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1

Informed Trading in the Stock Market and Option Price Discovery

Collin-Dufresne, Pierre, Fos, Vyacheslav, Muravyev, Dmitry

Journal:

Journal of Financial and Quantitative Analysis

Year:

2020

File:

PDF, 1.40 MB

2020

2

The Determinants of Credit Spread Changes

Pierre Collin-Dufresne, Robert S. Goldstein, J. Spencer Martin

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 159 KB

english, 2001

3

Liquidity regimes and optimal dynamic asset allocation

Collin-Dufresne, Pierre, Daniel, Kent, Sağlam, Mehmet

Journal:

Journal of Financial Economics

Year:

2019

Language:

english

File:

PDF, 3.65 MB

english, 2019

4

On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle

Chen, Long, Collin-Dufresne, Pierre, Goldstein, Robert S.

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 506 KB

english, 2009

5

Pricing Swaptions Within an Affine Framework

Collin-Dufresne, Pierre, Goldstein, Robert S

Journal:

The Journal of Derivatives

Year:

2002

Language:

english

File:

PDF, 1.14 MB

english, 2002

6

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin-Dufresne, Bruno Solnik

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 224 KB

english, 2001

7

Do Credit Spreads Reflect Stationary Leverage Ratios?

Pierre Collin-Dufresne, Robert S. Goldstein

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 632 KB

english, 2001

8

Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated

LUCA BENZONI, PIERRE COLLIN-DUFRESNE, ROBERT S. GOLDSTEIN

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 335 KB

english, 2007

9

Explaining asset pricing puzzles associated with the 1987 market crash

Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 714 KB

english, 2011

10

Unspanned stochastic volatility and fixed income derivatives pricing

Jaime Casassus, Pierre Collin-Dufresne, Bob Goldstein

Journal:

Journal of Banking & Finance

Year:

2005

Language:

english

File:

PDF, 301 KB

english, 2005

11

Do Prices Reveal the Presence of Informed Trading?

COLLIN-DUFRESNE, PIERRE, FOS, VYACHESLAV

Journal:

The Journal of Finance

Year:

2015

Language:

english

File:

PDF, 482 KB

english, 2015

12

Insider Trading with Penalties

Carre, Sylvain, Collin-Dufresne, Pierre, Gabriel, Franck

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 4.75 MB

english, 2019

13

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin–Dufresne, Robert S. Goldstein

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 249 KB

english, 2002

14

Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

JAIME CASASSUS, PIERRE COLLIN-DUFRESNE

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 466 KB

english, 2005

15

The Determinants of Credit Spread Changes

Pierre Collin-Dufresne, Robert S. Goldstein and J. Spencer Martin

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 596 KB

english, 2001

16

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin-Dufresne and Bruno Solnik

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 421 KB

english, 2001

17

Do Credit Spreads Reflect Stationary Leverage Ratios?

Pierre Collin-Dufresne and Robert S. Goldstein

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 569 KB

english, 2001

18

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

PIERRE COLLIN-DUFRESNE, ROBERT S. GOLDSTEIN and FAN YANG

Journal:

The Journal of Finance

Year:

2012

Language:

english

File:

PDF, 3.63 MB

english, 2012

19

Parameter Learning in General Equilibrium: The Asset Pricing Implications †

Collin-Dufresne, Pierre, Johannes, Michael, Lochstoer, Lars A.

Journal:

American Economic Review

Year:

2016

Language:

english

File:

PDF, 806 KB

english, 2016

20

Dividend Dynamics and the Term Structure of Dividend Strips

BELO, FREDERICO, COLLIN-DUFRESNE, PIERRE, GOLDSTEIN, ROBERT S.

Journal:

The Journal of Finance

Year:

2015

Language:

english

File:

PDF, 653 KB

english, 2015

21

Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated

Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein

Journal:

The Journal of Finance

Year:

2007

Language:

english

File:

PDF, 4.72 MB

english, 2007

22

Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

Jaime Casassus and Pierre Collin-Dufresne

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 5.18 MB

english, 2005

23

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 4.43 MB

english, 2009

24

The CDS-Bond basis

Bai, Jennie, Collin-Dufresne, Pierre

Journal:

Financial Management

Year:

2018

Language:

english

File:

PDF, 1.25 MB

english, 2018

25

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Collin-Dufresne, Pierre, Goldstein, Robert S., Jones, Christopher S.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 419 KB

english, 2003

26

Identification of Maximal Affine Term Structure Models

PIERRE COLLIN-DUFRESNE, ROBERT S. GOLDSTEIN, CHRISTOPHER S. JONES

Journal:

The Journal of Finance

Year:

2008

Language:

english

File:

PDF, 1.81 MB

english, 2008

27

Can interest rate volatility be extracted from the cross section of bond yields?

Pierre Collin-Dufresne, Robert S. Goldstein, Christopher S. Jones

Journal:

Journal of Financial Economics

Year:

2009

Language:

english

File:

PDF, 540 KB

english, 2009

28

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

COLLIN-DUFRESNE, PIERRE, GOLDSTEIN, ROBERT S., YANG, FAN

Journal:

The Journal of Finance

Year:

2012

Language:

english

File:

PDF, 576 KB

english, 2012

29

On Bounding Credit-Event Risk Premia

Bai, Jennie, Collin-Dufresne, Pierre, Goldstein, Robert S., Helwege, Jean

Journal:

Review of Financial Studies

Year:

2015

Language:

english

File:

PDF, 345 KB

english, 2015

30

Papers and Proceedings of the Sixty-Second Annual Meeting of the American Finance Association, Atlanta, Georgia, January 4-6, 2002 || Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin-Dufresne and Robert S. Goldstein

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 1.01 MB

english, 2002

31

Asset Pricing when 'This Time is Different'

Collin-Dufresne, Pierre, Johannes, Michael, Lochstoer, Lars A.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 520 KB

english, 2013

32

Liquidity regimes and optimal dynamic asset allocation

Collin-Dufresne, Pierre, Daniel, Kent, Sağlam, Mehmet

Journal:

Journal of Financial Economics

Year:

2019

File:

PDF, 3.65 MB

2019

33

Pricing and hedging in the presence of extraneous risks

Pierre Collin Dufresne, Julien Hugonnier

Journal:

Stochastic Processes and their Applications

Year:

2007

Language:

english

File:

PDF, 405 KB

english, 2007

34

Event risk, contingent claims and the temporal resolution of uncertainty

Collin-Dufresne, Pierre, Hugonnier, Julien

Journal:

Mathematics and Financial Economics

Year:

2014

Language:

english

File:

PDF, 717 KB

english, 2014

35

Time course of changes in in vitro lipolysis of intra-abdominal fat depots in relation to high-fat diet-induced hepatic steatosis in rats

Collin, Pascal, Chapados, Natalie, Dufresne, Elise, Corriveau, Pierre, Imbeault, Pascal, Lavoie, Jean-Marc

Journal:

British Journal Of Nutrition

Year:

2006

Language:

english

File:

PDF, 321 KB

english, 2006

36

Insider Trading, Stochastic Liquidity, and Equilibrium Prices

Collin-Dufresne, Pierre, Fos, Vyacheslav

Journal:

Year:

2016

Language:

english

File:

PDF, 395 KB

english, 2016

37

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies

Casassus, Jaime, Collin-Dufresne, Pierre, Routledge, Bryan R.

Journal:

Journal of Banking & Finance

Year:

2018

Language:

english

File:

PDF, 3.38 MB

english, 2018

38

A General Formula for Valuing Defaultable Securities

Collin-Dufresne, Pierre, Goldstein, Robert S., Hugonnier, Julien N.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 350 KB

english, 2003

39

Activism, Strategic Trading, and Liquidity

Back, Kerry, Collin-Dufresne, Pierre, Fos, Vyacheslav, Li, Tao, Ljungqvist, Alexander

Journal:

Year:

2018

Language:

english

File:

PDF, 356 KB

english, 2018

40

Do Prices Reveal the Presence of Informed Trading?

Collin-Dufresne, Pierre, Fos, Vyacheslav

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 636 KB

english, 2012

41

Do Prices Reveal the Presence of Informed Trading?

Fos, Vyacheslav, Collin-Dufresne, Pierre

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 617 KB

english, 2012

42

How Often Should You Take Tactical Asset Allocation Decisions?

An, Byeong-Je, Ang, Andrew, Collin-Dufresne, Pierre

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 199 KB

english, 2015

43

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre, Fos, Vyacheslav

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.08 MB

english, 2012

44

Pricing Swaptions within the Affine Framework

Collin-Dufresne, Pierre, Goldstein, Robert S.

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 370 KB

english, 2001

45

Informed Trading in the Stock Market and Option Price Discovery

Collin-Dufresne, Pierre, Fos, Vyacheslav, Muravyev, Dmitriy

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 701 KB

english, 2017

46

'Maximal' Convenience Yield Model Implied by Commodity Futures

Casassus, Jaime, Collin-Dufresne, Pierre

Journal:

SSRN Electronic Journal

Year:

2002

File:

PDF, 423 KB

2002

47

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies

Casassus, Jaime, Collin-Dufresne, Pierre, Routledge, Bryan R.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 4.01 MB

english, 2009

48

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Collin-Dufresne, Pierre, Daniel, Kent D., Moallemi, Ciamac C., Saglam, Mehmet

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 618 KB

english, 2015

49

On Bounding Credit Event Risk Premia

Bai, Jennie, Collin-Dufresne, Pierre, Goldstein, Robert S., Helwege, Jean

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 503 KB

english, 2012

50

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Collin-Dufresne, Pierre, Johannes, Michael, Lochstoer, Lars A.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 699 KB

english, 2012