Philip Protter

Orcid: 0000-0003-1344-0403

According to our database1, Philip Protter authored at least 13 papers between 1991 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Computing the probability of a financial market failure: a new measure of systemic risk.
Ann. Oper. Res., May, 2024

Order Book Queue Hawkes Markovian Modeling.
SIAM J. Financial Math., March, 2024

2015
Liquidity Suppliers and High Frequency Trading.
SIAM J. Financial Math., 2015

2013
Discretely sampled variance and volatility swaps versus their continuous approximations.
Finance Stochastics, 2013

2011
How to Detect an Asset Bubble.
SIAM J. Financial Math., 2011

2010
Risk-neutral compatibility with option prices.
Finance Stochastics, 2010

2007
Information reduction via level crossings in a credit risk model.
Finance Stochastics, 2007

2004
Liquidity risk and arbitrage pricing theory.
Finance Stochastics, 2004

2002
An analysis of a least squares regression method for American option pricing.
Finance Stochastics, 2002

1999
Complete markets with discontinuous security price.
Finance Stochastics, 1999

1996
Numerical Solution of SDE through Computer Experiments (P. E. Kloeden, E. Platen, and H. Schurz).
SIAM Rev., 1996

1995
Random Series and Stochastic Integrals: Single and Multiple (Stanislaw Kwapien and Wojbar A. Woyczynski).
SIAM Rev., 1995

1991
Limit Theorems for Stochastic Processes (J. Jacod and A . N. Shiryaev).
SIAM Rev., 1991


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