Следене
Scott Robertson
Scott Robertson
Associate Professor of Finance, Questrom School of Business, Boston University
Потвърден имейл адрес: bu.edu - Начална страница
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Позовавания
Позовавания
Година
Optimal importance sampling with explicit formulas in continuous time.
P Guasoni, S Robertson
Finance & Stochastics 12 (1), 2008
612008
Portfolios and risk premia for the long run
P Guasoni, S Robertson
Annals of Applied Probability 22 (1), 239-284, 2012
542012
Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models
S Robertson
Stochastic Processes and their Applications 120 (1), 66-83, 2010
342010
Robust Maximization of Asymptotic Growth
C Kardaras, S Robertson
The Annals of Applied Probability 22 (4), 1576-1610, 2012
162012
Static Fund Separation of Long-Term Investments
P Guasoni, S Robertson
Mathematical Finance 25 (4), 789-826, 2015
122015
Abstract, Classic and Explicit Turnpikes
P Guasoni, C Kardaras, S Robertson, H Xing
Finance and Stochastics 18 (1), 75-114, 2014
122014
Large Time Behavior of Solutions to Semi-Linear Equations with Quadratic Growth in the Gradient
S Robertson, H Xing
SIAM Journal on Control and Optimization 53 (1), 185-212, 2015
112015
Pricing for Large Positions in Contingent Claims
S Robertson
Mathematical Finance 27 (3), 746-778, 2017
92017
Long Term Optimal Investment in Matrix Valued Factor Models
S Robertson, H Xing
Siam Journal on Financial Mathematics 8 (1), 400-434, 2017
72017
The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets
M Anthropelos, S Robertson, K Spiliopoulos
Annals of Applied Probability 27 (3), 1778-1830, 2017
72017
Ergodic robust maximization of asymptotic growth
C Kardaras, S Robertson
The Annals of Applied Probability 31 (4), 1787-1819, 2021
62021
Dynamic Noisy Rational Expectations Equilibrium with Insider Information
J Detemple, M Rindisbacher, S Robertson
Econometrica, https://www.econometricsociety.org/publications/econometrica …, 2020
52020
Indifference Pricing for Contingent Claims: Large Deviations Effects
S Robertson, K Spiliopoulos
Mathematical Finance 28 (1), 335-371, 2018
52018
Continuous Time Perpetuities and Time Reversal of Diffusions
C Kardaras, S Robertson
Finance & Stochastics 21 (1), 65-110, 2017
42017
Optimal investment and pricing in the presence of defaults
T Ishikawa, S Robertson
Mathematical Finance 30 (2), 577-620, 2020
22020
Optimal Investment, Demand and Arbitrage under Price Impact
M Anthropelos, S Robertson, K Spiliopoulos
Mathematical Finance, forthcoming, 2020
12020
Endogenous Current Coupons
Z Cheng, S Robertson
Finance and Stochastics 21 (4), 1027-1071, 2017
2017
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