Philip Protter

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Thomas G. KurtzProfessor Emeritus, Mathematics and Statistics, University of Wisconsin-MadisoVerified email at math.wisc.edu
Umut CetinProfessor in Statistics, LSEVerified email at lse.ac.uk
Jaime San MartinUniversidad de ChileVerified email at dim.uchile.cl
Mitch WarachkaC. Larry Hoag Chair in Real Estate, Professor of Finance, Chapman UniversityVerified email at chapman.edu
Pierre Del MoralResearch Director, INRIA Bordeaux - Sud OuestVerified email at inria.fr
soledad torresAcademica CIMFAV, Facultad de Ingeniería Universidad de ValparaísoVerified email at uv.cl
Yildiray YildirimBaruch CollegeVerified email at baruch.cuny.edu
Soumik PalUniversity of Washington SeattleVerified email at uw.edu
Shihao YangAssistant Professor, School of Industrial & Systems Engineering, Georgia Institute of TechnologyVerified email at isye.gatech.edu
Martin BarlowUniversity of British ColumbiaVerified email at math.ubc.ca
Alexandre RochESG UQAM, Finance DepartmentVerified email at uqam.ca
Jorge A. LeónProfesor de matematicasVerified email at ctrl.cinvestav.mx
Sergio PulidoAssistant Professor at the ENSIIE / LaMME EvryVerified email at ensiie.fr
Jianfeng ZhangDepartment of Mathematics, University of Southern CaliforniaVerified email at usc.edu
Colm O'CinneideQS Investors, NYCVerified email at qsinvestors.com
David NualartProfessor, The University of KansasVerified email at math.ku.edu
Darrell DuffieStanford UniversityVerified email at stanford.edu

Philip Protter

Professor of Statistics, Columbia University

Verified email at columbia.edu

Stochastic Processes Mathematical Finance


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Stochastic differential equations PE Protter, PE Protter Stochastic integration and differential equations, 249-361, 2005	9325	2005
Probability essentials J Jacod, P Protter Springer Science & Business Media, 2004	1063	2004
Solving forward-backward stochastic differential equations explicitly—a four step scheme J Ma, P Protter, J Yong Probability theory and related fields 98 (3), 339-359, 1994	945	1994
Weak limit theorems for stochastic integrals and stochastic differential equations TG Kurtz, P Protter The Annals of Probability, 1035-1070, 1991	717	1991
Discretization of processes J Jacod Springer, 2012	639	2012
Liquidity risk and arbitrage pricing theory U Cetin, RA Jarrow, P Protter Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010	540	2010
Asymptotic error distributions for the Euler method for stochastic differential equations J Jacod, P Protter The Annals of Probability 26 (1), 267-307, 1998	520	1998
An analysis of a least squares regression method for American option pricing E Clément, D Lamberton, P Protter Finance and stochastics 6, 449-471, 2002	484	2002
Asymptotic behaviour of some interacting particle systems; McKean-Vlasov and Boltzmann models C Graham, TG Kurtz, S Méléard, PE Protter, M Pulvirenti, D Talay, ... Probabilistic Models for Nonlinear Partial Differential Equations: Lectures …, 1996	466	1996
Structural versus Reduced‐Form Models: A New Information‐Based Perspective RA Jarrow, P Protter The Credit Market Handbook: Advanced Modeling Issues, 118-131, 2012	416	2012
The Euler scheme for Lévy driven stochastic differential equations P Protter, D Talay The Annals of Probability 25 (1), 393-423, 1997	362	1997
Asset price bubbles in incomplete markets RA Jarrow, P Protter, K Shimbo Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010	283	2010
Semimartingales and Markov processes E Çinlar, J Jacod, P Protter, MJ Sharpe Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 54 (2), 161-219, 1980	269	1980
Numerical methods for forward-backward stochastic differential equations J Douglas Jr, J Ma, P Protter The Annals of Applied Probability 6 (3), 940-968, 1996	248	1996
Numberical method for backward stochastic differential equations J Ma, P Protter, J San Martín, S Torres The Annals of Applied Probability 12 (1), 302-316, 2002	241	2002
Modeling credit risk with partial information U Cetin, R Jarrow, P Protter, Y Yıldırım	238	2004
Pricing options in an extended Black Scholes economy with illiquidity: Theory and empirical evidence U Cetin, R Jarrow, P Protter, M Warachka The Review of Financial Studies 19 (2), 493-529, 2006	235	2006
The Monte-Carlo method for filtering with discrete-timeobservations P Del Moral, J Jacod, P Protter Cornell University Operations Research and Industrial Engineering, 2001	192	2001
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹ D Duffie, P Protter Mathematical finance 2 (1), 1-15, 1992	188	1992
A dysfunctional role of high frequency trading in electronic markets RA Jarrow, P Protter International Journal of Theoretical and Applied Finance 15 (03), 1250022, 2012	182	2012

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