Scott Robertson

SELECTED PUBLICATIONS

• Robertson, S., Ishikawa, T. (In Press). "Optimal Investment and Pricing in the Presence of Defaults", Mathematical Finance
• Robertson, S., Spiliopoulos, K. (2018). "Indifference Pricing for Contingent Claims: Large Deviations Effects", Mathematical Finance, 28 (1), 335-371
• Cheng, Z., Robertson, S. (2017). "Endogenous Current Coupons", Finance and Stochastics, 21 (4), 1027-1071
• Robertson, S., Xing, H. (2017). "Long-Term Optimal Investment in Matrix Valued Factor Models", SIAM Journal on Financial Mathematics, 8 (1), 400-434
• Robertson, S. (2017). "Pricing for large position in contingent claims", Mathematical Finance, 27 (3), 746-778
• Anthropelos, M., Robertson, S., Spiliopoulos, K. (2017). "The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets", Annals of Applied Probability, 27 (3), 1778-1830
• Robertson, S., Kardaras, C. (2017). "Continuous Time Perpetuities and Time Reversal of Diffusions", Finance and Stochastics, 21 (1), 65-110
• Robertson, S., Xing, H. (2015). "Large Time Behavior of Solutions to Semi-Linear Equations with Quadratic Growth in the Gradient", SIAM Journal on Control and Optimization, 53 (1), 185-212
• Guasoni, P., Kardaras, C., Robertson, S., Xing, H. (2014). "Abstract, classic, and explicit turnpikes", Finance and Stochastics, 18 (1), 75-114
• Kardaras, C., Robertson, S. (2012). "Robust maximization of asymptotic growth", Annals of Applied Probability, 22 (4), 1576-1610
• Robertson, S. (2010). "Sample path large deviations and optimal importance sampling for stochastic volatility models", Stochastic Processes and their Applications, 120 (1), 66-83
• Guasoni, P., Robertson, S. (2008). "Optimal importance sampling with explicit formulas in continuous time", Finance and Stochastics, 12 (1), 1-19
• Rindisbacher, M., Detemple, J., Robertson, S."Dynamic Noisy Rational Expectations with Insider Information",

SELECTED RESEARCH PRESENTATIONS

• Robertson, S. Equilibrium with Information Asymmetry, Alfred Reyni Institute, Budapest, Hungary, 2019
• Robertson, S. Optimal Investment, Derivative Demand and Arbitrage under Price Impact, Third International Conference on Actuarial Science and Quantitative Finance, Manizales, Colombia, 2019
• Robertson, S. Dynamic Noisy Rational Expectations Equilibrium with Heterogenous Information, AMS Eastern Sectional Meeting, Hartford, CT, 2019
• Robertson, S. Mortgage Contracts and Selective Default, London Mathematical Finance Seminar, London, England, 2019
• Robertson, S. Dynamic Noisy Rational Expectations Equilibrium with Insider Information, Stochastic Analysis Seminar, Humbolt University, Berlin, Germany, 2019
• Robertson, S. Equilibrium with Heterogenous Information, Columbia University Mathematical Finance Seminar, New York, NY, 2018
• Robertson, S. Equilibrium with Heterogenous Information, Mathematical Finance Workshop at UConn, Storrs, CT, 2018
• Robertson, S. Equilibrium with Heterogenous Information, Princeton University Mathematical Finance Seminar+O427, Princeton, NJ, 2018
• Robertson, S. Equilibrium with Heterogeneous Information, Carnegie Mellon Unviersity Mathematical Finance Seminar, Pittsburgh, PA, 2018
• Robertson, S. Equilibrium with Heterogeneous Information, Bachelier Finance Society Tenth World Congress, Dublin, Ireland, 2018
• Robertson, S. Equilibrium with Heterogenous Information, BIRS-CMO Workshop "Stochastic Analysis and its Applications", Oaxaca, Mexico, 2018
• Rouse, E. Optimal Investment and Derivative Demand under Price Impact, Rutgers University Mathematical Finance Seminar, New Brunswick, NJ, 2018
• Robertson, S. Optimal Investment and Derivative Demand under Price Impact, Rutgers University Mathematical Finance Seminar, New Brunswick, NJ, 2018
• Robertson, S. Optimal Investment and Pricing in the Presence of Defaults, Eastern Conference in Mathematical Finance, New York University, New York, NY, 2017
• Robertson, S. Optimal Investment and Pricing in the Presence of Defaults, Mathematical Finance, Probability, and Partial Differential Equations Conference, Rutgers University, New Brunswick, NJ, 2017
• Robertson, S. The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets, Paris Bachelier Seminar, Paris, France, 2017
• Robertson, S. The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets, ETH Mathematical Finance Seminar, Zurich, Switzerland, 2017
• Robertson, S. Optimal Investment and Pricing in the Presence of Defaults, AMS Spring Sectional Meeting, Bloomington, IN, 2017
• Robertson, S. Optimal Investment and Pricing in the Presence of Defaults, Boston University Probability and Statistics Seminar, Boston, MA, 2017
• Robertson, S. Optimal Investment and Pricing in the Presence of Defaults, Universite D'evry-Val-D'essone Mathematical Finance Seminar, Paris, France, 2017
• Robertson, S. Optimal Investment and Pricing in the Presence of Defaults, London Mathematical Finance Seminar, London, England, 2017
• Robertson, S. Robust Asymptotic Growth in the Presence of Stability, Worcester Polytechnic Institute Mathematical Finance Seminar, Worcester, MA, 2017

AWARDS AND HONORS

• 2018, Broderick Award for Excellence in Teaching, Boston University