Philip Protter

According to our database, Philip Protter authored at least 12 papers between 1991 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Order Book Queue Hawkes Markovian Modeling.

Philip Protter, Qianfan Wu, Shihao Yang

SIAM J. Financial Math., March, 2024

2015

Liquidity Suppliers and High Frequency Trading.

Robert Jarrow, Philip Protter

SIAM J. Financial Math., 2015

2013

Discretely sampled variance and volatility swaps versus their continuous approximations.

Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter

Finance Stochastics, 2013

2011

How to Detect an Asset Bubble.

Robert Jarrow, Younes Kchia, Philip Protter

SIAM J. Financial Math., 2011

2010

Risk-neutral compatibility with option prices.

Jean Jacod, Philip Protter

Finance Stochastics, 2010

2007

Information reduction via level crossings in a credit risk model.

Robert A. Jarrow, Philip Protter, A. Deniz Sezer

Finance Stochastics, 2007

2004

Liquidity risk and arbitrage pricing theory.

Umut Çetin, Robert A. Jarrow, Philip Protter

Finance Stochastics, 2004

2002

An analysis of a least squares regression method for American option pricing.

Emmanuelle Clement, Damien Lamberton, Philip Protter

Finance Stochastics, 2002

1999

Complete markets with discontinuous security price.

Michael Dritschel, Philip Protter

Finance Stochastics, 1999

1996

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

Philip Protter

SIAM Rev., 1996

1995

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

Philip Protter

SIAM Rev., 1995

1991

Limit Theorems for Stochastic Processes (J. Jacod and A . N. Shiryaev).

Philip Protter

SIAM Rev., 1991