Applied Probability, Financial Engineering

Office: 219 Rhodes

Phone: 607.255.9133

Website: click here

Fax: 607.255.9129

Liquidity Risk Conference at Cornell,
June 27-28, 2008

Philip Protter received his B.A. from Yale University in 1971 and his Ph.D from the University of California, San Diego in 1975. After teaching at Duke and Purdue University, he joined Cornell in 2000.

His research focus is in the area of theoretical and applied probability. Areas of research include mathematical finance theory (asset pricing, liquidity risk, credit risk, etc.), stochastic numerical analysis, stochastic analysis and its applications, weak convergence, Markov process theory, and filtering theory. Protter has a longstanding interest in stochastic calculus and stochastic differential equations. Protter’s research focus also encompasses simulation and approximation of solutions for stochastic differential equations.

Select Publications

"Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence". To appear in Review of Financial Studies  (2005). (With U. Çetin, R. Jarrow, and M. Warachka)

"Structural versus Reduced From Models: A New Information Based Perspective". Journal of Investment Management 2; 34-43 (2004). (With R. Jarrow)

"A Short History of Stochastic Integration and Mathematical Finance: The Early Years, 1880-1970". In The Herman Rubin Festschrift, IMS Lecture Notes 45 ; 75-91 (2004). (With R. Jarrow)

"The approximate Euler method for Levy driven stochastic differential equations". Annales de l'Institut Henri Poincaré, Special issue devoted to the memory of P.A. Meyer (En Hommage à Paul-André Meyer),41; 523-558 ( 2005). (With J. Jacod, T. Kurtz, and S. Meleard)

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

Lectures

Invited Speaker: Conference in Honor of Ole E. Barndorff-Nielsen's 71st birthday at CIMAT, Guanajuato, Mexico, March 20-24, 2006.

Keynote Speaker: Conference on Stochastic Control and Numerics, Milwaukee, September 15, 2005.

Invited Speaker and Visitor: University of Tokyo and University of Osaka, November 16—December 1, 2004.

Professional Activities

Institute of Mathematical Statistics

American Mathematical Society

American Association for the Advancement of Science

Bernoulli Society for Mathematical Statistics and Probability

Association for Women in Mathematics

Editor in Chief, Stochastic Processes and their Applications, 2002 - present

Associate Editor, Finance and Stochastics, 2000 - present

Associate Editor, Mathematical Finance, 2000 - present

Associate Editor, Revista de Matemáticas Aplicadas, 1991 - present

Associate Editor, Infinite Dimensional Analysis and Quantum Probability, 1997 - present

University Activities

Director of Financial Engineering

Awards and Recognition

Fellow of the Institute of Mathematical Statistics