**Research
**

**Submitted and Working Papers
**

Z. Cheng,
S.Robertson. Endogenous Current Coupons. *Mathematica
Code: Code.* *Matlab Code: Code.*

M.
Anthropelos, S. Robertson, K. Spiliopoulos. The Pricing of Contingent Claims and
Optimal Positions in Asymptotically Complete Markets.

**Publications
in
Peer Reviewed Journals
**

C. Kardaras, S. Robertson. Continuous Time Perpetuities and Time Reversal of Diffusions.Finance and Stochastics (forthcoming). Mathematica Code: Code.S. Robertson, K. Spiliopoulos. Indifference Pricing for Contingent Claims: Large Deviations Effects.

Mathematical Finance (forthcoming).

S. Robertson. Pricing for Large Positions in Contingent Claims

.Mathematical Finance(forthcoming).Mathematica Code: Code.S. Robertson, H. Xing. Large Time Behavior of Solutions to Semilinear Equations with Quadratic Growth in the Gradient.

Siam Journal on Control and Optimization,53-1 (2015) 185-212.

P. Guasoni, C. Kardaras, S. Robertson, H.Xing. Abstract, Classic and Explicit Turnpikes.

Finance and Stochastics, 18-1 (2014) 75-114.P. Guasoni, S. Robertson. Static Fund Separation of Long Term Investments.

Mathematical Finance, (2012) DOI: 10.1111/mafi.12017.

C. Kardaras, S. Robertson. Robust Maximization of Asymptotic Growth.

Annals of Applied Probability, 22-4 (2012)1576-1610.

P. Guasoni, S. Robertson. Portfolios and Risk Premia for the Long Run.

Annals of Applied Probability, 22-1 (2012)239-284.

S. Robertson. Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models.

Stochastic Processes and Their Applications, 120 (2010) 66-83.

P. Guasoni, S. Robertson. Optimal Importance Sampling with Explicit Formulas in Continuous Time.Finance and Stochastics, 12 (2008) 1-19

P. Guasoni, S. Robertson. Importance Sampling with Basket Options.Wilmott,Nov/Dec 2007.