Curriculum Vitæ for Philip Protter
EDUCATION

B.A. Yale University, 1971

Ph.D. University California, San Diego, 1975
PROFESSIONAL EXPERIENCE

Assistant Professor of Mathematics, Duke University 197578

Assistant Professor of Mathematics & Statistics, Purdue University 197881

Associate Professor of Mathematics & Statistics, Purdue University 198288

Professor of Mathematics & Statistics, Purdue University 1988  2002

Director of Financial Engineering at Cornell, 2000 – 2007

Professor of Operations Research, Cornell University 2000 – 2010

Professor of Statistics, Columbia University, 2011  present
PROFESSIONAL ACTIVITIES

Visiting Member, Institute for Advanced Study, 197778

Invited Visitor, University of Rennes, Frances, 198182

Invited Visitor, University of Provence (Marseille, France), MayJune 1984

Invited Course, Third Chilean Winter School in Probability and Statistics, Santiago de Chile, July 1984

Invited Visitor, University of Provence (Marseille, France), MayJune 1985

Invited Course, University of Perugia (Italy) Summer School, August 1985

Visiting Professor, University of Wisconsin, Madison, 198586

Visiting Professor, University of Rouen (Rouen, France), 198788

Invited Visitor, University of Strasbourg (France), March 1988

Invited Course, University of Perugia (Italy), August 1988

Invited Visitor, University of Provence (Marseille, France), June 1989

Invited Visitor, INRIA (SophiaAntipolis, France), July 1990

Invited Visitor, University of Bonn, May 1991

Invited Course, 14th Annual Finnish Summer School in Probability (Lahtia, Finland), June 1991

Invited Visitor, University of Rome (Italy), June/July 1991

Invited Visitor, INRIA (SophiaAntipolis, France), July/August 1991

Invited Visitor, University of Paris I, June 1993

Invited Visitor, INRIA (SophiaAntipolis, France), July 1993

Invited Visitor, University of Warwick, 1 week in March 1994

Invited Visitor, INRIA (SophiaAntipolis, France), July 1994

Invited Visitor, University of Paris VI, Fall 1994

Invited Visitor, INRIA (SophiaAntipolis, France), MayJuly 1995

Invited Visitor, Humboldt University (Berlin), June 1996

Invited Visitor, University of Rennes (France), May/July 1996

Invited Visitor, Humboldt University (Berlin), June 1996

Invited Visitor, University of Nancy 1 (Nancy, France), July 1997

Invited Course, University of Perugia (Italy) Summer School, August 1997

Invited Course, ETH (Zurich), May/June 1998

Invited Visitor, University of Rome I, August 1998

Invited Visitor, INRIA (SophiaAntipolis, France), Fall 1998

Invited Visitor, University of Paris X, June 1999

Invited Visitor, INRIA (SophiaAntipolis), July 1999

Invited Visitor, University of MarnelaVallée, May 2000

Invited Visitor, University of Paris VI, June 2000

Invited Visitor, University of Nice (France), June 2001

Invited Visitor, University of Paris VI, June 2003

Invited Visitor, University of Nice (France), December 2003

Invited Visitor, University of Tokyo, Second half of November, 2004

Invited Visitor, INRIA (SophiaAntipolis), January to July, 2005

Invited Visitor, University of L'Aquila, June/July, 2006

Invited Visitor, University of Paris IX (Dauphine), September—December, 2007

Invited Visitor, Columbia University, May, 2009

Invited Visitor, University of Nice, France, JulyAugust, 2009

Invited Visitor, University of Lyon, France, January 2010

Invited Visitor, INRIA (SophiaAntipolis), AprilMay, 2012
GRANTS

Summer Research

Other Grants

NSF Postdoctoral Research Fellowship (declined), 197980

NSFCNRS Exchange of Scientists Program awardee (to Paris), 197980

Purdue XL International Travel Grant ($750), Fall 1988

John D. and Catherine T. MacArthur Foundation award for 199091

U.S.Chile Scientific Cooperation Purdue XL International Travel Grant ($1,130), Summer 1991

NSFINRIA Grant ($60,000) 19942000

Purdue Global Initiative Grant ($2,500), 1996

Purdue XL International Travel Grant ($1,050), August 1996

NSF Grant, ($31,100) U.S.  Argentina Program: Latin American Congress on Statistics and Probability; Cordoba, Argentina, September 2125, 1998

NSF Grant, Graduate and Postdoctoral Training in Probability Theory and its Applications

NSF Grant to organize a meeting, 2006

NSA Grant to organize a meeting, 2006

FulbrightDe Tocqueville Distinguished Chair, taken in Paris, France, Fall, 2007
ORGANIZATIONAL ACTIVITY

A.M.S. regional meeting in Chicago; Spring, 1985 (Special session).

I.M.S. regional meeting at Purdue; Summer, 1986 (Special session).

A.M.S. winter meeting in Louisville; January, 1992 (Special session).

A.M.S. winter meeting in Cincinnati; January 1993 (Special session).

Stochastic Numerics Conference (sole organizer); Purdue, March 24, 1995.

Scientific Committee of the Sixth Latin American Congress of Probability and Statistics Viña del Mar, Chile; November 2025, 1995.

Coorganizer of Stochastics Numerics Conference 2, SophiaAntipolis, France, February 29March 2, 1996.

Coorganizer of Stochastics Numerics Conference 3 (Princeton, March 1922, 1997).

Scientific Committee of the 24th Conference on Stochastic Processes and Their Applications (June 1620, 1997, in Viña del Mar, Chile).

Coorganizer of Stochastics Numerics Conference 4, June 14  16, 1999; Paris

Scientific Committee, Monte Carlo 2000, July 3  5, 2000; Monaco

Invited Session: AAAS Annual Meeting; February 15  20, San Francisco

Invited Session: Fourth International Symposium on Probability and its Applications (IMS meeting); July 31 – August 2, 2002, Banff, Canada

Sole organizer of Cornell Finance Seminar, March 26 and 27, 2004

CoOrganizer of BIRS Session on Mathematical Finance, June 5—10, 2004

CoOrganizer of the CCCP Conference on Finance, New York City, April 28—29, 2006

Scientific Committee and Session Organizer, 31st Conference on Stochastic Processes and their Applications Paris, July 17  21, 2006

Sole organizer of Cornell Liquidity Risk Meeting,, June 2728, 2008

Coorganizer of the special focus group on Mathematical Finance of the IMS

Coorganizer (with Xin Guo and Tze Lai) of the Workshop on Probability and Statistics in Finance, June 23, 2011, at Columbia University

Coorganizer (with Xin Guo and Tze Lai) of the Workshop on Probability and Statistics in Finance, June, 2012, at U.C., Berkeley
PROFESSIONAL SOCIETIES

Institute of Mathematical Statistics

American Mathematical Society (Member of Editorial Board of Book Reviews for the Bulletin of the AMS, 2000 – present)

American Association for the Advancement of Science (Mathematics Section Board Member, 2006 – present)

Bernoulli Society for Mathematical Statistics & Probability

Association for Women in Mathematics
RESEARCH INTERESTS

Stochastic Finance Theory

Stochastic Analysis and Its Applications

Stochastic Numerical Analysis

Filtering Theory

Weak convergence of Stochastic Processes

Markov Process Theory

Statistics of Stochastic Processes
EDITORIAL WORK

Editor in Chief, Stochastic Processes and their Applications, 2002 – April, 2006

Associate Editor, Stochastic Processes and their Applications, 1996—2002 and April 2006 – 2009

Associate Editor, Revista de Matemáticas Aplicadas, 1991 present

Associate Editor, Annals of Probability, 19881990 and 2000  2002

Associate Editor, Infinite Dimensional Analysis and Quantum Probability, 19972012

Associate Editor, Annals of Applied Probability, 2000 – 2002, 2010  present

Associate Editor, Finance and Stochastics, 2000  2012

Associate Editor, Mathematical Finance, 2000  present

Associate Editor, Probability Surveys, 2005 – present

Associate Editor, Sankhya, Series A, 2006 – present

Associate Editor, Bernoulli, 2010 – 2012

Associate Editor, SIAM Journal on Financial Mathematics, 2009 – present

Associate Editor, American Journal of Algorithms and Computation, 2012  present

Bulletin of the AMS Book Reviews Editorial Board, 2001 – present

SIAM Classics Editorial Board, 2006  present
HONORS
1. Fellow of the Institute for Mathematical Statistics
2. Visiting Member, Institute for Advanced Study, 197778
3. NSFCNRS Exchange of Scientists Program awardee (to Paris), 197980
4. John D. and Catherine T. MacArthur Foundation award, 199091
5. Best Teacher, Cornell, ORIE, 2001
6. Best Teacher, Cornell, ORIE, 2005
7. R. Von Mises Lecture, Humboldt Universität, Germany (Inaugural Lecture), June 7, 2007
8. FulbrightDe Tocqueville Distinguished Chair, Fall, 2007
9. Bullitt Lecture, University of Louisville, KY, April 3, 2008
10. Invited mini course, Columbia University, May 28June 3, 2009.
11. Lundis de la Connaissance, Nice, France, July 6, 2009
12. Invited mini course, 5^{th} Annual Graduate Students in Probability Conference, Atlanta, April 29May 1, 2011.
13. Karl Menger Lecturer, Illinois Institute of Technology, April 2323, 2013
14. IMS Public Lecture, National University of Singapore, Singapore, June 13, 2013
PUBLICATIONS

On the Existence, Uniqueness, Convergence, and Explosions of Solutions of Systems of Stochastic Integral Equations. Annals of Probability5; 243261, 1977.

Stability of the Classification of Stopping Times. Z. für Wahrscheinlichkeitstheorie und. verw. Geb. 37; 201209, 1977.

Rightcontinuous Solutions of Systems of Stochastic Integral Equations. J. of Multivariate Analysis 7; 204214, 1977.

Markov Differentials in Integral Equations. Second Vilnius Conference on Probability Theory and Mathematical Statistics 3; 179180, 1977.

Markov Solutions of Stochastic Differential Equations. Z. für Wahrscheinlichkeitstheorie und. verw. Geb. 41; 3958, 1977.

H^{p} Stability of Solutions of Stochastic Differential Equations. Z. für Wahrscheinlichkeitstheorie und. verw. Geb. 44; 337352, 1978.

A Comparison of Stochastic Integrals. Annals of Probability 7; 176189, 1979.

(with Sharpe M.) Martingales with Given Absolute Value. Annals of Probability7; 10561058, 1979.

An Extension of Kazamaki's Results on BMO Differentials. Annals of Probability8; 11071118, 1980.

Stochastic Differential Equations with Jump Reflection at the Boundary. Stochastics 3; 193201, 1980.

(with Cinlar E., Jacod J. and Sharpe M.) Semimartingales and Markov Processes. Z. für Wahrscheinlichkeitstheorie und verw. Geb. 54; 161220,1980.

(with Davis B.) Filtering with Singular Cumulative Signals. Purdue Technical Report #817; 1981. (Unpublished).

(with Jacod J.) Quelques Remarques Sur un Nouveau Type d'equations Differentielles Stochastiques. Séminaire de Probabilités XVI, Springer Lecture Notes in Math. 920; 447458, 1982.

Stochastic Differential Equations with Feedback in the Differentials. Séminaire de Probabilités XVI, Springer Lecture Notes in Math. 920; 459468, 1982.

Point Process Differentials with Evolving Intensities. In Nonlinear Stochastic Problems (Edited by R. S. Bucy and J. M. F. Moura); pp. 467472, 1983.

(with Sznitman A.) An Equation Involving Local Time. Séminaire de Probabilités XVII, Springer Lecture Notes in Math. 986; 6266, 1983.

Volterra Equations Driven by Semimartingales. Annals of Probability13; 519530, 1985.

Approximations of Solutions of Stochastic Differential Equations Driven by Semimartingales. Annals of Probability 13; 716743, 1985.

Semimartingales and Stochastic Differential Equations. A course given at the Third Chilean Winter School of Probability and Statistics in Santiago de Chile, July 1984. Purdue Technical Report #8525.

Stochastic Integration Without Tears, (with Apology to P. A. Meyer). Stochastics16; 295325, 1986.

Semimartingales and Measure Preserving Flows. Annals of the Institut Henri Poincaré 22; 127147, 1986.

Reversing Gaussian Semimartingales Without Gauss. Stochastics 20; 3949, 1987.

(with Pardoux E.) A TwoSided Stochastic Integral and Its Calculus. Probability Theory and Related Fields 76; 1549, 1987.

(with Jacod J.) Time Reversal on Lévy Processes. Annals of Probability16; 620641, 1988.

A Connection Between the Expansion of Filtrations and Girsanov's Theorem. Stochastic Partial Differential Equations and Applications II, Springer Lecture Notes in Math. 1390; 221224, 1989.

Stochastic Integration and Differential Equations: A New Approach, Springer Verlag, 1990.

(with Pardoux E.) Volterra Equations with Anticipating Kernels; Annals of Probability 18; 16351655, 1990.

(with Barlow M.T.) On Convergence of Semimartingales, Séminaire de Probabilités XXIV, Springer Lect. Notes in Math. 1426; 188193, 1990.

Weak Convergence in Analysis, in White Noise Analysis , World Scientific; 331336, 1990.

(with Kurtz T.G.) WongZakai Corrections, Random Evolutions, and Numerical Schemes for SDEs, in Stochastic Analysis , Academic Press; 331346, 1991.

(with Kurtz T.G.) Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations, Annals of Probability 19; 10351070, 1991.

(with Kurtz T.G.) Characterizing the Weak Convergence of Stochastic Integrals, in Stochastic Analysis (M. Barlow and N. Bingham, eds.); 255259, 1991.

(with Jacod J.) Une Remarque sur les Equations Differentielles Stochastiques à Solutions Markoviennes, Séminaire de Probabilités XXV, Springer Lect. Notes in Math. 1485; 138139, 1991.

(with Duffie D.) The Boundary Between Discrete and Continuous Time Finance: Weak Convergence of the Financial Gain Process, J. of Mathematical Finance 2; 115, 1992.

(with Carlen E.) On Semimartingale Decompositions of Convex Functions of Semimartingales, Illinois J. Math, 36; 420427, 1992.

(with Jacod J.) A Remark on the Weak Convergence of Processes in the Skorohod Topology, J. Theoretical Probability 6; 463472, 1993.

(with San Martin J.) General Change of Variables Formulas for Semimartingales in One and Finite Dimensions, Proba. Th. Rel. Fields 97; 363381, 1993.

(with Léon, J.) Some Formulas for Anticipative Girsanov Transformations, in Chaos Expansion, Multiple WienerItô Integrals and Their Applications, (C. Houdre and V. PerezAbreu, eds.) CRC press (pp. 267292), 1994.

(with Ma J. and Yong J.) Solving ForwardBackward Stochastic Differential Equations Explicitlya Four Step Scheme, Proba. Th. Rel. Fields 98; 339359, 1994.

(with A. KohatsuHiga) The Euler Scheme for SDEs driven by Semimartingales, in Stochastic Analysis on Infinite Dimensional Spaces, (H. Kunita and H.H. Kuo, eds.), Pitman, 141151, 1994.

(with Ahn H.) A Remark on Stochastic Integration, in Séminaire de Probabilités XXVIII, Springer Lect. Notes in Math 1583; 312315, 1994.

(with Kurtz T.G. and Pardoux E.) Stratonovich Stochastic Differential Equations Driven by General Semimartingales, Annales Inst. H. Poincaré 31; 351377, 1995.

(with Föllmer, H.and Shiryaev, A.N.) Quadratic Covariation and An Extension of Itô's Formula, Bernoulli 1; 149169, 1995.

(with O'Cinneide C.) An Elementary Approach to Naturality, Predictability, and the Fundamental Theorem of Local Martingales, Purdue Statistics Department Technical Report

(with D. Nualart) Skorohod integral for a product of two stochastic processes, J. Theoretical Probability, 9 10291037, 1996.

(with J. Douglas, Jr. and J. Ma) Numerical methods for forwardbackward stochastic differential equations, Ann. Applied Proba 6; 940968, 1996.

(with D. Talay) The Euler scheme for Lévy driven stochastic differential equations, Ann. Proba 25; 393423, 1997.

(with J. Ma and J. San Martin) Anticipating stochastic integrals for martingales,Bernoulli 4; 81  114, 1998.

(with Tom Kurtz) Limit theorems for solutions of stochastic equations I, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;141, 1996.

(with Tom Kurtz) Limit theorems for solutions of stochastic equations II, CIME School in Probability, Springer Lecture Notes in Mathematics, 1627;197285, 1996.

(with Jacod, Jean) Asymptotic Error Distributions for the Euler Method for Stochastic Differential Equations, Ann. Proba 26; 267307, 1998.

(with Ma, J. and San Martin, J.) Anticipating stochastic integrals for martingales, Bernoulli 4; 81114, 1998.

(with Dritschel, Michael) Complete Markets with Discontinuous Security Price, Finance and Stochastics 3; 203214, 1999.

(with H. Föllmer) An extension of Itô's formula in n dimensions, Probability Theory and Related Fields 116; 1  20, 2000.

(with Jean Jacod and Sylvie Méléard) Martingale Representation: Formulas and Robustness, Annals of Probability 28; 1747  1780, 2000.

(with Jean Jacod) Probability Essentials, Springer Verlag, 2000.

(with Del Moral, Pierre and Jacod, Jean) The Monte Carlo method for filtering with discrete time observations, Probability Theory and Related Fields 120; 346  368, 2001.

A Partial Introduction to Financial Asset Pricing Theory, Stochastic Processes and Their Applications 91; 169  203, 2001.

(with J. Ma and J. Zhang) Explicit Form and Path Regularity of Martingale Representations, in Levy Processes  Theory and Applications, Birkhauser (T. Mikosch and S. Resnick, editors), 337  360, 2001.

(with C. O'Cinneide) An Elementary Approach to Naturality, Predictability, and the Fundamental Theorem of Local Martingales, Stochastic Models, 17; 449—458, 2001.

(with J. Ma, J. San Martin, and S. Torres) Numerical Methods for Backward Stochastic Differential Equations, Annals of Applied Probability, 12; 302—316, 2002.

(with E. Clément and D. Lamberton) An Analysis of a Least Squares Regression Algorithm for American Option Pricing, Finance and Stochastics, 17; 449—471, 2002.

Editorial: A New Prize in Honor of Kiyosi Itô, Stochastic Processes and their Applications, 108; 151—153, 2003.

(with U. Çetin, R. Jarrow, and Y. Yildirim), Modeling credit risk with partial information, Annals of Applied Probability, 14; 1167—1178, 2004.

(with U. Çetin and R. Jarrow), Liquidity Risk and Arbitrage Pricing Theory, Finance and Stochastics, 8; 311—341, 2004.

(with J. Jacod, T. Kurtz, and S. Méléard), The approximate Euler method for Lévy driven stochastic differential equations, Annales Institut Henri Poincaré 41, 523—528, 2005; Special issue dedicated to the memory of P.A. Meyer.

(with R. Jarrow), A Short History of Stochastic Integration and Mathematical Finance: The Early Years, 18801970, The Herman Rubin Festschrift, IMS Lecture Notes, 45; 75—91, 2004 (ed. Anirban Das Gupta)

(with R. Jarrow), Structural versus Reduced Form Models: A New Information Based Perspective, Journal of Investment Management, 2; 34—43, 2004.

(with R. Jarrow), Large Traders, Hidden Arbitrage, and Complete Markets, Journal of Banking and Finance, 29; 2803—2820, 2005. .

(with R. Jarrow) Liquidity Risk and Risk Measure Computation, Review of Futures Markets, 14: 2739, 2005.

(with U. Çetin, R. Jarrow, and M. Warachka), Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence, Review of Financial Studies, 2006 19: 493529

(with R. Jarrow) Liquidity Risk and Option Pricing Theory, in Handbook in Operation Research and Management Science: Financial Engineering, 15, 727—762, J. Birge and V. Linetsky, eds., North Holland, 2007. .

(with R. Jarrow) An Introduction to Financial Asset Pricing Theory, in Handbook in Operation Research and Management Science: Financial Engineering, 15, 13—69, J. Birge and V. Linetsky, eds., North Holland, 2007.

(with R. Jarrow and D. Sezer) Information Reduction via Level Crossings in a Credit Risk Model, Finance and Stochastics, 2007 11: 195212.

(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

(with H. Sayit and R. Jarrow) No Arbitrage Without Semimartingales, Annals of Applied Probability, 19, 596616

(with R. Jarrow and K. Shimbo) Asset Price Bubbles in Complete Markets, in Advances in Mathematical Finance, SpringerVerlag, M.C. Fu et al, editors, 97—122, 2007.

(with J. Jacod) Risk Neutral Compatibility with Option Prices, Finance and Stochastics. 14, 285315, 2010.

The Work of Kyosi Itô, Notices of the American Mathematics Society, 54, 744—745, 2007.

(with R. Jarrow and K. Shimbo) Asset Price Bubbles in Incomplete Markets, Mathematical Finance 20, 145185, 2010.

(with S. Pal) Analysis of strict local martingales via htransforms, Stochastic Processes and
their Applications, 120, 1424 – 1443, 2010.

(with K. Lee) Hedging claims with feedback jumps in the price process, Communications on Stochastic Analysis, 2, issue 1, 2008 (Special issue dedicated to Leonard Gross).

(with R. Jarrow) Forward and Futures Prices with Bubbles, International Journal of
Theoretical and Applied Finance, 12, 901924, 2009.

(with N. Diener) Valuation of Swing Options Using Reflected Backward Stochastic Differential Equations, Unpublished preprint.

The Financial Meltdown, Matapli, 87, 61—68, 2008; also reprinted in the Gazette of the Société des
Mathématiques de France, 119, 7682, 2009.

(with R. Jarrow) Positive Alphas, Abnormal Performance, and Illusory Arbitrage, Mathematical Finance,
23, No. 1, 3956, 2013.

(with N. Diener and R. Jarrow) Relating Top Down with Bottom Up Approaches in the Evaluation of ABS
with Large Collateral Pools, International Journal of Theoretical and Applied Finance, 15, No. 2, 2012.

(with H. Föllmer) Local martingales and filtration shrinkage, in Rencontres Probabilistes à l’occasion du 60ème anniversaire de Marc Yor, ESAIM Probability and Statistics, 14, 825838, 2011.

(with F. Diener M. Diener, O. Khodr) Mathematical Models of Microlending, Proceedings of the 16th
Mathematical Conference of Bangladesh Mathematical Society 1719 December, 2009, Dhaka, Bangladesh

(with S. Janson and S. M’Baye) Absolutely Continuous Compensators,
International Journal of Theoretical & Applied Finance, 14, 335351, 2011.

(with R. Jarrow and A. Roch) A Liquidity Based Model for Asset Price Bubbles, Quantitative Finance, 12,
No. 1, 13391349, 2012.

(with M. Blais) An Analysis of the Supply Curve for Liquidity Risk Through Book Data,
International Journal of Theoretical and Applied Finance, 13, 821838, 2010.

(with M. Blais) Signing Trades and An Evaluation of the LeeReady Algorithm, Annals of Finance, 8, No.
1, 113, 2012.

(with R. Jarrow and Y. Kchia) How to Detect an Asset Bubble in Real Time,
SIAM Journal on Financial Mathematics, 2, 835869, 2011.

(with R. Jarrow) Foreign Currency Bubbles, Review of Derivatives Research, 14, 6783, 2011.

(with R. Jarrow, Y. Kchia and M. Larsson) Discretely Sampled Variance and Volatility Swaps versus their
Continuous Approximations, Finance and Stochastics, 17, Issue 2 (April), 305324, 2013.

(with R. Jarrow) A Dysfunctional Role of High Frequency Trading in Electronic Markets, International J.
of Theoretical and Applied Finance, 15, No. 3, 2012.

(with R. Jarrow) Investigating Bubble Trouble, Credit Flux, April, 2011; 1617.

(with R. Jarrow and Y. Kchia) Is There a Bubble in LinkedIn’s Stock Price? Journal of
Portfolio Management, 38, 125130, 2011.

(with Y. Kchia and M. Larsson) Linking Progressive and Initial Filtration Expansions, Chapter 21 in
Malliavin Calculus and Stochastic Analysis, Springer Proceedings in Mathematics and Statistics, Volume
34, 469487, 2013.

(with R. Jarrow and S. Pulido) The Effect of Trading Futures on Short Sales Constraints, Published online
in Mathematical Finance, 2012 ( DOI: 10.1111/mafi.12013)

(with R. Jarrow) The Martingale Theory of Bubbles: Implications for the Valuation of Derivatives and
Detecting Bubbles, The Financial Crisis: Debating the Origins, Outcomes, and Lessons of the Greatest
Economic Event of Our Lifetime, ed., Arthur Berd, Risk Publications, 429448, 2010.

(with R. Jarrow and Y. Kchia) Is Gold in a Bubble? Bloomberg’s Risk Newsletter, October 26, 2011; pp. 89.

(with R. Jarrow) Discrete versus Continuous Time Models: Local Martingales and Singular Processes in
Asset Pricing Theory, Finance Research Letters, 9, No. 2, 5862, 2012.

A Mathematical Theory of Financial Bubbles, ParisPrinceton Lecture Notes in
Mathematical Finance, Springer Lecture Notes in Mathematics 2081, 1108, 2013

(with Y. Kchia) On Progressive Filtration Expansions with a Process; Applications to Insider Trading,
submitted for publication, 2013

(with R. Jarrow) Relative Asset Price Bubbles, submitted for publication to Mathematical Finance, 2013

Strict Local Martingales with Jumps, submitted for publication, 2013
BOOK REVIEWS:

Stochastic Integration and Generalized Martingales, a book review of the above book by A.U. Kussmaul. Bulletin of the American Mathematical Society. 84; (1978), 13461351.

Stochastic Differential Equations on Manifolds, a book review of the above book by K. D. Elworthy. The American Scientist (1984).

Semimartingales and Their Stochastic Calculus on Manifolds, a book review of the above book by Laurent Schwartz. The American Scientist 73; (1985), 300301.

A book review of three books on Stochastic Integration by: K.L. Chung and R. Williams; R. J. Elliott; and M. Métivier. Annals of Probability14; (1986), 343346.

Stochastic Differential Systems: Analysis and Filtering. V. S. Pugachev and I.N. Sinitsyn. The American Scientist (January, 1989).

The Malliavin Calculus, by Denis Bell. Bulletin of the A.M.S. (New Series) 20; (1989), 123127.

Diffusion Processes and Partial Differential Equations. Kazuaki Taira. The American Scientist 78; (1990), 475476.

Limit Theorems for Stochastic Processes. J. Jacod and A.N. Shiryaev. SIAM Review 33; (1991), 332333.

Random Series and Stochastic Integrals. S. Kwapien and W. Woyczynski. SIAM Review 37; (1995), 135136.

Numerical Solution of SDE Through Computer Experiments, P.E. Kloeden, E. Platen, H. Schurz. SIAM Review 37;

A Book Review of Seven Books on Finance Theory, SIAM Review (March, 1999)

Arbitrage Theory in Continuous Time, T. Björk, Journal of Finance, 55, No. 2 (February, 2000)

Stochastic Calculus and Financial Applications, J. Michael Steele, SIAM Review (2001)

Numerical Methods and Stochastics, T.J. Lyons and T.S. Salisbury, Eds., 2004, to appear in CMS Notes.

Mathematics for Finance: An Introduction to Financial Engineering, Capinski and T. Zastawniak, American Mathematical Monthly, 111; 923—926, 2004.

Point Process Theory and Applications: Marked Point Processes and Piecewise Deterministic Processes, Martin Jacobsen, SIAM Review, 49;159—161, 2007.

Louis Bachelier's Theory of $peculation: The Origins of Modern Finance, Mark Davis and Alison Etheridge, Bulletin of the American Mathematical Society, 48; 657660, 2008.

Lectures on Financial Mathematics, G. Anderson and A. Kercheval, Quantitative Finance, 11, 17031705.
BOOKS / NOTES:

Stochastic Integration and Differential Equations: A New Approach, SpringerVerlag, 1990.

Limit Theorems for Solutions of Stochastic Equations I, II (with Tom Kurtz) CIME School in Probability, SpringerVerlag Lecture Notes in Math 1627, pp. 1  41 and 197  285 (1996).

Probability Essentials (with Jean Jacod), SpringerVerlag, 2000.

Probability Essentials, Second Edition (with Jean Jacod), SpringerVerlag, 2003

L'essentiel en théorie des probabilités (with Jean Jacod), Cassini, 2003.

Stochastic Integration and Differential Equations, Second Edition, SpringerVerlag, 2004

Probability Essentials, Corrected Second Edition (with Jean Jacod), SpringerVerlag, 2004

Stochastic Integration and Differential Equations, Second Edition, Version 2.1, SpringerVerlag, 2005

Discretization of Processes (with Jean Jacod), SpringerVerlag, 2012
TEXTBOOK
1. Calculus with Analytic Geometry, Fourth Edition (with M. H. Protter), Jones and Bartlett, Boston, 1998.
Other Publishing Activities
1. Columnist for Financial Engineering News ("Stochastics on the Street"), 2006 (Six Columns)
Ph.D. STUDENTS
In Progress: Roseline BilinaFalafala, Aditi Dandapandi, Lisha Qiu

P. Sundar (December, 1985). Currently Professor at Louisiana State University. Thesis: Ergodic Solutions of Stochastic Differential Equations.

J. San Martin (January, 1990). Currently Professor at the University of Chile (Santiago, Chile) Thesis: Stratonovich Differential Equations.

A. KohatsuHiga (May, 1992). Currently Associate Professor at Osaka University, Japan. Thesis: Reflecting Stochastic Differential Equations with Jumps.

F. Antonelli (August, 1993). Currently Professor at the University of L’Aquila (L’Aquila, Italy). Thesis: BackwardForward Stochastic Differential Equations.

Yingjie Liu (August, 1993). Thesis: Numerical Approaches to Stochastic Differential Equations with Boundary Conditions. Currently at UIC (Chicago)

H. Ahn (August 1994). Thesis: Semimartingale Representation and the WongZakai Problem.

Liqing Yan (June, 2000). Currently Associate Professor at the University of Florida. Thesis: The Euler Scheme with Irregular Coefficients.

Xiang Long (June 2001). Currently employed at Barclay’s Securities in New York City. Thesis: Variance Reduction for Numerical Solutions of Stochastic Differential Equations

Kiseop Lee (June 2002). Currently employed at the University of Louisville. Thesis: Hedging of Options When the Price Process Has Jumps Whose Arrival Rate Depends on the Price History

Umut Çetin (June 2003) Currently employed at the London School of Economics. Thesis: Default Risk and Liquidity Risk Modeling

Deniz Sezer (August 2005). Currently employed at Univ. of Calgary, Calgary, Canada. Thesis: A Theory of Filtration Shrinkage

Yan Zeng (August 2005). Thesis: Compensators of Stopping Times

Jesús F. Rodríguez (August 2005). Thesis: A Modified Barlow Model Applied to Electricity Derivative Pricing

Hasanjan Sayit (August 2005). Currently employed at Worcester Polytechnic. Thesis: Realistic No Arbitrage Conditions

Marcel Blais (January 2006). Currently employed at Worcester Polytechnic. Thesis: Liquidity and Modeling the Stochastic Supply Curve for a Stock Price

Kazuhiro Shimbo (May 2007). Currently employed at Mizuho Bank, New York. Thesis: Understanding Mathematical Models of Bubbles in Financial Markets

Nicolas Diener (August 2008). Currently employed at Barclays Capital, New York. Thesis: Mathematical Models for Swing Options and Subprime Mortgage Derivatives

Alexandre Roch (June 2009). Postdoc at ETHZurich; now at Ecole des Sciences de la Gestion, Montréal. Thesis: Liquidity Risk, Volatility, and Financial Bubbles

Sergio Pulido, (August 2010). Postdoc at CarnegieMellon, currently at Ecole Polytechnique, Lausanne. Thesis: Financial Markets with Short Sales Prohibition

Xiaofei (Sophia) Liu, (June 2011). Currently employed at Credit Suisse. Thesis: The Contribution of Trader Interaction to Market Noise

Younes Kchia, (September 2011) Currently employed at Merrill Lynch, London. Thesis: Semimartingales et Problématiques Récentes en Finance (Translation: Quantitative; Semimartingales and Contemporary Issues in Quantitative Finance)
Philip Protter
Statistics Department
1255 Amsterdam Avenue, Room 1029; MC4690
Columbia University
New York, NY 10027
Phone: 212 851 2145
Fax: 212 851 2164
Home page: http://www.stat.columbia.edu/~protter/
Email: pep2117 at columbia.edu
©2013, Philip Protter
Last modified: August, 2013
