• PHONE: 617-353-4166
  • EMAIL:  scottrob@bu.edu
  • OFFICE: 550
  • OFFICE HOURS: By Appointment
  • ADDRESS: BOSTON UNIVERSITY
    Questrom School of Business
    Rafik B. Hariri Building
    595 Commonwealth Avenue
    Boston, MA 02215
  • CURRENT COURSESOpen or Close

    GSM MF702 Z1 Fundamentals of Math Finance

    GSM MF731 F1 Corporate Risk Management

    GSM MF922 A1 Advanced Mathematical Finance

  • PUBLICATIONSOpen or Close

    JOURNAL ARTICLES:

      Robertson, S., & Cheng, Z. (In Press). Endogenous Current Coupons. Finance and Stochastics.

      Robertson, S., & Spiliopoulos, K. (In Press). Indifference Pricing for Contingent Claims: Large Deviations Effects. Mathematical Finance.

      Robertson, S., & Xing, H. (2017). Long term Optimal Investment in Matrix Valued Factor Models. SIAM Journal on Financial Mathematics, 8 (1), 400-434.
      See Publication Online

      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.
      See Publication Online

      Robertson, S., & Kardaras, C. (2017). Continuous Time Perpetuities and Time Reversal of Diffusions. Finance and Stochastics, 21 (1), 65-110.
      See Publication Online

      Robertson, S. (2017). Prcing for Large Positions in Contingent Claims. Mathematical Finance, 27 (3), 746-778.
      See Publication Online

      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.
      See Publication Online

      Robertson, S., Kardaras, C., & Xing, H. (2014). Abstract, Classic and Explicit Turnpikes. Finance and Stochastics, 18 (1), 75-114.
      See Publication Online

      Robertson, S. (2015). Static Fund Separation of Long Term Investments. Mathematical Finance, 25 (4), 789-826.
      See Publication Online

      Robertson, S., & Kardaras, C. (2012). Robust Maximization of Asymptotic Growth. Annals of Applied Probability, 22 (4), 1576-1610.
      See Publication Online

      Robertson, S. (2012). Portfolios and Risk Premia for the Long Run. Annals of Applied Probability, 22 (1), 239-284.
      See Publication Online

      Robertson, S. (2010). Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models. Stochastic Processes and Their Applications, 120 (1), 66-83.
      See Publication Online

      Robertson, S. (2007). Optimal Importance Sampling with Explicit Formulas in Continuous Time. Finance and Stochastics, 12 (1), 1-19.
      See Publication Online

  • CONTRACTS, GRANTS AND SPONSORED RESEARCHOpen or Close

    Large Investor Analysis and Equilibrium Problems for Mortgage Backed Securities. DMS-1613159, National Science Foundation. (September 16, 2016 - Present).

    Stochastic Analysis of Large Investors. DMS 1312419, National Science Foundation. (September 1, 2013 - August 31, 2016).

    Methods of Mathematical Finance. DMS 1523424, National Science Foundation. (May 1, 2015 - April 30, 2016).

  • RESEARCH PRESENTATIONSOpen or Close

    INVITED LECTURES:

      Robertson, S. (Author Only). AMS Eastern Sectional Meeting, The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets, AMS, Bowdoin College, Brunswick, ME. (September 20, 2016).

      Robertson, S. (Author Only). 2016 SIAM Annual Meeting, Endogenous Mortgage Current Coupons, SIAM, Boston, MA. (July 1, 2016).

      Robertson, S. (Author Only). BIRS-CMO Workshop "Stochatic Analysis and Mathematical Finance: A Fruitful Partnership", Endogenous Mortgage Current Coupons, Banff International Research Station, Oaxaca, Mexico. (May 20, 2016).

    ACCEPTED LECTURES:

      Robertson, S. (Author Only). Bachelier Finance Society Ninth World Congress, Endogenous Mortgage Current Coupons, Bachelier Finance Society, New York, NY. (July 1, 2016).