Philip Protter
School of Operations Research and Industrial Engineering
Recent Publications Related to Finance by Philip Protter
  1. The Financial Meltdown, Matapli, 87, 61-68, 2008. Also reprinted in Gazette de la Société Mathématique de France, 119, 76-92, January, 2009.
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  2. (with Kiseop Lee) Hedging Claims with Feedback Jumps in the Price Process, Communications on Stochastic Analysis, 2, 125-143, 2008 (Special issue dedicated to Leonard Gross).
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  3. (with R. Jarrow) Forward and Futures Prices with Bubbles, submitted for publication.
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  4. (with Soumik Pal) Analysis of Strict Local Martingales via h-Tranforms, submitted for publication.
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  5. (with R. Jarrow and K. Shimbo) Asset Price Bubbles in Incomplete Markets, to appear in Mathematical Finance.
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  6. The Work of Kyosi Itô, Notices of the American Mathematics Society, 54 744-745, 2007.
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  7. (with J. Jacod) Risk Neutral Compatibility with Option Prices, to appear in Finance and Stochastics.
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  8. (with K. Shimbo) No Arbitrage and General Semimartingales, Markov Processes and Related Topics: A Festschrift for Thomas G. Kurtz, IMS Lecture Notes - Monograph Series 4, 267-283, 2008.
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  9. (with R. Jarrow and K. Shimbo) Asset Price Bubbles in Complete Markets, Advances in Mathematical Finance, Springer-Verlag, M.C. Fu et al, eds., 97-122, 2007. (Volume in honor of Dilip Madan)
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  10. (with R. Jarrow and H. Sayit) No Arbitrage without Semimartingales, to appear in the Annals of Applied Probability.
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  11. (with R. Jarrow and D. Sezer) Information Reduction via Level Crossings in a Credit Risk Model, Finance and Stochastics, 11, 195-212, 2007.
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  12. (with R. Jarrow) An Introduction to Financial Asset Pricing, Handbook in Operations Research and Management Science: Financial Engineering, 15, 13-69, J. Birge and V. Linetsky, eds., North Holland, 2007.
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  13. (with R. Jarrow) Liquidity Risk and Option Pricing Theory, Handbook in Operations Research and Management Science: Financial Engineering, 15, 727-762, J. Birge and V. Linetsky, eds., North Holland, 2007.
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  14. (with R. Jarrow) Liquidity Risk and Risk Measure Computation, to appear in Review of Futures Markets.
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  15. (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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  16. (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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  17. (with R. Jarrow) Large Traders, Hidden Arbitrage, and Complete Markets, Journal of Banking and Finance, 29, 2803-2820, 2005.
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  18. (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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  19. (with U. Cetin and R. Jarrow) Liquidity Risk and Arbitrage Pricing Theory, Finance and Stochastics 8; 311-341, 2004.
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  20. (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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  21. (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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  22. A Partial Introduction to Financial Asset Pricing Theory, Stochastic Processes and Their Applications 91; 169-203, 2001.
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  23. (with Jean Jacod and Sylvie Méléard) Martingale Representation: Formulas and Robustness, Annals of Probability 28; 1747-1780, 2000.
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  24. (with Dritschel, Michael) Complete Markets with Discontinuous Security Price, Finance and Stochastics 3; 203-214, 1999. 
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  25. (with Föllmer, H.and Shiryaev, A.N.) Quadratic Covariation and An Extension of Itô's Formula, Bernoulli 1; 149-169, 1995. .pdf
  26. (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. .pdf
  27. (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. .pdf
    Selected Recent Book Reviews
  28. 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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  29. A book review of the book Louis Bachelier's Theory of Speculation: The Origins of Modern Finance, by M.H.A. Davis and Alison Etheridge, Princeton University Press, 2006 The Bulletin of the American Mathematical Society 45; 657-660, 2008.
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    Research Book
  30. Stochastic Integration and Differential Equations: A New Approach, Springer Verlag, 1990; Second Edition, Version 2.1, 2005.

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