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




Research Interests:


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, 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:


Lin Gao, Steffen Hitzemann, Ivan Shaliastovich, Lai Xu, “Oil Volatility Risk” (coming soon)

Riccardo Colacito, Mariano Croce, Yang Liu, and Ivan Shaliastovich, 2015, Volatility Risk Pass-Through

Nicole Branger, Christian Schlag, Ivan Shaliastovich, and Dongho Song, 2015, Macroeconomic Bond Risks at the Zero Lower Bound

Mete Kilic and Ivan Shaliastovich, 2015, Good and Bad Variance Premia and Expected Returns

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

Uncertainty: Evidence from Options Markets

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


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