Halil Mete Soner

ETH Zürich

Zürichbergstrasse 18

8092 Zurich, CH-1015

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 17,325

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34

CROSSREF CITATIONS

29

Scholarly Papers (18)

1.

Liquidity Models in Continuous and Discrete Time

Swiss Finance Institute Research Paper No. 10-53
Number of pages: 37 Posted: 26 Dec 2010
Selim Gokay, Alexandre F. Roch and Halil Mete Soner
affiliation not provided to SSRN, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and ETH Zürich
Downloads 378 (101,105)
Citation 3

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Liquidity, super-hedging, price manipulation

2.

Superhedging and Dynamic Risk Measures Under Volatility Uncertainty

Swiss Finance Institute Research Paper No. 10-52
Number of pages: 31 Posted: 15 Jan 2011
Marcel Nutz and Halil Mete Soner
Columbia University and ETH Zürich
Downloads 290 (135,037)
Citation 1

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Volatility Uncertainty, Risk Measure, Time Consistency, Nonlinear Martingale, Superhedging, Replication, Second Order BSDE, G-Expectation AMS 2000 Subject

3.

Martingale Representation Theorem for the G-Expectation

Swiss Finance Institute Research Paper No. 10-54
Number of pages: 30 Posted: 27 Dec 2010
Halil Mete Soner, Nizar Touzi and Jianfeng Zhang
ETH Zürich, Ecole Polytechnique, Paris and University of Southern California - Department of Mathematics
Downloads 266 (147,565)
Citation 8

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G-expectation, G-martingale, nonlinear expectation, stochastic target problem, singular measure, BSDE, 2BSDE, duality

4.

Martingale Optimal Transport and Robust Hedging in Continuous Time

Swiss Finance Institute Research Paper No. 13-13
Number of pages: 30 Posted: 06 Apr 2013
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 231 (169,485)
Citation 7

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European Options, Robust Hedging, Min-Max Theorems, Prokhorov Metric, Optimal transport

5.

Weak Approximation of G-Expectations

Swiss Finance Institute Research Paper No. 11-09
Number of pages: 17 Posted: 26 Mar 2011
Marcel Nutz, Halil Mete Soner and Yan Dolinsky
Columbia University, ETH Zürich and ETH Zürich
Downloads 226 (173,154)
Citation 1

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G-expectation, volatility uncertainty, weak limit theorem

6.

Utility Maximization in an Illiquid Market

Swiss Finance Institute Research Paper No. 13-17
Number of pages: 20 Posted: 10 Apr 2013
Halil Mete Soner and Mirjana Vukelja
ETH Zürich and Independent
Downloads 213 (183,014)

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Liquidity risk, limit order book, price impact, utility maximization, dynamic programming

7.

Robust Hedging with Proportional Transaction Costs

Swiss Finance Institute Research Paper No. 13-11
Number of pages: 19 Posted: 30 Mar 2013
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 197 (196,714)
Citation 4

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European options, Robust hedging, Transaction costs, Weak convergence, Consistent price systems, Optimal transport

8.

Homogenization and Asymptotics for Small Transaction Costs

Swiss Finance Institute Research Paper No. 12-13
Number of pages: 31 Posted: 02 Apr 2012
Halil Mete Soner and Nizar Touzi
ETH Zürich and Ecole Polytechnique, Paris
Downloads 177 (216,191)
Citation 7

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transaction costs, homogenization, viscosity solutions, asymptotic expansions

9.

Trading with Small Price Impact

Swiss Finance Institute Research Paper No. 14-17
Number of pages: 48 Posted: 01 Mar 2014 Last Revised: 11 Apr 2017
Ludovic Moreau, Johannes Muhle-Karbe and Halil Mete Soner
ETH Zürich - Department of Mathematics, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 149 (249,791)
Citation 5

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price impact, portfolio choice, asymptotics, homogenization

A Primer on Portfolio Choice with Small Transaction Costs

Swiss Finance Institute Research Paper No. 16-74
Number of pages: 32 Posted: 07 Dec 2016
Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner
Imperial College London - Department of Mathematics, ETH Zürich and ETH Zürich
Downloads 126 (285,843)
Citation 3

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11.

Asymptotics for Fixed Transaction Costs

Swiss Finance Institute Research Paper No. 13-35
Number of pages: 37 Posted: 19 Jun 2013
Albert Altarovici, Johannes Muhle-Karbe and Halil Mete Soner
ETH Zürich, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 121 (293,152)
Citation 4

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fixed transaction costs, optimal investment and consumption, homogenization, viscosity solutions, asymptotic expansions

12.

Hedging with Temporary Price Impact

Swiss Finance Institute Research Paper No. 16-72
Number of pages: 37 Posted: 07 Dec 2016
Peter Bank, Halil Mete Soner and Moritz Voss
Humboldt University of Berlin - Department of Mathematics, ETH Zürich and Technische Universität Berlin (TU Berlin)
Downloads 76 (395,291)
Citation 13

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Hedging, illiquid markets, portfolio tracking

13.

Hedging Under an Expected Loss Constraint with Small Transaction Costs

Swiss Finance Institute Research Paper No. 14-60
Number of pages: 42 Posted: 21 Oct 2014 Last Revised: 09 Dec 2016
Bruno Bouchard, Ludovic Moreau and Halil Mete Soner
Université Paris Dauphine - CEREMADE, ETH Zürich - Department of Mathematics and ETH Zürich
Downloads 65 (430,121)
Citation 4

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Expected loss constraint, hedging, transaction cost, asymptotic expansion

14.

Martingale Optimal Transport in the Skorokhod Space

Swiss Finance Institute Research Paper No. 14-62
Number of pages: 31 Posted: 22 Oct 2014
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 61 (444,002)
Citation 3

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Robust hedging, Martingale Optimal Transport, Super-replication.

15.

Facelifting in Utility Maximization

Swiss Finance Institute Research Paper No. 14-61
Number of pages: 26 Posted: 21 Oct 2014
Kasper Larsen, Halil Mete Soner and Gordan Zitkovic
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 58 (455,011)

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Boundary layer, convex analysis, convex duality, facelift, financial mathematics, incomplete markets, Markov processes, utility-maximization, unspanned endowment.

16.

Conditional Davis Pricing

Swiss Finance Institute Research Paper No. 18-39
Number of pages: 35 Posted: 09 May 2018 Last Revised: 21 Aug 2018
Kasper Larsen, Halil Mete Soner and Gordan Zitkovic
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 44 (512,314)
Citation 1

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Incomplete markets, utility-maximization, unspanned endowment, local martingales, linearization, directional derivative

17.

Convex Duality with Transaction Costs

Swiss Finance Institute Research Paper No. 16-71
Number of pages: 32 Posted: 07 Dec 2016
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 44 (512,314)

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European Options, Model-free Hedging, Semi Static Hedging, Trans- action Costs, Conditional Full Support

18.

Liquidity in a Binomial Market

Mathematical Finance, Vol. 22, Issue 2, pp. 250-276, 2012
Number of pages: 27 Posted: 11 Feb 2012
Selim Gökay and Halil Mete Soner
Technische Universität Berlin (TU Berlin) and ETH Zürich
Downloads 2 (790,873)
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super‐replication, liquidity, binomial model, dynamic programming