Halil Mete Soner

ETH Zürich

Zürichbergstrasse 18

8092 Zurich, CH-1015

Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

19

DOWNLOADS
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2,900

CITATIONS
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Top 17,446

in Total Papers Citations

19

Scholarly Papers (19)

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 341 (70,855)
Citation 3

Abstract:

Liquidity, super-hedging, price manipulation

2.

Optimal Dividend Policy with Random Interest Rates

Swiss Finance Institute Research Paper No. 13-14
Number of pages: 27 Posted: 09 Apr 2013
Akdeniz University, University of Zurich, Swiss Finance Institute, University of Zurich - Swiss Banking Institute (ISB) and ETH Zürich
Downloads 282 (77,485)

Abstract:

Dividend Policy, Business Cycles, Financial Frictions

3.

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 266 (91,687)
Citation 1

Abstract:

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

4.

Resilient Price Impact of Trading and the Cost of Illiquidity

Number of pages: 29 Posted: 07 Sep 2011 Last Revised: 23 Oct 2014
Alexandre F. Roch and Halil Mete Soner
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and ETH Zürich
Downloads 249 (91,687)
Citation 4

Abstract:

liquidity risk, limit order books, asset pricing, utility maximization, resilience, price impacts

5.

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 226 (106,009)
Citation 2

Abstract:

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

6.

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 201 (121,301)
Citation 1

Abstract:

G-expectation, volatility uncertainty, weak limit theorem

7.

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 191 (125,325)

Abstract:

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

8.

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 172 (133,453)
Citation 2

Abstract:

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

9.

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 167 (132,066)
Citation 1

Abstract:

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

10.

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 159 (150,217)
Citation 2

Abstract:

transaction costs, homogenization, viscosity solutions, asymptotic expansions

11.

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 Zurich - Department of Mathematics, University of Michigan at Ann Arbor and ETH Zürich
Downloads 98 (182,366)

Abstract:

price impact, portfolio choice, asymptotics, homogenization

12.

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 Zurich, University of Michigan at Ann Arbor and ETH Zürich
Downloads 94 (217,031)
Citation 2

Abstract:

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

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 Zurich - Department of Mathematics and ETH Zürich
Downloads 32 (318,794)

Abstract:

Expected loss constraint, hedging, transaction cost, asymptotic expansion

14.

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
Carnegie Mellon University - Department of Mathematical Sciences, ETH Zürich and University of Texas at Austin
Downloads 30 (349,032)

Abstract:

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

15.

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 27 (330,567)

Abstract:

Robust hedging, Martingale Optimal Transport, Super-replication.

16.

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 (530,936)
Citation 1

Abstract:

super‐replication, liquidity, binomial model, dynamic programming

17.

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 0 (339,522)

Abstract:

Hedging, illiquid markets, portfolio tracking

18.

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
University of Michigan at Ann Arbor, ETH Zurich and ETH Zürich
Downloads 0 (257,764)

Abstract:

19.

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 0 (415,515)

Abstract:

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