Discretely sampled variance and volatility swaps versus their continuous approximations.
- Published in:
- Finance & Stochastics, 2013, v. 17, n. 2, p. 305, doi. 10.1007/s00780-012-0183-2
- By:
- Publication type:
- Article
Works by Protter, Philip
Results: 41
1
2
Risk-neutral compatibility with option prices.
- Published in:
- Finance & Stochastics, 2010, v. 14, n. 2, p. 285, doi. 10.1007/s00780-009-0109-9
- By:
- Publication type:
- Article
3
Information reduction via level crossings in a credit risk model.
- Published in:
- Finance & Stochastics, 2007, v. 11, n. 2, p. 195, doi. 10.1007/s00780-006-0033-1
- By:
- Publication type:
- Article
4
Liquidity risk and arbitrage pricing theory.
- Published in:
- Finance & Stochastics, 2004, v. 8, n. 3, p. 311, doi. 10.1007/s00780-004-0123-x
- By:
- Publication type:
- Article
5
An analysis of a least squares regression method for American option pricing.
- Published in:
- Finance & Stochastics, 2002, v. 6, n. 4, p. 449
- By:
- Publication type:
- Article
6
Complete markets with discontinuous security price.
- Published in:
- Finance & Stochastics, 1999, v. 3, n. 2, p. 203, doi. 10.1007/s007800050058
- By:
- Publication type:
- Article
7
Stopping times occurring simultaneously.
- Published in:
- ESAIM: Probability & Statistics, 2024, v. 28, p. 110, doi. 10.1051/ps/2024001
- By:
- Publication type:
- Article
8
Louis Bachelier's Theory of speculation: The origins of modern finance.
- Published in:
- 2008
- By:
- Publication type:
- Book Review
9
Arbitrage Theory in Continuous Times.
- Published in:
- 2000
- By:
- Publication type:
- Book Review
10
Credit Risk, Liquidity, and Bubbles.
- Published in:
- International Review of Finance, 2020, v. 20, n. 3, p. 737, doi. 10.1111/irfi.12239
- By:
- Publication type:
- Article
11
Fair Microfinance Loan Rates.
- Published in:
- International Review of Finance, 2019, v. 19, n. 4, p. 909, doi. 10.1111/irfi.12195
- By:
- Publication type:
- Article
12
Is There a Bubble in LinkedIn's Stock Price?
- Published in:
- Journal of Portfolio Management, 2011, v. 38, n. 1, p. 125, doi. 10.3905/jpm.2011.38.1.125
- By:
- Publication type:
- Article
13
An elementary approach to naturality, predictability, and the fundamental theorem of local martingales.
- Published in:
- Stochastic Models, 2001, v. 17, n. 4, p. 449, doi. 10.1081/STM-120001218
- By:
- Publication type:
- Article
14
ASSET PRICE BUBBLES: INVARIANCE THEOREMS.
- Published in:
- Frontiers of Mathematical Finance, 2022, v. 1, n. 2, p. 161, doi. 10.3934/fmf.2021006
- By:
- Publication type:
- Article
15
Continuous-Time Asset Pricing Theory.
- Published in:
- 2022
- By:
- Publication type:
- Book Review
16
Flash Boys: Cracking the Money Code.
- Published in:
- 2015
- By:
- Publication type:
- Book Review
17
A liquidity-based model for asset price bubbles.
- Published in:
- Quantitative Finance, 2012, v. 12, n. 9, p. 1339, doi. 10.1080/14697688.2011.620976
- By:
- Publication type:
- Article
18
Lectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval.
- Published in:
- 2011
- By:
- Publication type:
- Book Review
19
Probability of no default for a microloan under uncertainty.
- Published in:
- Annals of Finance, 2024, v. 20, n. 4, p. 521, doi. 10.1007/s10436-024-00455-4
- By:
- Publication type:
- Article
20
Optimal group size in microlending.
- Published in:
- Annals of Finance, 2022, v. 18, n. 1, p. 121, doi. 10.1007/s10436-020-00382-0
- By:
- Publication type:
- Article
21
Relative asset price bubbles.
- Published in:
- Annals of Finance, 2016, v. 12, n. 2, p. 135, doi. 10.1007/s10436-016-0274-8
- By:
- Publication type:
- Article
22
Signing trades and an evaluation of the Lee-Ready algorithm.
- Published in:
- Annals of Finance, 2012, v. 8, n. 1, p. 1, doi. 10.1007/s10436-011-0184-8
- By:
- Publication type:
- Article
23
Going forward & backward with Jin Ma.
- Published in:
- Numerical Algebra, Control & Optimization, 2023, v. 13, n. 3/4, p. 1, doi. 10.3934/naco.2023005
- By:
- Publication type:
- Article
24
Expansion of a filtration with a stochastic process: The information drift.
- Published in:
- Numerical Algebra, Control & Optimization, 2023, v. 13, n. 3/4, p. 1, doi. 10.3934/naco.2023016
- By:
- Publication type:
- Article
25
STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT.
- Published in:
- International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 1, p. N.PAG, doi. 10.1142/S0219024920500016
- By:
- Publication type:
- Article
26
PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING.
- Published in:
- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 4, p. -1, doi. 10.1142/S0219024915500272
- By:
- Publication type:
- Article
27
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 3, p. 1250022-1, doi. 10.1142/S0219024912500227
- By:
- Publication type:
- Article
28
RELATING TOP-DOWN WITH BOTTOM-UP APPROACHES IN THE EVALUATION OF ABS WITH LARGE COLLATERAL POOLS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 2, p. 1250011-1, doi. 10.1142/S0219024912500112
- By:
- Publication type:
- Article
29
ABSOLUTELY CONTINUOUS COMPENSATORS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 3, p. 335, doi. 10.1142/S0219024911006565
- By:
- Publication type:
- Article
30
AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA.
- Published in:
- International Journal of Theoretical & Applied Finance, 2010, v. 13, n. 6, p. 821, doi. 10.1142/S0219024910006017
- By:
- Publication type:
- Article
31
FORWARD AND FUTURES PRICES WITH BUBBLES.
- Published in:
- International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 7, p. 901, doi. 10.1142/S0219024909005518
- By:
- Publication type:
- Article
32
The Monte-Carlo method for filtering with discrete-time observations.
- Published in:
- Probability Theory & Related Fields, 2001, v. 120, n. 3, p. 346, doi. 10.1007/PL00008786
- By:
- Publication type:
- Article
33
On Itô s formula for multidimensional Brownian motion.
- Published in:
- Probability Theory & Related Fields, 2000, v. 116, n. 1, p. 1, doi. 10.1007/PL00008719
- By:
- Publication type:
- Article
34
A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 4, p. 1157, doi. 10.1111/mafi.12207
- By:
- Publication type:
- Article
35
THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS.
- Published in:
- Mathematical Finance, 2015, v. 25, n. 2, p. 311, doi. 10.1111/mafi.12013
- By:
- Publication type:
- Article
36
POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE.
- Published in:
- Mathematical Finance, 2013, v. 23, n. 1, p. 39, doi. 10.1111/j.1467-9965.2011.00489.x
- By:
- Publication type:
- Article
37
ASSET PRICE BUBBLES IN INCOMPLETE MARKETS.
- Published in:
- Mathematical Finance, 2010, v. 20, n. 2, p. 145, doi. 10.1111/j.1467-9965.2010.00394.x
- By:
- Publication type:
- Article
38
FROM DISCRETE- TO CONTINUOUS-TIME FINANCE: WEAK CONVERGENCE OF THE FINANCIAL GAIN PROCESS.
- Published in:
- Mathematical Finance, 1992, v. 2, n. 1, p. 1, doi. 10.1111/j.1467-9965.1992.tb00022.x
- By:
- Publication type:
- Article
39
Foreign currency bubbles.
- Published in:
- Review of Derivatives Research, 2011, v. 14, n. 1, p. 67, doi. 10.1007/s11147-010-9055-0
- By:
- Publication type:
- Article
40
Mathematics for Finance: An Introduction to Financial Engineering.
- Published in:
- 2004
- By:
- Publication type:
- Book Review
41
Computing the probability of a financial market failure: a new measure of systemic risk.
- Published in:
- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 481, doi. 10.1007/s10479-022-05146-9
- By:
- Publication type:
- Article