Faculty & Staff
Hasanjan Sayit
Publications
Peer-Reviewed (Refereed) Journal Articles
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(With Wayne Nilsen) "NO ARBITRAGE IN MARKETS WITH BOUNCES AND SINKS", To appear in International Review of Applied Financial Issues and Economics.
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(With Razvan Maris and Eric Mbakop) "CONSISTENT PRICE SYSTEMS FOR BOUNDED PROCESSES". Communications on Stochastic Analysis, (2011), 15(4), 616-622. (pdf form)
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(With Balgobin Nandram) "A BAYESIAN ANALYSIS OF SMALL AREA PROBABILITIES UNDER A CONSTRAINT", Survey Methodology, 37(2), 137-152. (pdf form)
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(With Frederi Viens) "ARBITRAGE-FREE MODELS IN MARKETS WITH TRANSACTION COSTS". Electronic Communications in Probability, (2011), Vol 16, 614-622.. (pdf form)
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(With Erhan Bayraktar) "NO ARBITRAGE CONDITIONS FOR SIMPLE TRADING STRATEGIES," Annals of Finance, (2010), 6(1), 147-156. (pdf form)
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(With Erhan Bayraktar) "ON THE STICKINESS PROPERTY," Quantitative Finance, (2010), 10 (10), 1109-1112. (pdf form)
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(With Robert Jarrow and Philip Protter) "NO ARBITRAGE WITHOUT SEMIMARTINGALES," The Annals of Applied Probability, (2009), 19(2), 596-616.(pdf form)
