77 citations · 93 across the 14 of their papers we have counts for
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q-fin.PR2015
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…
q-fin.MF2015
The pricing of contingent claims and optimal positions in asymptotically complete markets
Michail Anthropelos, Scott Robertson, Konstantinos Spiliopoulos
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors…