Author Page for Scott Joslin

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

Scott Joslin, Kenneth J. Singleton and Haoxiang Zhu

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

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Citation 111

Abstract:

2.

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

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Citation 49

2

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 1,441 (22,973)

Citation 3

Abstract:

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 Last Revised: 18 May 2023

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 28 (835,122)

Citation 38

Abstract:

3.

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

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Citation 27

2

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 861 (48,185)

Citation 17

Abstract:

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035

Number of pages: 52 Posted: 04 Jun 2010 Last Revised: 26 Apr 2023

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 85 (504,743)

Citation 17

Abstract:

4.

Generalized Transform Analysis of Affine Processes and Applications in Finance

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Citation 18

2

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 681 (65,968)

Citation 13

Abstract:

Generalized Transform Analysis of Affine Processes and Applications in Finance

NBER Working Paper No. w16906

Number of pages: 66 Posted: 28 Mar 2011 Last Revised: 13 Mar 2022

Hui Chen and Scott Joslin

Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics

Downloads 46 (697,454)

Abstract:

5.

The Term Structure of Liquidity Premium

USC Marshall School of Business Research Paper

Number of pages: 58 Posted: 07 Nov 2019 Last Revised: 23 Mar 2021

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 599 (78,601)

Abstract:

6.

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

Scott Joslin, Marcel Priebsch and Kenneth J. Singleton

University of Southern California - Department of Finance and Business Economics, Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business

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Citation 128

Abstract:

7.

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 227 (230,926)

Citation 39

Abstract:

8.

Do Interest Rate Options Contain Information About Excess Returns?

Journal of Econometrics, Vol. 164, No. 1, 2011

Number of pages: 35 Posted: 17 Feb 2018 Last Revised: 01 Jun 2021

Caio Almeida, Jeremy Graveline and Scott Joslin

Princeton University, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics

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Citation 13

Scott Joslin

University of Southern California - Department of Finance and Business Economics

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Scholarly Papers (8)

A New Perspective on Gaussian Dynamic Term Structure Models

Abstract:

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

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

Abstract:

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

Abstract:

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

Abstract:

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

Abstract:

Generalized Transform Analysis of Affine Processes and Applications in Finance

Generalized Transform Analysis of Affine Processes and Applications in Finance

Abstract:

Generalized Transform Analysis of Affine Processes and Applications in Finance

Abstract:

The Term Structure of Liquidity Premium

Abstract:

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

Abstract:

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

Abstract:

Do Interest Rate Options Contain Information About Excess Returns?

Abstract:

Other Papers (1)

Do Options Contain Information About Excess Bond Returns?

Abstract: