Philip Protter
Affiliations: | Purdue University, West Lafayette, IN, United States |
Area:
Statistics, MathematicsGoogle:
"Philip Protter"Children
Sign in to add trainee| Liqing Yan | grad student | 2000 | Purdue |
| Xiang Long | grad student | 2001 | Purdue |
| Kiseop Lee | grad student | 2002 | Purdue |
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Publications
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| Protter P, Qiu L, Martin JS. (2020) Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients Stochastic Processes and Their Applications. 130: 2296-2311 |
| Jarrow RA, Protter P. (2019) A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory Mathematical Finance. 29: 1157-1170 |
| Jacod J, Protter P, Crépey S, et al. (2017) Options Prices in Incomplete Markets Esaim: Proceedings. 56: 72-87 |
| Obayashi Y, Protter P, Yang S. (2016) The lifetime of a financial bubble Mathematics and Financial Economics. 1-18 |
| Jarrow R, Protter P. (2016) Positive alphas and a generalized multiple-factor asset pricing model Mathematics and Financial Economics. 10: 29-48 |
| Bilina Falafala R, Jarrow RA, Protter P. (2016) Relative asset price bubbles Annals of Finance. 1-26 |
| Kchia Y, Protter P. (2015) Progressive filtration expansions via a process, with applications to insider trading International Journal of Theoretical and Applied Finance. 18 |
| Jarrow R, Protter P. (2015) Liquidity suppliers and high frequency trading Siam Journal On Financial Mathematics. 6: 189-200 |
| Jarrow R, Protter P, Pulido S. (2015) The Effect Of Trading Futures On Short Sale Constraints Mathematical Finance. 25: 311-338 |
| Jarrow R, Kchia Y, Larsson M, et al. (2013) Discretely sampled variance and volatility swaps versus their continuous approximations Finance and Stochastics. 17: 305-324 |