Applied Probability, Financial Engineering
Office: 219 Rhodes
Phone: 607.255.9133
Website: click here
Fax: 607.255.9129
Current Article: The Financial Meltdown
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
"Risk Neutral Compatibility with Option Prices," to appear in Finance and Stochastics (with J. Jacod)
"Asset Price Bubbles in Incomplete Markets," to appear in Mathematical Finance (with R. Jarrow and K. Shimbo)
"Analysis of strict local martingales via h-transforms," (with S. Pal)
"Hedging claims with feedback jumps in the price process," Communications on Stochastic Analysis, 2, issue 1, 2008 (Special issue dedicated to Leonard Gross) (with K. Lee)
"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
European Congress of Mathematics, Amsterdam, July 15, 2008
Workshop on Finance and Related Mathematical and Statistical Issues, Kyoto, Japan, September 3 -- 6, 2008
World Bachelier Congress, London, July 20, 2008
Bullitt Lecture, University of Louisville, KY, April 3, 2008
R. Von Mises Lecture, Humboldt Universität, Germany (Inaugural Lecture), June 7, 2007
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 StatisticsAmerican Mathematical Society
American Association for the Advancement of Science
Bernoulli Society for Mathematical Statistics and Probability
Association for Women in Mathematics
Associate Editor (formerly Editor-in-Chief), Stochastic Processes and their Applications, 2006 - 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
Associate Editor, Probability Surveys, 2005 – present
Associate Editor, Sankhya, Series A, 2006 – present
Bulletin of the AMS Book Reviews Editorial Board, 2001 – 2012
University Activities
Director of Financial Engineering, 2000-07
Awards and Recognition
Fellow of the Institute of Mathematical Statistics
Best Teacher, Cornell, ORIE, 2001
Best Teacher, Cornell, ORIE, 2005
Fulbright-De Tocqueville Distinguished Chair, Fall, 2007