Office : Wean Hall 8214

Mailing Address :

Department of Mathematical Sciences
Wean Hall 6113
Carnegie Mellon University
Pittsburgh, PA 15213

Email : scottrob[at]andrew.cmu.edu 

Phone : 412-268-3811

My research lies within the field of stochastic analysis, with a particular emphasis on using Large Deviations Principles to solve problems arising in Mathematical Finance.  Large Deviations may be used to solve a wide array of problems concerning optimal investment and the pricing and hedging of contingent claims.  Currently, I am focusing long-horizon problems, as well as the analysis of large investors in incomplete markets.

For a list and copies of my working papers, as well as published articles, please visit my research page here, or click on the "Research" link below.

I teach classes both offered within the Department of Mathematical Sciences, and as part of Carnegie Mellon's Masters in Computational Finance Program.  The classes I have taught or are currently teaching include:

MA 21-378: Mathematics of Fixed Income Markets. Fall 2015. Current Syllabus. Course Description.

MA 21-880: Stochastic Calculus. Fall 2014, 2015. Current Syllabus. Course Webpage.

MA 46-944: Stochastic Calculus for Finance I. Spring 2013, 2014, 2015, 2016. Current Syllabus. Course Description.

MA 21-366: Monte Carlo Simulation. Fall 2010, 2011, 2012, 2013, 2014. Syllabus. Course Description.

MA 21-420: Continuous Time Finance. Spring 2011, 2012. Syllabus. Course Description.

MA 21-882: Advanced Topics in Financial Mathematics - Large Deviations Principles. Spring 2010. Syllabus. Course Webpage.

MA 21-123: Calculus of Approximation. Fall 2009. Syllabus. Course Description: note that 21-123 is now contained within 21-122.