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.

         S. Robertson, H. Xing. Long Term Optimal Investment in Matrix Valued Factor Models.

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

Conference Proceedings

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