Scott Joslin

University of Southern California

Assistant Professor

Marshall School of Business

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 8,247

SSRN RANKINGS

Top 8,247

in Total Papers Downloads

4,586

CITATIONS
Rank 5,039

SSRN RANKINGS

Top 5,039

in Total Papers Citations

103

Scholarly Papers (6)

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, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,849 (6,375)
Citation 37

Abstract:

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

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 and Washington University in Saint Louis - John M. Olin Business School
Downloads 693 (29,136)
Citation 13

Abstract:

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 and Washington University in Saint Louis - John M. Olin Business School
Downloads 35 (389,235)
Citation 13

Abstract:

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
Downloads 558 (39,061)
Citation 7

Abstract:

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
Downloads 16 (487,874)
Citation 7

Abstract:

4.

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: 20 Jan 2016
Hui Chen, Scott Joslin and Sophie X. Ni
Massachusetts Institute of Technology, University of Southern California and Hong Kong University of Science and Technology
Downloads 556 (17,960)

Abstract:

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

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, Federal Reserve Board and Stanford University - Graduate School of Business
Downloads 237 (95,238)
Citation 39

Abstract:

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, University of North Carolina Kenan-Flagler Business School and Stanford University - Graduate School of Business
Downloads 159 (141,115)
Citation 7

Abstract:

No-Arbitrage, Gaussian Macro-Finance Term Structure Models

Other Papers (1)

Total Downloads: 82    Citations: 11
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
Downloads 81
Citation 11

Abstract: