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Philip Protter

  1. Is there a bubble in LinkedIn's stock price?.

    Tue, 05/31/2011 - 15:01 — SomNambul
    Authors: Philip Protter, Younes Kchia, Robert Jarrow
    Subjects: Risk Management
    Abstract

    Recent academic work has developed a method to determine, in real time, if a
    given stock is exhibiting a price bubble. Currently there is speculation in the
    financial press concerning the existence of a price bubble in the aftermath of
    the recent IPO of LinkedIn. We analyze stock price tick data from the short
    lifetime of this stock through May 24, 2011, and we find that LinkedIn has a
    price bubble.

  2. Linking progressive and initial filtration expansions.

    Fri, 04/22/2011 - 15:01 — SomNambul
    Authors: Philip Protter, Younes Kchia, Martin Larsson
    Subjects: Probability
    Abstract

    In this paper we study progressive ?ltration expansions with random times. We
    show how semimartingale decompositions in the expanded ?ltration can be
    obtained using a natural link between progressive and initial expansions. The
    link is, on an intuitive level, that the two coincide after the random time. We
    make this idea precise and use it to establish known and new results in the
    case of expansion with a single random time. The methods are then extended to
    the multiple time case, without any restrictions on the ordering of the
    individual times.

  3. Analysis of continuous strict local martingales via h-transforms.

    Wed, 10/07/2009 - 12:26 — SomNambul
    Authors: Soumik Pal, Philip Protter
    Subjects: Pricing of Securities
    Abstract

    We study strict local martingales via h-transforms, a method which first
    appeared in Delbaen-Schachermayer. We show that strict local martingales arise
    whenever there is a consistent family of change of measures where the two
    measures are not equivalent to one another. Several old and new strict local
    martingales are identified. We treat examples of diffusions with various
    boundary behavior, size-bias sampling of diffusion paths, and non-colliding
    diffusions. A multidimensional generalization to conformal strict local
    martingales is achieved through Kelvin transform.

Math-arch

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