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

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

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

Complete markets with discontinuous security price. - Michael Dritschel; Philip Protter (Finance Stochastics, 1999)

An analysis of a least squares regression method for American option pricing. - Emmanuelle Clement; Damien Lamberton; Philip Protter (Finance Stochastics, 2002)

Liquidity risk and arbitrage pricing theory. - Umut Çetin; Robert A. Jarrow; Philip Protter (Finance Stochastics, 2004)

Information reduction via level crossings in a credit risk model. - Robert A. Jarrow; Philip Protter; A. Deniz Sezer (Finance Stochastics, 2007)

Risk-neutral compatibility with option prices. - Jean Jacod; Philip Protter (Finance Stochastics, 2010)

How to Detect an Asset Bubble. - Robert Jarrow; Younes Kchia; Philip Protter (SIAM J. Financial Math., 2011)

Discretely sampled variance and volatility swaps versus their continuous approximations. - Robert Jarrow; Younes Kchia; Martin Larsson; Philip Protter (Finance Stochastics, 2013)

Liquidity Suppliers and High Frequency Trading. - Robert Jarrow; Philip Protter (SIAM J. Financial Math., 2015)

Order Book Queue Hawkes Markovian Modeling. - Philip Protter; Qianfan Wu; Shihao Yang 002 (SIAM J. Financial Math., 2024)

Computing the probability of a financial market failure: a new measure of systemic risk. - Robert Jarrow; Philip Protter; Alejandra Quintos (Ann. Oper. Res., 2024)