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
Asset pricing, financial econometrics
Bjørn Eraker, Ivan Shaliastovich, and Wenyu Wang, 2015, Durable Goods, Inflation Risk, and Equilibrium Asset Prices, forthcoming in The Review of Financial Studies
-MFA 2012, Best Asset Pricing Paper Award
Ivan Shaliastovich, 2015, Learning, Confidence, and Option Prices, Journal of Econometrics, 187(1): 18—42.
Gill Segal, Ivan Shaliastovich, and Amir Yaron, 2015, Good and Bad Uncertainty: Macroeconomic and Financial Market Implications, Journal of Financial Economics, 117(2): 369—97.
-2014 Outstanding Paper, the Jacobs Levy Equity Management Center for Quantitative Financial Research
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.
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
Ivan Shaliastovich and Ram Yamarthy, 2015, Monetary Policy Risks in the Bond Markets and Macroeconomy
Darien Huang and Ivan Shaliastovich, 2014, Volatility-of-Volatility Risk
Darien Huang and Ivan Shaliastovich, 2013, Risk Adjustment and the Temporal Resolution of
-NFA 2013, IFSID Award for the Best Paper on Derivatives
Ravi Bansal and Ivan Shaliastovich, 2009, Confidence Risk and Asset Prices