Philip Protter

Publication Activity (10 Years)

Years Active: 1991-2024
Publications (10 Years): 2

Top Topics

Risk Management

Top Venues

SIAM J. Financial Math.

Ann. Oper. Res.

Publications

Philip Protter, Qianfan Wu, Shihao Yang
Order Book Queue Hawkes Markovian Modeling. SIAM J. Financial Math. 15 (1) (2024)
Robert Jarrow, Philip Protter, Alejandra Quintos
Computing the probability of a financial market failure: a new measure of systemic risk. Ann. Oper. Res. 336 (1-2) (2024)
Robert Jarrow, Philip Protter
Liquidity Suppliers and High Frequency Trading. SIAM J. Financial Math. 6 (1) (2015)
Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter
Discretely sampled variance and volatility swaps versus their continuous approximations. Finance Stochastics 17 (2) (2013)
Robert Jarrow, Younes Kchia, Philip Protter
How to Detect an Asset Bubble. SIAM J. Financial Math. 2 (1) (2011)
Jean Jacod, Philip Protter
Risk-neutral compatibility with option prices. Finance Stochastics 14 (2) (2010)
Robert A. Jarrow, Philip Protter, A. Deniz Sezer
Information reduction via level crossings in a credit risk model. Finance Stochastics 11 (2) (2007)
Umut Çetin, Robert A. Jarrow, Philip Protter
Liquidity risk and arbitrage pricing theory. Finance Stochastics 8 (3) (2004)
Emmanuelle Clement, Damien Lamberton, Philip Protter
An analysis of a least squares regression method for American option pricing. Finance Stochastics 6 (4) (2002)
Michael Dritschel, Philip Protter
Complete markets with discontinuous security price. Finance Stochastics 3 (2) (1999)
Philip Protter
Numerical Solution of SDE through Computer Experiments (P. E. Kloeden, E. Platen, and H. Schurz). SIAM Rev. 38 (1) (1996)
Philip Protter
Random Series and Stochastic Integrals: Single and Multiple (Stanislaw Kwapien and Wojbar A. Woyczynski). SIAM Rev. 37 (1) (1995)
Philip Protter
Limit Theorems for Stochastic Processes (J. Jacod and A . N. Shiryaev). SIAM Rev. 33 (2) (1991)