Scott Robertson

Assistant Professor Finance
  • Phone 617-353-4166
  • Office 550
  • BOSTON UNIVERSITY
    Questrom School of Business
    Rafik B. Hariri Building
    595 Commonwealth Avenue
    Boston, MA 02215

  • Download CV
    Education
  • Ph D, Boston University, 2009
  • BS, Harvey Mudd College, 1999
    Publications
  • Robertson, S., Spiliopoulos, K. (In Press) "Indifference Pricing for Contingent Claims: Large Deviations Effects", Mathematical Finance
  • Robertson, S., Cheng, Z. (In Press) "Endogenous Current Coupons", Finance and Stochastics
  • Robertson, S. (2017) "Prcing for Large Positions in Contingent Claims", Mathematical Finance, 27 (3), 746-778
  • Robertson, S., Kardaras, C. (2017) "Continuous Time Perpetuities and Time Reversal of Diffusions", Finance and Stochastics, 21 (1), 65-110
  • Robertson, S., Spiliopoulos, K., Anthropelos, M. (2017) "The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets", Annals of Applied Probability, 27 (3), 1778-1830
  • 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. (2015) "Static Fund Separation of Long Term Investments", Mathematical Finance, 25 (4), 789-826
  • 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
  • Robertson, S., Kardaras, C., Xing, H. (2014) "Abstract, Classic and Explicit Turnpikes", Finance and Stochastics, 18 (1), 75-114
  • Robertson, S. (2012) "Portfolios and Risk Premia for the Long Run", Annals of Applied Probability, 22 (1), 239-284
  • Robertson, S., Kardaras, C. (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
  • Robertson, S. (2007) "Optimal Importance Sampling with Explicit Formulas in Continuous Time", Finance and Stochastics, 12 (1), 1-19
    Research Presentations
  • Robertson, S.The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets, AMS, Bowdoin College, Brunswick, ME, 2016
  • Robertson, S.Endogenous Mortgage Current Coupons, SIAM, Boston, MA, 2016
  • Robertson, S.Endogenous Mortgage Current Coupons, Bachelier Finance Society, New York, NY, 2016
  • Robertson, S.Endogenous Mortgage Current Coupons, Banff International Research Station, Oaxaca, Mexico, 2016