Scott Joslin

University of Southern California

Assistant Professor

Marshall School of Business

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 8,055

SSRN RANKINGS

Top 8,055

in Total Papers Downloads

4,457

CITATIONS
Rank 4,953

SSRN RANKINGS

Top 4,953

in Total Papers Citations

105

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 (5,970)
Citation 38

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 680 (28,308)
Citation 12

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 34 (374,937)
Citation 12

Abstract:

3.

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 (19,675)

Abstract:

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

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 540 (38,662)
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 (466,628)
Citation 7

Abstract:

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 (91,521)
Citation 41

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 (136,479)
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: