Faculty & Staff

Hasanjan Sayit

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

"SIMPLE ARBITRAGE IN MULTI-ASSET MARKETS". Submitted. (pdf form)
(With Erhan Bayraktar) "ON THE EXISTENCE OF CONSISTENT PRICE SYSTEMS," submitted. (pdf form)
"LOCALLY STICKY PROCESSES: ARBITRAGE UNDER TRANSACTION COSTS." Preprint.
"NO ARBITRAGE UNDER TRANSACTION COSTS AND STICKINESS," submitted.

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