Philip Protter

Professor of Operations Research & Industrial Engineering (OR&IE) and Member of the Field of Mathematics

Web Site www.orie.cornell.edu/~protter/ Contact Information Office:  219 Rhodes Hall Phone:  (607) 255-9133 Fax:  (607) 255-9129 Email:  pep4 at cornell.edu

Education

Ph.D. (1975) University of California at San Diego

Research Area: Probability theory, stochastic calculus, stochastic differential equations, stochastic numerical methods, mathematical finance theory, credit risk

Recent interests include numerical methods for solving stochastic differential equations, filtration expansions and shrinkage, liquidity risk in finance theory, and credit risk in finance theory, financial bubbles, and operational risk. All of these topics are related to stochastic calculus and stochastic differential equations, although they bring in techniques from weak convergence, Markov processes, Monte Carlo methods, data analysis, viscosity solutions in stochastic control theory, and the Malliavin calculus.

Selected Publications

Stochastic Integration and Differential Equations, Second Edition, Springer-Verlag, Version 2.1, 2005.

Liquidity risk and arbitrage pricing theory (with Robert Jarrow and Umut Çetin), Finance & Stochastics 8 (2004), 311–341.

Information reduction via level crossings in a credit risk model (with R. Jarrow and D. Sezer), Finance and Stochastics 11 (2007), 195–212.

Asset price bubbles in complete markets (with R. Jarrow and K. Shimbo) in the Madan Festschrift, 2007.

Last modified: May 23, 2007