Ivan Shaliastovich

 

Assistant Professor of Finance

The Wharton School, University of Pennsylvania

2318 Steinberg Hall - Dietrich Hall

3620 Locust Walk, Philadelphia, PA 19104

Phone: (215) 746-0005

Email: ishal AT wharton.upenn.edu

 

CV

 

Research Interests:

 

Asset pricing, financial econometrics

Publications:

 

Ravi Bansal, Dana Kiku, Ivan Shaliastovich, and Amir Yaron, 2014, Volatility, the Macroeconomy, and Asset Prices, Journal of Finance, 69(6): 2471—511. Internet Appendix.

 

Ravi Bansal and Ivan Shaliastovich, 2013, A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets, The Review of Financial Studies, 26(1): 1—33. Lead Article.

Ravi Bansal and Ivan Shaliastovich, 2011, Learning and Asset-Price Jumps, The Review of Financial Studies, 24(8): 2738—80

 

Ivan Shaliastovich and George Tauchen, 2011, Pricing of the Time-Change Risks, Journal of Economic Dynamics and Control, 35(6): 843—58

 

Ravi Bansal and Ivan Shaliastovich, 2010,  Confidence Risks and Asset Prices, American Economic Review, papers and proceedings, 100(2): 537—41

Bjørn Eraker and Ivan Shaliastovich, 2008,  An Equilibrium Guide to Designing Affine Pricing Models, Mathematical Finance 18(4): 519—43

 

Working Papers:

 

Darien Huang and Ivan Shaliastovich, 2014, Volatility-of-Volatility Risk

 

Gill Segal, Ivan Shaliastovich, and Amir Yaron, 2014, Good and Bad Uncertainty: Macroeconomic and Financial Market Implications

             -2014 Outstanding Paper, the Jacobs Levy Equity Management Center for Quantitative Financial Research

 

Bjørn Eraker, Ivan Shaliastovich, and Wenyu Wang, 2014, Durable Goods, Inflation Risk, and Equilibrium Asset Prices

             -MFA 2012, Best Asset Pricing Paper Award

 

Darien Huang and Ivan Shaliastovich, 2013, Risk Adjustment and the Temporal Resolution of

Uncertainty: Evidence from Options Markets

             -NFA 2013, IFSID Award for the Best Paper on Derivatives

 

Ivan Shaliastovich, 2014, Learning, Confidence, and Option Prices 

Ravi Bansal and Ivan Shaliastovich, 2009,  Confidence Risk and Asset Prices