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Darrell Duffie
Darrell Duffie
Verifisert e-postadresse på stanford.edu - Startside
Tittel
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År
Dynamic asset pricing theory
D Duffie
Princeton University Press, 2010
53972010
Transform analysis and asset pricing for affine jump‐diffusions
D Duffie, J Pan, K Singleton
Econometrica 68 (6), 1343-1376, 2000
40812000
Modeling term structures of defaultable bonds
D Duffie, KJ Singleton
The review of financial studies 12 (4), 687-720, 1999
39651999
A yield‐factor model of interest rates
D Duffie, R Kan
Mathematical finance 6 (4), 379-406, 1996
33441996
Credit risk: Pricing, measurement, and management
KJ Singleton, D Duffie
Princeton University Press, 2012
2125*2012
An overview of value at risk
D Duffie, J Pan
Journal of derivatives 4 (3), 7-49, 1997
20871997
Term structures of credit spreads with incomplete accounting information
D Duffie, D Lando
Econometrica 69 (3), 633-664, 2001
18112001
Asset pricing with heterogeneous consumers
GM Constantinides, D Duffie
Journal of Political economy 104 (2), 219-240, 1996
16121996
Over‐the‐counter markets
D Duffie, N Gârleanu, LH Pedersen
Econometrica 73 (6), 1815-1847, 2005
15262005
Stochastic differential utility
D Duffie, LG Epstein
Econometrica: Journal of the Econometric Society, 353-394, 1992
14941992
Multi-period corporate default prediction with stochastic covariates
D Duffie, L Saita, K Wang
Journal of financial economics 83 (3), 635-665, 2007
13642007
Simulated moments estimation of Markov models of asset prices
D Duffie, KJ Singleton
Econometrica 61, 929-952, 1993
13421993
Affine processes and applications in finance
D Duffie, D Filipović, W Schachermayer
The Annals of Applied Probability 13 (3), 984-1053, 2003
12872003
An econometric model of the term structure of interest‐rate swap yields
D Duffie, KJ Singleton
The Journal of Finance 52 (4), 1287-1321, 1997
11651997
Corporate incentives for hedging and hedge accounting
PM DeMarzo, D Duffie
The review of financial studies 8 (3), 743-771, 1995
11191995
Presidential address: Asset price dynamics with slow‐moving capital
D Duffie
The Journal of finance 65 (4), 1237-1267, 2010
10122010
Credit swap valuation
D Duffie
Financial Analysts Journal 55 (1), 73-87, 1999
9911999
A liquidity‐based model of security design
P DeMarzo, D Duffie
Econometrica 67 (1), 65-99, 1999
9861999
Securities lending, shorting, and pricing
D Duffie, N Garleanu, LH Pedersen
Journal of Financial Economics 66 (2-3), 307-339, 2002
8702002
Risk and valuation of collateralized debt obligations
D Duffie, N Garleanu
Financial analysts journal 57 (1), 41-59, 2001
8672001
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Artikler 1–20