Scott Robertson

Dean’s Research Scholar Associate 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
    Publications
  • Robertson, S., Ishikawa, T. (In Press). "Optimal Investment and Pricing in the Presence of Defaults", Mathematical Finance
  • Detemple, J., Rindisbacher, M., Robertson, S. (2022). "Dynamic Noisy Rational Expectations Equilibrium with Insider Information: Welfare and Regulation", Journal of Economic Dynamics and Control, 141, 104375 1-31
  • 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
    Research Presentations
  • Robertson, S. Rational Expectations Equilibrium with Heterogenous Information Flows, Informs Annual Meeting, Indianapolis, IN, 2022
  • Robertson, S. Ergodic Maximization of Robust Asymptotic Growth, 2022 SIAM Annual Meeting, Pittsburgh, PA, 2022
  • Robertson, S. Rational Expectations Equilibrium with Heterogenous Information Flows, Bachelier Finance Society 11th World Congress, Online, 2022
  • Robertson, S. Dynamic Noisy Rational Expectations Equilibrium with Insider Information: Welfare and Regulation, New England Statistical Society Annual Meeting, Providence, Rhode Island, 2021
  • Robertson, S. Dynamic Noisy Rational Expectations Equilibrium with Insider Information: Welfare and Regulation, 34th New England Statistics Symposium, Providence, RI, 2021
  • Robertson, S. Equilibrium with Dynamically Evolving Asymmetric Information and Different Trading Frequencies, SIAM Conference on Financial Mathematics and Engineering, Virtual, 2021
  • Robertson, S. Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information, Worcester Polytechnic Institute, 2020
  • Robertson, S. Equilibrium with Insider Information, Illinois Institute of Technology: Applied Mathematics Colloquium, 2020
    Awards and Honors
  • 2022, Angiola M. Noe Faculty Research Award, Questrom School of Business
  • 2018, Broderick Award for Excellence in Teaching, Boston University