Photo of Ivan Shaliastovich

Ivan Shaliastovich

Assistant Professor of Finance

Research Interests: asset pricing, financial econometrics

Links: CV, Personal Website

Contact Information

Address: 2423 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
Email: ishal@wharton.upenn.edu
Office: (215) 898-1118

Overview

Education

PhD, Duke University, 2009

Academic Positions Held

Wharton: 2009-present.

Research


  • Ivan Shaliastovich (2015), Learning, confidence, and option prices, Journal of Econometrics, 187 (1), 18 - 42.
  • Darien Huang, Ivan Shaliastovich (Draft), Volatility-of-Volatility Risk.  Abstract
  • Ravi Bansal, Dana Kiku, Ivan Shaliastovich, Amir Yaron (2014), Volatility, the Macroeconomy, and Asset Prices, Journal of Finance, 69 (6), 2471 - 2511.
  • Darien Huang, Ivan Shaliastovich (Draft), Risk Adjustment and the Temporal Resolution of Uncertainty: Evidence from Options Markets.  Abstract
  • Ivan Shaliastovich, Ravi Bansal (2013), A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets, Review of Financial Studies, 26 (1), 1 - 33.
  • Ivan Shaliastovich, Bjorn Eraker, Wenyu Wang (Working), Durable Goods, Inflation Risk and the Equilibrium Term Structure.  Abstract
  • Ivan Shaliastovich, Ravi Bansal (2011), Learning and Asset-Price Jumps, Review of Financial Studies, 24 (8), 2738 - 2780.  Abstract
  • Ivan Shaliastovich, George Tauchen (2011), Pricing of the Time-Change Risks, Journal of Economic Dynamics and Control, 35 (6), 843 - 858.  Abstract
  • Ravi Bansal, Ivan Shaliastovich (2010), Confidence Risk and Asset Prices, American Economic Review, 100 (2), 537 - 541.  Abstract
  • Ravi Bansal, Ivan Shaliastovich (Working), Confidence Risk and Asset Prices.  Abstract
  • Bjørn Eraker, Ivan Shaliastovich (2008), An Equilibrium Guide to Designing Affine Pricing Models, Mathematical Finance, 18 (4), 519 - 543.  Abstract

Courses

Previous

  • FNCE934 - EMPIRICAL METHODS IN ASSET PRICING

    Rigorous treatment of current empirical research in finance. Applications of multivariate and nonlinear methods. Intertemporal and multifactor pricing models. Conditional distributions. Temporal dependence in asset returns.