Scott Joslin

Scott Joslin is a financial economist whose research focuses on capital markets, in particular, the study of bond and options markets and their interaction with the macroeconomy. His research involves sophisticated econometric and statistical techniques, and development of methods to solve computationally difficult problems. Professor Joslin's work has been published in journals that include American Economic Review and Review of Financial Studies. Prior to joining USC, he was on the faculty of MIT's Sloan School of Management.

Research Interests

• Asset pricing
• Fixed income
• Macro-finance
• Intersection of finance, macroeconomics, and accounting information

Education

• Doctor of Philosophy (Ph.D.) Stanford University Graduate School of Business (2002 — 2007)
• Master of Science (M.S.) Stanford University
• Master of Science (M.S.) Caltech

Companies

• Associate Professor Of Finance and Business Economics University of Southern California (2011)
• Assistant Professor of Finance MIT Sloan School of Management (2007 — 2011)

Published Papers

• Interest Rate Volatility and No-Arbitrage Affine Term Structure Models
  Management Science, Forthcoming, with Le.
• Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets Review of Financial Studies, January 2019, with Chen and Ni.
  
• Interest Rate Volatility, the Yield Curve, and the Macroeconomy
  Journal of Financial Economics, May 2018, with Konchtichki.
• Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?
  Management Science, April 2017, Single Authored.
  
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
  Journal of Finance, June 2014, with Priebsch and Singleton.
• Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs
  Journal of Financial Economics, September 2013, with Le and Singleton.
• Macro-Finance Term Structure Models with Lags
  Journal of Financial Econometrics, Fall 2013, with Le and Singleton.
• Rare Disasters and Risk Sharing with Heterogeneous Beliefs
  Review of Financial Studies, July 2012, with Chen and Tran.
• Generalized Transform Analysis of Affine Processes: with Applications in Finance
  Review of Financial Studies, July 2012, with Chen. Online Appendix.
• Do Options Contain Information About Excess Bond Returns?
  Journal of Econometrics, September 2011, with Almeida and Graveline.
• A New Perspective on Gaussian Dynamic Term Structure Models
  Review of Financial Studies, March 2011, with Singleton and Zhu. Matlab code
• Affine Disagreement and Asset Pricing
  American Economic Review, May (p&p), 2010, with Chen and Tran.
• An Equivalence Result for VC Sets
  Econometric Theory, December, 2003, with Sherman.