Philip E. Protter » Department Directory

Philip E. Protter

Professor

Office: Room 1029 SSW
Phone: 212-851-2145
Email: pep2117@columbia.edu
Program(s): Regular Faculty, Senior Faculty, Statistics Department
Website: http://www.stat.columbia.edu/~protter/

Research Interests: Probability Theory, primarily in Mathematical Finance, but also in Markov Processes, Filtering Theory, and Numerical Analysis of Stochastic Differential Equations. Within Finance, recent interests include Ultra High Frequency Trading and Market Microstructure, Financial Bubbles, Mathematical Models of Insider Trading, and Models of Liquidity.


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