Asset Pricing, General Equilibrium, and Investments

"Funding Value Adjustments," (with Leif Andersen and Yang Song), Journal of Finance, Volume 74 (2019).

"Augmenting Markets with Mechanisms" (with Sam Antill),  Working paper, Graduate School of Business, Stanford University, May, 2018.

"Corporate Credit Risk Premia" (with Antje Berndt, Rohan Douglas, and Mark Ferguson), Review of Finance, Volume 22 (2018), pp. 419-454.

"Size Discovery" (with Haoxiang Zhu), Review of Financial Studies, Volume 30 (2017), pages 1095-1150. First Prize, AQR Insight Award, May, 2016 (with technical appendix).

"Size Discovery Protocols are not on the Efficient Frontier," Risk, May 24, 2017.

"The Covered Interest Parity Conundrum," Risk, March 27, 2017.

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

"Information Percolation in Segmented Markets" (with Semyon Malamud and Gustavo Manso), Journal of Economic Theory, Volume 157 (2015), pp. 1130-1158. Technical Appendices (published online only).

"Challenges to A Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," Journal of Legal Studies, Volume 43 (2014), pp. S173-S182.

"Challenges to A Policy Treatment of Speculative Trading Motivated by Differences in Beliefs," Working Paper, February, 2014.

"Capital Mobility and Asset Pricing" (with Bruno Strulovici),  Econometrica 2012, Volume 80:2469-2509.   Supplement.  The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"Asset Price Dynamics with Slow-Moving Capital" (American Finance Association Presidential Address), Journal of Finance 2010, Volume 65: 1238-1268. Software prepared by Kevin Wu for plots and computation of coefficients.

"The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation" (with Semyon Malamud and Gustavo Manso), Journal of Economic Theory 2010, Volume 145: 1574-1601.   

"Information Percolation with Equilibrium Search Dynamics" (with Semyon Malamud and Gustavo Manso), Econometrica 2009, Volume 77: 1513-1574. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

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

"Information Percolation" (with Gaston Giroux and Gustavo Manso), Graduate School of Business, Stanford University, American Economics Journal: Microeconomic Theory, March 2008.

"Information Percolation in Large Markets'' (with Gustavo Manso),  American Economic Review, Papers and Proceedings 2007, Volume 97: 203-209.

"Systemic Illiquidity in the Federal Funds Market" (with Adam Ashcraft), American Economic Review, Papers and Proceedings 2007, Volume 97: 221-225.

"Valuation in Over-the-Counter Markets" (with Nicolae Garleanu and Lasse Pedersen), Review of Financial Studies 2007, Volume 20: 1865-1900.  For the working paper version, click here.

"Over-the-Counter Markets" (with Nicolae Garleanu and Lasse Pedersen), Econometrica 2005, Volume 73: 1815-1847. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"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.

"Modeling Sovereign Yield Spreads: A Case Study of Russian Debt'' (with Lasse Pedersen and Ken Singleton), Journal of Finance 2003, Volume 58: 119-160.

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

"Market Pricing of Deposit Insurance'' (with Robert Jarrow, Amiyatosh Purnanandam, and Wei Yang), Journal of Financial Services Research 2003, Volume 24: 93-119.

"Securities Lending, Shorting, and Pricing'' (with Nicolae Garleanu and Lasse Pedersen), Journal of Financial Economics 2002, Volume 66: 307-339, Winner, 2002 New York Stock Exchange Award for The Best Paper on Equity Trading.

"Universal State Prices and Asymmetric Information" (with Rui Kan), Journal of Mathematical Economics 2002, Volume 38: 191-196.

"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.

"Term Structure of Credit Spreads with Incomplete Accounting Information" (with David Lando), Econometrica 2001, Volume 69: 633-664. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"Analytical Value at Risk with Jumps and Credit Risk" with Jun Pan, Finance and Stochastics 2001, Volume 5: 155-180. The publication is available at www.springerlink.com.

"Risk and Valuation of Collateralized Debt Obligations" (with Nicolae Garleanu), Financial Analysts Journal 2001, Volume 57: 41-59, Winner of 2001 Graham and Dodd Award of Excellence.

"Floating-Fixed Credit Spreads" (with Jun Liu), Financial Analysts Journal 2001, Volume 57, Number 3: 76-87.

BankOne Case, Regarding Market Valuation of Swaps, 2001

"Transform Analysis and Asset Pricing for Affine Jump Diffusions" (with Jun Pan and Kenneth Singleton), Econometrica 2000, Volume 68: 1343-1376. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org(Correction of a correlation calculation by Jean-Pierre Zygrand).

"Risk and Valuation of Collateralized Debt Obligations" (with Nicolae Garleanu), Financial Analysts Journal 2001, Volume 57: 41-59, Winner of 2001 Graham and Dodd Award of Excellence.  (Supplementary Research)

"Credit Swap Valuation" Financial Analysts Journal 1999, January-February: 73-87.

"Modeling Term Structures of Defaultable Bonds" (with Ken Singleton), Review of Financial Studies 1999, Volume 12: 687-720, Winner, Smith-Breeden Award.

"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.

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

"Hedging in Incomplete Markets with HARA Utility" (with Wendell Fleming, Mete Soner, and Thaleia Zariphopoulou), Journal of Economic Dynamics and Control, Volume 21 (1997), 753-782.

"An Econometric Model of the Term Structure of Interest Rate Swap Yields" (with Ken Singleton), Journal of Finance 1997, Volume 52: 1287-1323, Winner, Smith-Breeden Award.

"A Term Structure Model with Preferences for the Timing of the Resolution of Uncertainty" (with Mark Schroder and Costis Skiadas), Economic Theory 1997, Volume 9: 3-22. The publication is available at www.springerlink.com.

 "Asset Pricing with Heterogeneous Consumers" (with George Constantinides), Journal of Political Economy 1996,Volume 104: 219-240.

"Special Repo Rates," Journal of Finance 1996, Volume 51: 493-526.

"A Yield-Factor Model of Interest Rates" (with Rui Kan), Mathematical Finance 1996, Volume 6: 379-406. The publication is available at www.onlinelibrary.wiley.com.

"Swap Rates and Credit Quality" (with Ming Huang), Journal of Finance 1996,Volume 51: 921-950. 

"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.

"Recursive Valuation of Defaultable Securities and the Timing of the Resolution of Uncertainty" (with Mark Schroder and Costis Skiadas),  Annals of Applied Probability 1996, Volume 6: 1075-1090.

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

"Efficient Monte Carlo Estimation of Security Prices" (with Peter Glynn), Annals of Applied Probability 1995, Volume 5: 897-905.

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

"Multi-Factor Interest Rate 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.

"Continuous-Time Security Pricing: A Utility Gradient Approach" (with Costis Skiadas), Journal of Mathematical Economics 1994, Volume 23: 107-132.

"Efficient and Equilibrium Allocations with Stochastic Differential Utility" (with Pierre-Yves Geoffard and Costis Skiadas), Journal of Mathematical Economics 1994, Volume 23: 133-146.

"Stationary Markov Equilibria" (with John Geanakoplos, Andreu Mas-Colell, and Andy McLennan), Econometrica 1994, Volume 62: 745-782. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"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.

"Optimal Investment with Undiversifiable Income Risk'' (with Thaleia Zariphopoulou), Mathematical Finance 1993, Volume 3: 135-148. The publication is available at www.onlinelibrary.wiley.com.

"Arbitrage Pricing of Russian Options and Perpetual Lookback Options" (with J. Michael Harrison), Annals of Applied Probability 1993, Volume 3: 641-651.

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

"Pricing Continuously Resettled Contingent Claims" (with Richard Stanton), Journal of Economic Dynamics and Control 1992, Volume 16: 561-574.

"Stochastic Differential Utility" (with Larry Epstein), Econometrica 1992, Volume 60: 353-394. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"PDE Solutions of Stochastic Differential Utility" (with P.-L. Lions), Journal of Mathematical Economics 1992, Volume 21: 577-606.

"Asset Pricing with Stochastic Differential Utility" (with Larry Epstein), Review of Financial Studies 1992, Volume 5: 411-436.

"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 Arbitrage and the Markov Valuation of Securities'' (with Mark Garman), Cuadernos Economicos de ICE 1991, Volume 49: 37-60. English Version.

"Mean-Variance Hedging in Continuous Time" (with Henry Richardson), Annals of Applied Probability 1991, Volume 1: 1-15.

"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.

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

"Optimal Hedging and Equilibrium in a Dynamic Futures Market" (with Matthew O. Jackson), Journal of Economic Dynamics and Control 1990, Volume 14: 21-33.

"Money in General Equilibrium Theory,'' Chapter 3, Handbook of Monetary Economics 1990, Volume 1: 81-100, edited by B. M. Friedman and F. H. Hahn, Elsevier Science Publishers, Amsterdam.

"Transactions Costs and Portfolio Choice in a Discrete-Continuous Time Setting'' (with Tong-Sheng Sun), Journal of Economic Dynamics and Control 1990, Volume 14: 35-51. The publication is available at www.sciencedirect.com.

"The Risk-Neutral Value of the Early Arbitrage Option,'' Advances in Futures and Options Research 1990, Volume 4: 107-110.

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

"Arrow and General Equilibrium Theory" (with Hugo Sonnenschein), Journal of Economic Literature 1989, Volume 27: 565-598.

"The Consumption-Based Capital Asset Pricing Model" (with Bill Zame), Econometrica 1989, Volume 57: 1279-1298. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

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

"An Extension of the Black-Scholes Model of Security Valuation,'' Journal of Economic Theory 1988, Volume 46: 194-204. The publication is available at www.sciencedirect.com.

"Stochastic Equilibria with Incomplete Financial Markets,'' Journal of Economic Theory 1987, Volume 41: 405-416. Corrigendum, Volume 49 (1989), p. 384. The publication is available at www.sciencedirect.com.

"Competitive Equilibria in General Choice Spaces,'' Journal of Mathematical Economics 1986, Volume 14: 1-23. The publication is available at www.sciencedirect.com.

"Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gains From Trade' Hypothesis,'' Econometrica 1986, Volume 54: 1161-1184. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"Multiperiod Security Markets with Differential Information: Martingales and Resolution Times'' (with Chi-fu Huang), Journal of Mathematical Economics 1986, Volume 15: 283-303. The publication is available at www.sciencedirect.com.

"Equilibrium in Incomplete Markets: II. Generic Existence in Stochastic Economies'' (with Wayne Shafer), Journal of Mathematical Economics 1986, Volume 15: 199-216, reprinted in Landmark Papers In General Equilibrium Theory, Social Choice And Welfare, selected by Kenneth J. Arrow and Gérard Debreu, Cheltenham: Edward Elgar, 2001, Chapter 20. The publication is available at www.sciencedirect.com.

"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.

"Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities" (with Chi-fu Huang), Econometrica 1985, Volume 53: 1337-1356, reprinted in Continuous-Time Finance, edited by Stephen Schaefer, London: Edward Elgar, 2000, and in Theory of Valuation, second edition, edited by Sudipto Bhattacharya and George Constantinides (Singapore: World Scientific), 2005. The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org.

"Equilibrium in Incomplete Markets: I. A Basic Model of Generic Existence'' (with Wayne Shafer), Journal of Mathematical Economics 1985, Volume 13: 285-300, reprinted in Landmark Papers In General Equilibrium Theory, Social Choice And Welfare, selected by Kenneth J. Arrow and Gérard Debreu, Cheltenham: Edward Elgar, 2001, Chapter 20. The publication is available at www.sciencedirect.com.

"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.  

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Graduate School of Business
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Email: duffie@stanford.edu

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