Darrell Duffie
Darrell Duffie
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Название
Процитировано
Процитировано
Год
Dynamic asset pricing theory
D Duffie
Princeton University Press, 2010
48042010
Modeling term structures of defaultable bonds
D Duffie, KJ Singleton
The review of financial studies 12 (4), 687-720, 1999
34891999
Transform analysis and asset pricing for affine jump‐diffusions
D Duffie, J Pan, K Singleton
Econometrica 68 (6), 1343-1376, 2000
34792000
A yield‐factor model of interest rates
D Duffie, R Kan
Mathematical finance 6 (4), 379-406, 1996
29281996
An overview of value at risk
D Duffie, J Pan
Journal of derivatives 4 (3), 7-49, 1997
17921997
Credit risk: pricing, measurement, and management
D Duffie, KJ Singleton
Princeton university press, 2012
17542012
Term structures of credit spreads with incomplete accounting information
D Duffie, D Lando
Econometrica 69 (3), 633-664, 2001
15512001
Asset pricing with heterogeneous consumers
GM Constantinides, D Duffie
Journal of Political economy 104 (2), 219-240, 1996
13831996
Stochastic differential utility
D Duffie, LG Epstein
Econometrica: Journal of the Econometric Society, 353-394, 1992
11881992
Simulated moments estimation of Markov models of asset prices
D Duffie, KJ Singleton
National Bureau of Economic Research Working Paper Series, 1990
11431990
Over‐the‐counter markets
D Duffie, N Gârleanu, LH Pedersen
Econometrica 73 (6), 1815-1847, 2005
11022005
Multi-period corporate default prediction with stochastic covariates
D Duffie, L Saita, K Wang
Journal of Financial Economics 83 (3), 635-665, 2007
10952007
Affine processes and applications in finance
D Duffie, D Filipović, W Schachermayer
The Annals of Applied Probability 13 (3), 984-1053, 2003
10802003
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
10471997
Corporate incentives for hedging and hedge accounting
PM DeMarzo, D Duffie
The review of financial studies 8 (3), 743-771, 1995
9101995
Credit swap valuation
D Duffie
Financial Analysts Journal 55 (1), 73-87, 1999
8701999
A liquidity‐based model of security design
P DeMarzo, D Duffie
Econometrica 67 (1), 65-99, 1999
8311999
Risk and valuation of collateralized debt obligations
D Duffie, N Garleanu
Financial analysts journal 57 (1), 41-59, 2001
7972001
Security markets: Stochastic models
D Duffie
Academic Press, 1988
7451988
Presidential address: Asset price dynamics with slow‐moving capital
D Duffie
The Journal of finance 65 (4), 1237-1267, 2010
7152010
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