Philip Protter - researchr alias

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Viewing Publication 1 - 13 from 13

2024

Computing the probability of a financial market failure: a new measure of systemic riskRobert Jarrow, Philip Protter, Alejandra Quintos. anor, 336(1-2):481-503, May 2024. [doi]

Order Book Queue Hawkes Markovian ModelingPhilip Protter, Qianfan Wu, Shihao Yang. siamfm, 15(1):1-25, March 2024. [doi]

2015

Liquidity Suppliers and High Frequency TradingRobert Jarrow, Philip Protter. siamfm, 6(1):189-200, 2015. [doi]

2013

Discretely sampled variance and volatility swaps versus their continuous approximationsRobert Jarrow, Younes Kchia, Martin Larsson, Philip Protter. fs, 17(2):305-324, 2013. [doi]

2011

How to Detect an Asset BubbleRobert Jarrow, Younes Kchia, Philip Protter. siamfm, 2(1):839-865, 2011. [doi]

2010

Risk-neutral compatibility with option pricesJean Jacod, Philip Protter. fs, 14(2):285-315, 2010. [doi]

2007

Information reduction via level crossings in a credit risk modelRobert A. Jarrow, Philip Protter, A. Deniz Sezer. fs, 11(2):195-212, 2007. [doi]

2004

Liquidity risk and arbitrage pricing theoryUmut Çetin, Robert A. Jarrow, Philip Protter. fs, 8(3):311-341, 2004. [doi]

2002

An analysis of a least squares regression method for American option pricingEmmanuelle Clement, Damien Lamberton, Philip Protter. fs, 6(4):449-471, 2002. [doi]

1999

Complete markets with discontinuous security priceMichael Dritschel, Philip Protter. fs, 3(2):203-214, 1999. [doi]

1996

Numerical Solution of SDE through Computer Experiments (P. E. Kloeden, E. Platen, and H. Schurz)Philip Protter. siamrev, 38(1):177-178, 1996. [doi]

1995

Random Series and Stochastic Integrals: Single and Multiple (Stanislaw Kwapien and Wojbar A. Woyczynski)Philip Protter. siamrev, 37(1):135-136, 1995. [doi]

1991

Limit Theorems for Stochastic Processes (J. Jacod and A . N. Shiryaev)Philip Protter. siamrev, 33(2):332-333, 1991. [doi]

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