Knowledge Wharton
Ivan Shaliastovich
Research Publications Biography
Research Areas
Asset pricing; financial econometrics
Current Projects
Long-run risks and asset prices; large asset price moves and jump risk; learning and confidence risks
Asset pricing; financial econometrics
Long-run risks and asset prices; large asset price moves and jump risk; learning and confidence risks
(with Bjørn Eraker)
"An Equilibrium Guide to Designing Affine Pricing Models." Mathematical Finance 18, 519–543, (2008).
"Learning, Confidence and Option Prices," Working paper, 2009.
(with Ravi Bansal)
“A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets.” Working paper, 2009.
(with Ravi Bansal)
"Learning and Asset-Price Jumps." Working paper, 2009.
(with Ravi Bansal)
"Confidence Risks and Asset Prices." December 2008.
PhD, Duke University, 2009
Wharton: 2009-present.
