Philip Protter
School of Operations Research and Industrial Engineering
Recent Publications Related to Finance by Philip Protter
  1. (with J. Jacod) Risk Neutral Compatibility with Option Prices, Submitted for publication.
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  2. (with K. Shimbo) No Arbitrage and General Semimartingales, Submitted for publication.
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  3. (with R. Jarrow and K. Shimbo) Asset Price Bubbles in Complete Markets, to appear in the Festschrift in honor of Dilip Madan.
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  4. (with R. Jarrow and H. Sayit) No Arbitrage without Semimartingales, submitted for publication.
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  5. (with R. Jarrow and D. Sezer) Information Reduction via Level Crossings in a Credit Risk Model, to appear in Finance and Stochastics.
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  6. (with R. Jarrow) An Introduction to Financial Asset Pricing, to appear in the Elsevier Handbook of Financial Engineering.
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  7. (with R. Jarrow) Liquidity Risk and Option Pricing Theory, to appear in the Elsevier Handbook of Financial Engineering.
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  8. (with R. Jarrow) Liquidity Risk and Risk Measure Computation, to appear in Review of Futures Markets.
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  9. (with U. Cetin, R. Jarrow, and M. Warachka) Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence, Review of Financial Studies 19; 493-529, 2006.
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  10. (with R. Jarrow) Structural versus Reduced Form Models: A New Information Based Perspective, Journal of Investment Management 2; 34-43, 2004.
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  11. (with R. Jarrow) Large Traders, Hidden Arbitrage, and Complete Markets, Tp appear in 2005 in Journal of Banking and Finance.
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  12. (with R. Jarrow) A Short History of Stochastic Integration and Mathematical Finance: The Early Years, 1880-1970, In The Herman Rubin Festschrift, IMS Lecture Notes 45 ; 75-91, 2004.
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  13. (with U. Cetin and R. Jarrow) Liquidity Risk and Arbitrage Pricing Theory, Finance and Stochastics 8; 311-341, 2004.
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  14. (with U. Cetin, R. Jarrow, and Y. Yildirim) Modeling Credit Risk with Partial Information, Annals of Applied Probability 14; 1167-1178, 2004.
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  15. (with E. Clement and D. Lamberton) An Analysis of a Least Squares Regression Algorithm for American Option Pricing, Finance and Stochastics 17; 448-471, 2002.
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  16. A Partial Introduction to Financial Asset Pricing Theory, Stochastic Processes and Their Applications 91; 169-203, 2001.
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  17. (with Jean Jacod and Sylvie Meleard) Martingale Representation: Formulas and Robustness, Annals of Probability 28; 1747-1780, 2000.
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  18. (with Dritschel, Michael) Complete Markets with Discontinuous Security Price, Finance and Stochastics 3; 203-214, 1999. 
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  19. (with Föllmer, H.and Shiryaev, A.N.) Quadratic Covariation and An Extension of Ito's Formula, Bernoulli 1; 149-169, 1995.
  20. (with Ma J. and Yong J.) Solving Forward-Backward Stochastic Differential Equations Explicitly-a Four Step Scheme, Proba. Th. Rel. Fields 98; 339-359, 1994.
  21. (with Duffie D.) The Boundary Between Discrete and Continuous Time Finance: Weak Convergence of the Financial Gain Process, J. of Mathematical Finance 2; 1-15, 1992.
  22. A book review of the book Mathematics for Finance: An Introduction to Financial Engineering, by M. Capinski and T. Zastawniak, Springer-Verlag, The American Mathematical Monthly 111; 923-926, 2004.
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  23. Stochastic Integration and Differential Equations: A New Approach, Springer Verlag, 1990.

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