Scott Joslin

University of Southern California - Department of Finance and Business Economics

CA

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 9,708

SSRN RANKINGS

Top 9,708

in Total Papers Downloads

5,345

SSRN CITATIONS
Rank 3,989

SSRN RANKINGS

Top 3,989

in Total Papers Citations

244

CROSSREF CITATIONS

71

Scholarly Papers (8)

1.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
University of Southern California - Department of Finance and Business Economics, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,889 (9,243)
Citation 84

Abstract:

Loading...

dynamic term structure model, no-arbitrage, Gaussian, estimation

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 24 Mar 2019
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 1,311 (16,124)
Citation 3

Abstract:

Loading...

Intermediary constraint, tail risk, SPX option, return predictability, supply shocks, leverage

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

NBER Working Paper No. w25573
Number of pages: 49 Posted: 26 Feb 2019
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 4 (720,860)
Citation 13
  • Add to Cart

Abstract:

Loading...

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 18 Mar 2010 Last Revised: 02 Sep 2013
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 768 (35,155)
Citation 14

Abstract:

Loading...

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035
Number of pages: 52 Posted: 04 Jun 2010
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 41 (475,447)

Abstract:

Loading...

Generalized Transform Analysis of Affine Processes and Applications in Finance

Number of pages: 43 Posted: 17 Feb 2009 Last Revised: 22 Sep 2011
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 600 (49,072)
Citation 10

Abstract:

Loading...

option pricing, recovery risk, stochastic discount factor, characteristic function, Fourier transform

Generalized Transform Analysis of Affine Processes and Applications in Finance

NBER Working Paper No. w16906
Number of pages: 66 Posted: 28 Mar 2011
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 20 (597,362)

Abstract:

Loading...

5.

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

Marshall School of Business Working Paper No. FBE 05.13
Number of pages: 46 Posted: 05 Jul 2013
University of Southern California - Department of Finance and Business Economics, Federal Reserve Board and Stanford University - Graduate School of Business
Downloads 326 (103,462)
Citation 115

Abstract:

Loading...

term structure model, macro finance, unspanned macro risks

6.

Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs

Number of pages: 38 Posted: 18 Mar 2011
Scott Joslin, Anh Le and Kenneth J. Singleton
University of Southern California - Department of Finance and Business Economics, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 201 (168,723)
Citation 35

Abstract:

Loading...

No-Arbitrage, Gaussian Macro-Finance Term Structure Models

7.

The Term Structure of Liquidity Premium

USC Marshall School of Business Research Paper
Number of pages: 48 Posted: 07 Nov 2019 Last Revised: 25 Sep 2020
Scott Joslin, Wenhao Li and Yang Song
University of Southern California - Department of Finance and Business Economics, University of Southern California - Marshall School of Business and University of Washington - Michael G. Foster School of Business
Downloads 151 (216,641)

Abstract:

Loading...

8.

Do Interest Rate Options Contain Information About Excess Returns?

Number of pages: 35 Posted: 17 Feb 2018
Caio Almeida, Jeremy J. Graveline and Scott Joslin
Getulio Vargas Foundation, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 34 (497,471)
Citation 11

Abstract:

Loading...

interest rates, options, risk premia, excess returns, forecasting

Other Papers (1)

Total Downloads: 92
1.

Do Options Contain Information About Excess Bond Returns?

AFA 2007 Chicago Meetings Paper
Number of pages: 35 Posted: 20 Mar 2006
Caio Almeida, Jeremy J. Graveline and Scott Joslin
Getulio Vargas Foundation, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 92

Abstract:

Loading...