classical duality theory of Kantorovich (C R (Doklady) Acad Sci URSS (NS) 37:199–201, 1942) and Kellerer (Z Wahrsch Verw Gebiete 67(4):399–432, 1984) for classical optimal transport is generalized to an abstract framework and a characterization of the dual elements is provided. This abstract generalization is set in a Banach lattice X with an order unit. The problem is given as the supremum over a convex subset of the positive unit sphere of the topological dual of X and the dual problem is defined on the bi-dual of X . These results are then applied to several extensions of the classical optimal transport.
Hedging under an expected loss constraint with small transaction costs
Bouchard, Bruno; Moreau, Ludovic; Soner, Mete (2016)
SIAM Journal on Financial Mathematics
Approximating stochastic volatility by recombinant trees
Akyildirim, Erdinç; Dolinsky, Yan; Soner, Mete (2014)
The Annals of Applied Probability
Discrete dividend payments in continuous time
Keppo, Jussi; Reppen, Max; Soner, Mete (2018)
arXiv
Asymptotics with fixed transaction costs
Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Mete (2015)
Finance and Stochastics
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value function and optimal policy.
Second order stochastic target problems with generalized market impact
Bouchard, Bruno; Loeper, Grégoire; Soner, Mete; et al. (2018)
arXiv
Optimal dividend policies with random profitability
Reppen, A. Max; Rochet, Jean-Charles; Soner, Mete (2020)
Mathematical Finance

Publications 1 - 10 of 52

Mete Soner

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