Scott Joslin

University of Southern California - Department of Finance and Business Economics

CA

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 11,785

SSRN RANKINGS

Top 11,785

in Total Papers Downloads

5,811

SSRN CITATIONS
Rank 3,712

SSRN RANKINGS

Top 3,712

in Total Papers Citations

290

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 1,894 (12,157)
Citation 95

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 1,381 (19,432)
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 Last Revised: 18 May 2022
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 10 (807,881)
Citation 17

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 807 (42,245)
Citation 17

Abstract:

Loading...

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035
Number of pages: 52 Posted: 04 Jun 2010 Last Revised: 25 Apr 2022
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 45 (552,368)

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 625 (59,139)
Citation 13

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 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 24 (683,179)

Abstract:

Loading...

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 426 (95,714)

Abstract:

Loading...

Liquidity Premium, Term Structure, Monetary Policy

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
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
Downloads 345 (121,508)
Citation 128

Abstract:

Loading...

term structure model, macro finance, unspanned macro risks

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 209 (200,855)
Citation 39

Abstract:

Loading...

No-Arbitrage, Gaussian Macro-Finance Term Structure Models

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 J. Graveline and Scott Joslin
Princeton University, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 45 (541,720)
Citation 13

Abstract:

Loading...

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

Other Papers (1)

Total Downloads: 99
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
Princeton University, University of Minnesota - Carlson School of Management and University of Southern California - Department of Finance and Business Economics
Downloads 99

Abstract:

Loading...