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
Yildiray YildirimBaruch CollegeVerified email at baruch.cuny.edu
soledad torresAcademica CIMFAV, Facultad de Ingeniería Universidad de ValparaísoVerified email at uv.cl
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	9119	2005
Probability essentials J Jacod, P Protter Springer Science & Business Media, 2004	1039	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	914	1994
Weak limit theorems for stochastic integrals and stochastic differential equations TG Kurtz, P Protter The Annals of Probability, 1035-1070, 1991	710	1991
Discretization of processes J Jacod, P Protter Springer Science & Business Media, 2011	613	2011
Liquidity risk and arbitrage pricing theory U Cetin, RA Jarrow, P Protter Handbook of Quantitative Finance and Risk Management, 1007-1024, 2010	533	2010
Asymptotic error distributions for the Euler method for stochastic differential equations J Jacod, P Protter Annals of Probability, 267-307, 1998	509	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	472	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	445	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	409	2012
The Euler scheme for Lévy driven stochastic differential equations P Protter, D Talay The Annals of Probability, 393-423, 1997	350	1997
Semimartingales and Markov processes E Çinlar, J Jacod, P Protter, MJ Sharpe Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 54 (2), 161-219, 1980	271	1980
Asset price bubbles in incomplete markets RA Jarrow, P Protter, K Shimbo Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010	270	2010
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	242	1996
Modeling credit risk with partial information U Cetin, R Jarrow, P Protter, Y Yıldırım	239	2004
Numerical method for backward stochastic differential equations J Ma, P Protter, J San Martín, S Torres Annals of Applied Probability, 302-316, 2002	236	2002
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	229	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
Quadratic covariation and an extension of Itô's formula H Föllmer, P Protter, AN Shiryayev Bernoulli, 149-169, 1995	191	1995
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹ D Duffie, P Protter Mathematical finance 2 (1), 1-15, 1992	187	1992

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