Darrell Duffie
Darrell Duffie
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TitleCited byYear
Dynamic asset pricing theory
D Duffie
Princeton University Press, 2010
47092010
Modeling term structures of defaultable bonds
D Duffie, KJ Singleton
The review of financial studies 12 (4), 687-720, 1999
33781999
Transform analysis and asset pricing for affine jump‐diffusions
D Duffie, J Pan, K Singleton
Econometrica 68 (6), 1343-1376, 2000
33202000
A yield‐factor model of interest rates
D Duffie, R Kan
Mathematical finance 6 (4), 379-406, 1996
28251996
An overview of value at risk
D Duffie, J Pan
Journal of derivatives 4 (3), 7-49, 1997
17241997
Credit risk: pricing, measurement, and management
D Duffie, KJ Singleton
Princeton university press, 2012
16642012
Term structures of credit spreads with incomplete accounting information
D Duffie, D Lando
Econometrica 69 (3), 633-664, 2001
14832001
Asset pricing with heterogeneous consumers
GM Constantinides, D Duffie
Journal of Political economy 104 (2), 219-240, 1996
12991996
Stochastic differential utility
D Duffie, LG Epstein
Econometrica: Journal of the Econometric Society, 353-394, 1992
11301992
Simulated moments estimation of Markov models of asset prices
D Duffie, KJ Singleton
National Bureau of Economic Research, 1990
10981990
Multi-period corporate default prediction with stochastic covariates
D Duffie, L Saita, K Wang
Journal of Financial Economics 83 (3), 635-665, 2007
10312007
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
10191997
Affine processes and applications in finance
D Duffie, D Filipović, W Schachermayer
The Annals of Applied Probability 13 (3), 984-1053, 2003
10172003
Over‐the‐counter markets
D Duffie, N Gârleanu, LH Pedersen
Econometrica 73 (6), 1815-1847, 2005
10162005
The relation between treasury yields and corporate bond yield spreads
GR Duffee
The Journal of Finance 53 (6), 2225-2241, 1998
9471998
Corporate incentives for hedging and hedge accounting
PM DeMarzo, D Duffie
The review of financial studies 8 (3), 743-771, 1995
8711995
Credit swap valuation
D Duffie
Financial Analysts Journal 55 (1), 73-87, 1999
8381999
A liquidity‐based model of security design
P DeMarzo, D Duffie
Econometrica 67 (1), 65-99, 1999
7891999
Risk and valuation of collateralized debt obligations
D Duffie, N Garleanu
Financial analysts journal 57 (1), 41-59, 2001
7812001
Security markets: Stochastic models
D Duffie
Academic Press, 1988
7211988
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Articles 1–20