Working Papers

"Efficient Contracting in Network Financial Markets" (with Chaojun Wang), Working paper, Graduate School of Business, Stanford University, January, 2017.

"Dynamic Directed Random Matching" (with Lei Qiao and Yeneng Sun), Working Paper, Graduate School of Business, Stanford University, November, 2015.

"Robust Benchmark Design" (with Piotr Dworczak), Working Paper, Graduate School of Business, Stanford University, September, 2014.

"How Should We Regulate Derivatives Markets," Briefing Paper Number 5, The Pew Financial Reform Project, 2009.

"Competing for a Share of the Global Derivatives Market: Trends and Policy Choices for the United States" (with Henry T.C. Hu), Working Paper, Graduate School of Business, Stanford University, 2008.

"Innovations in Credit Risk Transfer: Implications for Financial Stability,'' Graduate School of Business, Stanford University, June, 2007.

"Measuring Default-Risk Premia from Default Swap Rates and EDFs" (with Antje Berndt, Rohan Douglas, Mark Ferguson, and David Schranz), Graduate School of Business, Stanford University, November, 2005.

"Risk and Valuation of Collateralized Debt Obligations" (the working-paper version, with additional details, of an article of the same title published in the Financial Analysts Journal , January-February 2001, co-authored with Nicolae Garleanu), Graduate School of Business, Stanford University, April, 2000.

 "Simulating Correlated Defaults" (with Kenneth Singleton), Graduate School of Business, Stanford University, September, 1998.

"Defaultable Term Structure Models with Fractional Recovery of Par," Graduate School of Business, Stanford University, August, 1998.

"First-to-Default Valuation,'' Institut de Finance, University of Paris, Dauphine, and Graduate School of Business, Stanford University, May 10, 1998.

"Swap Rates and Credit Quality -- Supplementary Results'' (with Ming Huang), containing technical material beyond that published in our 1996 article in The Journal of Finance , Working Paper, Graduate School of Business, Stanford University, March, 1995.

"A Liquidity-Based Model of Asset-Backed Security Design'' (with Peter DeMarzo), Working Paper, Kellogg Graduate School of Management, Northwestern University, November, 1993.

"Equilibrium and The Role of the Firm in Incomplete Markets'' (with Wayne Shafer), Graduate School of Business, Stanford University, August, 1986.

"Stochastic Production-Exchange Equilibria'' (with Chi-Fu Huang), Research Paper, Graduate School of Business, Stanford University, May 1986.

"Price Operators: Extensions, Potentials, and the Markov Valuation of Securities,'' Research Paper No. 813, Graduate School of Business, Stanford University, July, 1985.

"Diffusion Approximation in Arrow's Model of Exhaustible Resources'' (with Michael Taksar), Technical Report Number 416, Stanford Institute for Mathematical Studies in The Social Sciences (Economics Series), Stanford University, August, 1983.  

Contact

655 Knight Way
Graduate School of Business
Stanford University, Stanford, CA 94305-7298
Email: duffie@stanford.edu

Curriculum Vitae