77 citations · 93 across the 14 of their papers we have counts for
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math.PR2014
Continuous-time perpetuities and time reversal of diffusions
Constantinos Kardaras, Scott Robertson
We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model.…
math.PR2014
Indifference pricing for Contingent Claims: Large Deviations Effects
Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We m…
q-fin.MF2014★ 2 cited
Long Term Optimal Investment in Matrix Valued Factor Models
Scott Robertson, Hao Xing
Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic…