65 citations · 131 across the 17 of their papers we have counts for
20 papers
Markov Process Jump Times and Their Cox Construction
Philip Protter, Andrés Riveros Valdevenito
In this short paper, we connect the procedure of constructing a totally inaccessible stopping time for a given process using the well-known Cox construction, dependent on an indepe…
Stopping Times Occurring Simultaneously
Philip Protter, Alejandra Quintos
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. T…
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
Robert Jarrow, Philip Protter, Alejandra Quintos
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The d…
Order Book Queue Hawkes-Markovian Modeling
Philip Protter, Qianfan Wu, Shihao Yang
This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a…
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
Aditi Dandapani, Philip Protter
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the su…
Optimal Group Size in Microlending
Philip Protter, Alejandra Quintos
Microlending, where a bank lends to a small group of people without credit histories, began with the Grameen Bank in Bangladesh, and is widely seen as the creation of Muhammad Yunu…