Survey Articles

"Challenges to A Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," forthcoming, Journal of Legal Studies, 2014.

Comment on "Risk Topography," by Brunnermeier, Gorton, and Krishnamurthy, in NBER Macroeconomics Annual 2011, edited by Daron Acemoglu and Michael Woodford. Chicago: University of Chicago Press, 2012, pp. 177-183.

"Policy Issues Facing the Market for Credit Derivatives" in The Road Ahead for the Fed, edited by John D. Ciorciari and John B. Taylor, Hoover Institution Press, 2009.

 "A Review of 'Stochastic Calculus for Finance" by Steven E. Shreve, Bulletin of the American Mathematical Society 2009, Volume 46: 165-174.

"Credit Risk Modeling with Affine Processes,'' Cattedra Galileana Lectures, Scuola Normale, Pisa, April, 2002, Journal of Banking and Finance 2005, Volume 29: 2751-2802.

"Black, Merton, and Scholes - Their Central Contributions to Economics," Scandinavian Journal of Economics 1998, Volume 100: 411-424, reprinted in The Legacy of Fischer Black, edited by Bruce Lehman, (New York: Oxford) 2005. The publication is available at www.onlinelibrary.wiley.com.

"Credit Risk for OTC Derivatives Portfolios: Exposure and Valuation" (with Eduardo Canabarro), in ALM of Financial Institutions, edited by Leo Tilman, Institutional Investor Books, 2004.

"Intertemporal Asset Pricing Theory" in Handbook of The Economics of Finance, Volume 1 Part 2, Financial Markets and Asset Pricing, 2003, edited by George Constantinides, Milton Harris, and Rene Stulz, Amsterdam: Elsevier North-Holland, Chapter 11: 639-742.

 "An Overview of Value at Risk'' with Jun Pan, Journal of Derivatives 1997, Volume 4: 7-49, reprinted in Options Markets, edited by G. Constantinides and A. G. Malliaris, London: Edward Elgar, 2000.  

"Incomplete Security Markets with Infinitely Many States: An Introduction,'' Journal of Mathematical Economics 1996, Volume 26: 1-8.

"Financial Market Innovation and Security Design'' (with Rohit Rahi), Journal of Economic Theory 1995, Volume 65: 1-42.

"Multi-Factor Term Structure Models" (with Rui Kan), Philosophical Transactions of The Royal Society, Series A, Volume 347: 577-586, reprinted in Mathemtical Models in Finance, Chapman and Hall, 1995.

"Martingales, Arbitrage, and Portfolio Choice,'' Proceedings of The European Congress of Mathematics, Volume II, Invited Lectures, edited by A. Joeseph and R. Rentschler, Boston: Birkhäuser Press, 1994, pages 3-21.

"Debt Management and Interest Rate Risk,'' Risk Management: Challenges and Solutions, edited by W. Beaver and G. Parker, McGraw-Hill Publishing Company, 1994.

"Asset Pricing in Incomplete Markets", Hitotsubashi Journal of Economics 1993, Volume 34, Special Issue: pp. 139-148.

"Spanning in Security Markets,''  The New Palgrave Dictionary of Money and Finance, edited by P. Newman, M. Milgate, and J. Eatwell, London: The Macmillan Press, 1992.

"The Modigliani-Miller Theorem,'' The New Palgrave Dictionary of Money and Finance, edited by P. Newman, M. Milgate, and J. Eatwell, London: The Macmillan Press, 1992.

"The Nature of Incomplete Security Markets,'' Advances in Economic Theory, Volume 2, edited by Jean-Jacques Laffont, Cambridge University Press (1992), 214-262.

"Intertemporal General Equilibrium: Comment,'' Value and Capital, Fifty Years Later, edited by Lionel McKenzie and Stefano Zamagni, London: Macmillan (1991), 461-468.

"The Theory of Value in Security Markets," The Handbook of Mathematical Economics 1991, Volume IV, Chapter 31, 1615-1682, edited by Werner Hildenbrand and Hugo Sonnenschein, North-Holland.

" 'The New Palgrave: Finance,' A Review,'' Journal of Monetary Economics 1990, Volume 25: 477-480.

" 'Frontiers of Modern Financial Theory, Volume 1, Theory of Valuation,' A Review,'' Review of Financial Studies 1989, Volume 2: 267-272.

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Email: duffie@stanford.edu