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:

 

Ivan Shaliastovich, 2015, Learning, Confidence, and Option Prices, forthcoming in Journal of Econometrics 

Gill Segal, Ivan Shaliastovich, and Amir Yaron, 2015, Good and Bad Uncertainty: Macroeconomic and Financial Market Implications, forthcoming in Journal of Financial Economics

             -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:

 

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

 

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

 

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