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Author
Darrell Duffie
also known as D. Duffie, DARRELL DUFFIE, Darrel Duffie
National Bureau of Economic Research · Stanford University · Bank of America · Northwestern University
About this author
Works
298
Cited by
44,194
h-index
82
i10
170
ORCID ↗
Top papers
Dynamic Asset Pricing Theory.
Jonathan E. Ingersoll, Darrell Duffie
·
1993
·
The Journal of Finance
↗ 3,080
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Darrell Duffie, Jun Pan, Kenneth J. Singleton
·
2000
·
Econometrica
↗ 2,948
A YIELD‐FACTOR MODEL OF INTEREST RATES
Darrell Duffie, Rui Kan
·
1996
·
Mathematical Finance
↗ 2,627
Modeling Term Structures of Defaultable Bonds
Darrell Duffie, Kenneth J. Singleton
·
1999
·
Review of Financial Studies
↗ 2,579
Term Structures of Credit Spreads with Incomplete Accounting Information
Darrell Duffie, David Lando
·
2001
·
Econometrica
↗ 1,379
An Overview of Value at Risk
Darrell Duffie, Jun Pan
·
1997
·
The Journal of Derivatives
↗ 1,314
Asset Pricing with Heterogeneous Consumers
George M. Constantinides, Darrell Duffie
·
1996
·
Journal of Political Economy
↗ 1,246
Stochastic Differential Utility
Darrell Duffie, Larry G. Epstein
·
1992
·
Econometrica
↗ 1,193
Affine processes and applications in finance
Darrell Duffie, Damir Filipović, Walter Schachermayer
·
2003
·
The Annals of Applied Probability
↗ 1,085
OA
Multi-period corporate default prediction with stochastic covariates
Darrell Duffie, Leandro Saita, Ke Wang
·
2006
·
Journal of Financial Economics
↗ 1,007
OA
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital
Darrell Duffie
·
2010
·
The Journal of Finance
↗ 881
Corporate Incentives for Hedging and Hedge Accounting
Peter M. DeMarzo, Darrell Duffie
·
1995
·
Review of Financial Studies
↗ 775
Books
Dynamic asset pricing theory
1992
·
Princeton University Press
Measuring Corporate Default Risk
2011
·
Oxford University Press
Futures markets
1989
·
Prentice-Hall
Multiperiod securities markets with differential information
1985
·
Creative Media Partners, LLC
Post-Crisis Bank Regulations and Financial Market Liquidity
2021
·
de Gruyter GmbH, Walter
Dark markets
2011
·
Princeton University Press
Credit risk
2003
·
Princeton University Press
How big banks fail and what to do about it
2010
·
Princeton University Press