77 citations · 93 across the 14 of their papers we have counts for
4 papers · 1 filter
Equilibrium with Heterogeneous Information Flows
Scott Robertson
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communicatio…
Mortgage Contracts and Underwater Default
Yerkin Kitapbayev, Scott Robertson
We analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show…
Endogenous Current Coupons
Scott Robertson, Zhe Cheng
We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows fo…
Pricing for Large Positions in Contingent Claims
Scott Robertson
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line…