Philip Protter

Finance · 2000–2012

A researcher in the Science corpus: 15 papers; trusts 31 researchers and is trusted by 38 researchers here, as inferred from the citation graph.

Subfields

• Finance — 64 citations into it; #1,784 of 10,518 by trust here, #1,266 by citations
• Economics and Econometrics — 29 citations into it; #13,809 of 23,481 by trust here, #7,096 by citations
• Management Science and Operations Research — 10 citations into it; #2,099 of 11,946 by trust here, #4,118 by citations
• Applied Mathematics — 5 citations into it
• Demography — 5 citations into it; #3,635 of 4,236 by trust here, #2,670 by citations
• Mathematical Physics — 5 citations into it

Whom Philip Protter trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Eckhard Platen
2. Jean Jacod
3. A. Etheridge
4. Ioannis Karatzas
5. Anja Sturm
6. Freddy Delbaen
7. Robert A. Jarrow
8. Steven E. Shreve
9. Umut Çetin
10. Erik Ekström

Who trusts Philip Protter overall

1. Yacine Aït-Sahalia
2. Mathias Vetter
3. Thomas R. Hurd
4. St'ephane Cr'epey
5. Jean Jacod
6. Bruno Bouchard
7. Hans Föllmer
8. D. Xiu
9. Christian Bender
10. Jia Li

Papers from Philip Protter's perspective

Ordered by how strongly the researchers Philip Protter trusts endorse each paper. Same corpus, a different order for every researcher.

1. Bubbles, convexity and the Black–Scholes equation
2. Relative arbitrage in volatility-stabilized markets
3. Credit Risk: Modeling, Valuation And Hedging
4. The numéraire portfolio in semimartingale financial models (Finance and Stochastics)
5. A Benchmark Approach to Quantitative Finance
6. Time-Changed Levy Processes and Option Pricing ⁄
7. Structural Models of Corporate Bond Pricing: An Empirical Analysis
8. Valuing American Options by Simulation: A Simple Least-Squares Approach
9. Arbitrage in continuous complete markets (Advances in Applied Probability)
10. Discrete Parameter Martingales

Their papers

• Discretization of Processes (2011) — 439 citations
• An analysis of a least squares regression method for American option pricing (2002) — 360 citations
• Numberical Method for Backward Stochastic Differential Equations (2002) — 140 citations
• Analysis of continuous strict local martingales via h-transforms (2007) — 76 citations
• Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006) — 194 citations
• A Dysfunctional Role of High Frequency Trading in Electronic Markets (2012) — 145 citations
• No Arbitrage Without Semimartingales (2009) — 55 citations
• A Mathematical Theory of Financial Bubbles (2012) — 104 citations
• Local martingales and filtration shrinkage (2011) — 84 citations
• The approximate Euler method for Lévy driven stochastic differential equations (2005) — 98 citations
• STRUCTURAL VERSUS REDUCED FORM MODELS: A NEW INFORMATION BASED PERSPECTIVE (2004) — 285 citations
• Modeling Credit Risk with Partial Information (2004) — 177 citations
• A short history of stochastic integration and mathematical finance the early years, 1880-1970 (2004) — 64 citations
• A partial introduction to financial asset pricing theory (2001) — 58 citations
• Explicit form and robustness of martingale representations (2000) — 55 citations