Philip Protter

13 papers Journal 13
YearRankTypeTitle / Venue / Authors
2024 J jnl
Computing the probability of a financial market failure: a new measure of systemic risk.
Ann. Oper. Res.
Robert Jarrow, Philip Protter, Alejandra Quintos
2024 J jnl
Order Book Queue Hawkes Markovian Modeling.
SIAM J. Financial Math.
Philip Protter, Qianfan Wu, Shihao Yang
2015 J jnl
Liquidity Suppliers and High Frequency Trading.
SIAM J. Financial Math.
Robert Jarrow, Philip Protter
2013 J jnl
Discretely sampled variance and volatility swaps versus their continuous approximations.
Finance Stochastics
Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter
2011 J jnl
How to Detect an Asset Bubble.
SIAM J. Financial Math.
Robert Jarrow, Younes Kchia, Philip Protter
2010 J jnl
Risk-neutral compatibility with option prices.
Finance Stochastics
Jean Jacod, Philip Protter
2007 J jnl
Information reduction via level crossings in a credit risk model.
Finance Stochastics
Robert A. Jarrow, Philip Protter, A. Deniz Sezer
2004 J jnl
Liquidity risk and arbitrage pricing theory.
Finance Stochastics
Umut Çetin, Robert A. Jarrow, Philip Protter
2002 J jnl
An analysis of a least squares regression method for American option pricing.
Finance Stochastics
Emmanuelle Clement, Damien Lamberton, Philip Protter
1999 J jnl
Complete markets with discontinuous security price.
Finance Stochastics
Michael Dritschel, Philip Protter
1996 J jnl
Numerical Solution of SDE through Computer Experiments (P. E. Kloeden, E. Platen, and H. Schurz).
SIAM Rev.
Philip Protter
1995 J jnl
Random Series and Stochastic Integrals: Single and Multiple (Stanislaw Kwapien and Wojbar A. Woyczynski).
SIAM Rev.
Philip Protter
1991 J jnl
Limit Theorems for Stochastic Processes (J. Jacod and A . N. Shiryaev).
SIAM Rev.
Philip Protter