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1

An Overview of Value at Risk

Duffie, Darrell, Pan, Jun

Journal:

The Journal of Derivatives

Year:

1997

Language:

english

File:

PDF, 1.10 MB

english, 1997

2

A YIELD-FACTOR MODEL OF INTEREST RATES

Darrell Duffie, Rui Kan

Journal:

Mathematical Finance

Year:

1996

Language:

english

File:

PDF, 1.36 MB

english, 1996

3

Reforming LIBOR and Other Financial Market Benchmarks

Duffie, Darrell, Stein, Jeremy C.

Journal:

Journal of Economic Perspectives

Year:

2015

Language:

english

File:

PDF, 1.49 MB

english, 2015

4

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth Singleton

Journal:

Year:

2000

Language:

english

File:

PDF, 265 KB

english, 2000

5

Financial Market Innovation and Security Design: An Introduction

Darrell Duffie, Rohit Rahi

Journal:

Journal of Economic Theory

Year:

1995

File:

PDF, 1.91 MB

1995

6

Multi-period corporate default prediction with stochastic covariates

Darrell Duffie, Leandro Saita, Ke Wang

Journal:

Journal of Financial Economics

Year:

2007

Language:

english

File:

PDF, 381 KB

english, 2007

7

Risk and Valuation of Collateralized Debt Obligations

Duffie, Darrell, Gârleanu, Nicolae

Journal:

Financial Analysts Journal

Year:

2001

Language:

english

File:

PDF, 466 KB

english, 2001

8

The Squam Lake Report: Fixing the Financial System

Kenneth French, Martin Baily, John Campbell, John Cochrane, Douglas Diamond, Darrell Duffie, Anil Kashyap, Frederic Mishkin, Raghuram Rajan, David Scharfstein, Robert Shiller, Hyun Song Shin, Matthew

Journal:

Journal of Applied Corporate Finance

Year:

2010

Language:

english

File:

PDF, 369 KB

english, 2010

9

Compression Auctions With an Application to LIBOR-SOFR Swap Conversion

Duffie, James Darrell

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 173 KB

english, 2018

10

Multiperiod security markets with differential information: Martingales and resolution times

Darrell Duffie, Chi-fu Huang

Journal:

Journal of Mathematical Economics

Year:

1986

Language:

english

File:

PDF, 1.28 MB

english, 1986

11

Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities

Darrell Duffie and Chi-Fu Huang

Journal:

Year:

1985

Language:

english

File:

PDF, 558 KB

english, 1985

12

Multi-Period Corporate Failure Prediction With Stochastic Covariates

Duffie, Darrell, Wang, Ke

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 307 KB

english, 2003

13

Asset Pricing with Heterogeneous Consumers

George M. Constantinides and Darrell Duffie

Journal:

Journal of Political Economy

Year:

1996

Language:

english

File:

PDF, 432 KB

english, 1996

14

Reforming Money Market Funds

Baily, Martin N., Campbell, John Y., Cochrane, John H., Diamond, Douglas W., Duffie, Darrell, French, Kenneth R., Kashyap, Anil K., Mishkin, Frederic S., Scharfstein, David S., Shiller, Robert J., Sla

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 637 KB

english, 2011

15

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

Darrell Duffie and Kenneth J. Singleton

Journal:

The Journal of Finance

Year:

1997

Language:

english

File:

PDF, 988 KB

english, 1997

16

Asset Pricing with Stochastic Differential Utility

Darrell Duffie and Larry G. Epstein

Journal:

Review of Financial Studies

Year:

1992

Language:

english

File:

PDF, 468 KB

english, 1992

17

Securities lending, shorting, and pricing

Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen

Journal:

Journal of Financial Economics

Year:

2002

Language:

english

File:

PDF, 499 KB

english, 2002

18

Arrow and General Equilibrium Theory

Darrell Duffie and Hugo Sonnenschein

Journal:

Journal of Economic Literature

Year:

1989

Language:

english

File:

PDF, 5.09 MB

english, 1989

19

Arbitrage Pricing of Russian Options and Perpetual Lookback Options

J. Darrell Duffie and J. Michael Harrison

Journal:

The Annals of Applied Probability

Year:

1993

Language:

english

File:

PDF, 1.43 MB

english, 1993

20

Credit risk modeling with affine processes

Journal:

Journal of Banking & Finance

Year:

2005

Language:

english

File:

PDF, 505 KB

english, 2005

21

Simulated Moments Estimation of Markov Models of Asset Prices

Duffie, Darrell, Singleton, Kenneth J.

Journal:

Year:

1993

Language:

english

File:

PDF, 618 KB

english, 1993

22

Financial Regulatory Reform After the Crisis: An Assessment

Duffie, Darrell

Journal:

Management Science

Year:

2017

Language:

english

File:

PDF, 620 KB

english, 2017

23

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 1.13 MB

english, 2003

24

Credit Swap Valuation

Duffie, Darrell

Journal:

Financial Analysts Journal

Year:

1999

Language:

english

File:

PDF, 345 KB

english, 1999

25

Special Repo Rates

Journal:

The Journal of Finance

Year:

1996

Language:

english

File:

PDF, 905 KB

english, 1996

26

Funding Value Adjustments

ANDERSEN, LEIF, DUFFIE, DARRELL, SONG, YANG

Journal:

The Journal of Finance

Year:

2018

Language:

english

File:

PDF, 508 KB

english, 2018

27

Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals

Darrell Duffie, Peter Glynn

Journal:

Year:

2004

Language:

english

File:

PDF, 294 KB

english, 2004

28

Incomplete security markets with infinitely many states: An introduction

Journal:

Journal of Mathematical Economics

Year:

1996

Language:

english

File:

PDF, 749 KB

english, 1996

29

Analytical value-at-risk with jumps and credit risk

Darrell Duffie, Jun Pan

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 226 KB

english, 2001

30

Common Failings: How Corporate Defaults Are Correlated

SANJIV R. DAS, DARRELL DUFFIE, NIKUNJ KAPADIA, LEANDRO SAITA

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 184 KB

english, 2007

31

PDE solutions of stochastic differential utility

Darrel Duffie, Pierre-Louis Lions

Journal:

Journal of Mathematical Economics

Year:

1992

Language:

english

File:

PDF, 1.42 MB

english, 1992

32

From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process

Darrell Duffie, Philip Protter

Journal:

Mathematical Finance

Year:

1992

Language:

english

File:

PDF, 767 KB

english, 1992

33

Central clearing and collateral demand

Duffie, Darrell, Scheicher, Martin, Vuillemey, Guillaume

Journal:

Journal of Financial Economics

Year:

2015

Language:

english

File:

PDF, 2.02 MB

english, 2015

34

Optimal hedging and equilibrium in a dynamic futures market

Darrell Duffie, Matthew O. Jackson

Journal:

Journal of Economic Dynamics and Control

Year:

1990

Language:

english

File:

PDF, 643 KB

english, 1990

35

Black, Merton and Scholes — Their Central Contributions to Economics

Journal:

The Scandinavian Journal of Economics

Year:

1998

Language:

english

File:

PDF, 83 KB

english, 1998

36

Equilibrium in incomplete markets: II: Generic existence in stochastic economies

Darrell Duffie, Wayne Shafer

Journal:

Journal of Mathematical Economics

Year:

1986

Language:

english

File:

PDF, 1.05 MB

english, 1986

37

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Darrell Duffie, Jun Pan and Kenneth Singleton

Journal:

Year:

2000

Language:

english

File:

PDF, 942 KB

english, 2000

38

Mean-Variance Hedging in Continuous Time

Duffie, Darrell, Richardson, Henry R.

Journal:

The Annals of Applied Probability

Year:

1991

File:

PDF, 1.01 MB

1991

39

[Handbook of Monetary Economics] Volume 1 || Chapter 3 Money in general equilibrium theory

Duffie, Darrell

Year:

1990

Language:

english

File:

PDF, 1.04 MB

english, 1990

40

Preface to the Special Issue on Systemic Risk: Models and Mechanisms

Cont, Rama, Duffie, Darrell, Glasserman, Paul, Rogers, Chris, Vega-Redondo, Fernando

Journal:

Operations Research

Year:

2016

Language:

english

File:

PDF, 120 KB

english, 2016

41

An extension of the Black-Scholes model of security valuation

Journal:

Journal of Economic Theory

Year:

1988

Language:

english

File:

PDF, 558 KB

english, 1988

42

Continuous-time security pricing: A utility gradient approach

Darrell Duffie, Costis Skiadas

Journal:

Journal of Mathematical Economics

Year:

1994

Language:

english

File:

PDF, 1.39 MB

english, 1994

43

Prone to Fail: The Pre-Crisis Financial System

Duffie, James Darrell

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 586 KB

english, 2018

44

Stochastic equilibria with incomplete financial markets

Journal:

Journal of Economic Theory

Year:

1987

Language:

english

File:

PDF, 686 KB

english, 1987

45

Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs

Duffie, Darrell

Journal:

The Journal of Legal Studies

Year:

2014

Language:

english

File:

PDF, 82 KB

english, 2014

46

Asset Pricing with Heterogeneous Consumers

Constantinides, George M., Duffie, Darrell

Journal:

Journal of Political Economy

Year:

1996

Language:

english

File:

PDF, 358 KB

english, 1996

47

Information Percolation in Large Markets

Duffie, Darrell, Manso, Gustavo

Journal:

American Economic Review

Year:

2007

Language:

english

File:

PDF, 257 KB

english, 2007

48

Transactions costs and portfolio choice in a discrete-continuous-time setting

Darrell Duffie, Tong-sheng Sun

Journal:

Journal of Economic Dynamics and Control

Year:

1990

Language:

english

File:

PDF, 823 KB

english, 1990

49

A Term Structure Model with Preferences for the Timing of Resolution of Uncertainty

Darrell Duffie, Mark Schroder and Costis Skiadas

Journal:

Economic Theory

Year:

1997

Language:

english

File:

PDF, 1.90 MB

english, 1997

50

Equilibrium in incomplete markets: I: A basic model of generic existence

Darrell Duffie, Wayne Shafer

Journal:

Journal of Mathematical Economics

Year:

1985

Language:

english

File:

PDF, 915 KB

english, 1985

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