Scott Joslin

University of Southern California

Assistant Professor

Marshall School of Business

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 9,055

in Total Papers Downloads

5,002

CITATIONS
Rank 1,405

SSRN RANKINGS

Top 1,405

in Total Papers Citations

288

Scholarly Papers (7)

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 1,879 (7,892)
Citation 110

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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 and Hong Kong Baptist University (HKBU)
Downloads 1,227 (15,348)
Citation 4

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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 and Hong Kong Baptist University (HKBU)
Downloads 4 (640,525)
Citation 9
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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 740 (32,132)
Citation 43

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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 38 (436,207)

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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 585 (44,165)
Citation 20

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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 18 (545,323)

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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 296 (100,946)
Citation 152

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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, Penn State University Smeal College of Business and Stanford University - Graduate School of Business
Downloads 194 (154,211)
Citation 43

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No-Arbitrage, Gaussian Macro-Finance Term Structure Models

7.

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
Downloads 21 (509,159)
Citation 6

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

Other Papers (1)

Total Downloads: 86
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 86

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