Philip Protter, Statistics Department, Columbia University

    Philip Protter

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Recent Publications of Philip Protter:


Note: Papers not yet published are available either on arXiv or on SSRN

  • (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 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 H. Sayit and R. Jarrow) No Arbitrage Without Semimartingales, Annals of Applied Probability, 19, 596-616
  • (with R. Jarrow) Forward and Futures Prices with Bubbles, International Journal of Theoretical and Applied Finance, 12, 901-924, 2009.
  • The Financial Meltdown, Matapli, 87, 61—68, 2008; also reprinted in the Gazette of the Société des Mathématiques de France, 119, 76-82, 2009.
  • (with F. Diener M. Diener, O. Khodr) Mathematical Models of Microlending, Proceedings of the 16th Mathematical Conference of Bangladesh Mathematical Society 17-19 December, 2009, Dhaka, Bangladesh
  • (with J. Jacod) Risk Neutral Compatibility with Option Prices, Finance and Stochastics. 14, 285-315, 2010.
  • (with R. Jarrow and K. Shimbo) Asset Price Bubbles in Incomplete Markets, Mathematical Finance 20, 145-185, 2010.
  • (with S. Pal) Analysis of strict local martingales via h-transforms, Stochastic Processes and their Applications, 120, 1424 – 1443, 2010.
  • (with M. Blais) An Analysis of the Supply Curve for Liquidity Risk Through Book Data, International Journal of Theoretical and Applied Finance, 13, 821-838, 2010.
  • (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, 429-448, 2010.
  • (with N. Diener) Valuation of Swing Options Using Reflected Backward Stochastic Differential Equations, Unpublished preprint.
  • (with S. Janson and S. M’Baye) Absolutely Continuous Compensators, International Journal of Theoretical & Applied Finance, 14, 335-351, 2011.
  • (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, 825-838, 2011.
  • (with R. Jarrow and Y. Kchia) How to Detect an Asset Bubble in Real Time, SIAM Journal on Financial Mathematics, 2, 835-869, 2011.
  • (with R. Jarrow) Foreign Currency Bubbles, Review of Derivatives Research, 14, 67-83, 2011.
  • (with R. Jarrow) Investigating Bubble Trouble, Credit Flux, April, 2011; 16-17.
  • (with R. Jarrow and Y. Kchia) Is There a Bubble in LinkedIn’s Stock Price? Journal of Portfolio Management, 38, 125-130, 2011.
  • (with R. Jarrow and Y. Kchia) Is Gold in a Bubble? Bloomberg’s Risk Newsletter, October 26, 2011; pp. 8-9.
  • (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 R. Jarrow and A. Roch) A Liquidity Based Model for Asset Price Bubbles, Quantitative Finance, 12, No. 1, 1339-1349, 2012.
  • (with M. Blais) Signing Trades and An Evaluation of the Lee-Ready Algorithm, Annals of Finance, 8, No. 1, 1-13, 2012.
  • (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) Discrete versus Continuous Time Models: Local Martingales and Singular Processes in Asset Pricing Theory, Finance Research Letters, 9, No. 2, 58-62, 2012.
  • (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), 305-324, 2013.
  • (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, 469-487, 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)
  • A Mathematical Theory of Financial Bubbles, Paris-Princeton Lecture Notes in Mathematical Finance, Springer Lecture Notes in Mathematics 2081, 1-108, 2013
  • (with R. Jarrow) Positive Alphas, Abnormal Performance, and Illusory Arbitrage, Mathematical Finance, 23, No. 1, 39-56, 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