Scott Robertson
Associate Professor, Finance
Selected Research Presentations
Robertson, S. Equilibrium with Heterogenous Information and General Uninformed Agent Preferences, SIAM Conference on Financial Mathematics, Philadelphia, PA, 2023
Robertson, S. Equilibrium with Heterogenous Information and General Uninformed Agent Preferences, Chicago Conference on Stochastic Analysis and Financial Mathematics, Illinois Institute of Technology, Chicago, IL, 2023
Robertson, S. Rational Expectations Equilibrium with Heterogeneous Information Flows, Imperial College, 2023
Robertson, S. Rational Expectations Equilibrium with Heterogeneous Information Flows, Bachelier Seminar, IHP, Paris, 2023
Robertson, S. Equilibrium with Heterogenous Information and General Uninformed Agent Preferences, Ecole Polytechnique, Paris France, 2023
Robertson, S. Equilibrium with Heterogenous Information and General Uninformed Agent Preferences, Dublin City University, Dublin Ireland, 2023
Robertson, S. Equilibrium with Heterogenous Information and General Uninformed Agent Preferences, AMS Joint Mathematics Meeting, Boston, MA, 2023
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
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
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