D. Duffie

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Dynamic Asset Pricing Theory

D. Duffie, 1992 .

Recursive valuation of defaultable securities and the timing of resolution of uncertainty

D. Duffie, Mark Schroder, Costis Skiadas, 1996 .

An Overview of Value at Risk

D. Duffie, Jun Pan, 1997 .

Measuring and marking counterparty risk

D. Duffie, Eduardo Canabarro, 2003 .

Security Markets: Stochastic Models.

D. Duffie, Michael U. Dothan, 1989 .

Does a Central Clearing Counterparty Reduce Counterparty Risk?

D. Duffie, Haoxiang Zhu, 2011 .

Continuous-time security pricing: A utility gradient approach

D. Duffie, Costis Skiadas, 1994 .

Measuring Corporate Default Risk

D. Duffie, 2011 .

Efficient Monte Carlo Simulation of Security Prices

P. Glynn, D. Duffie, 1995 .

Security markets : stochastic models

D. Duffie, H. Thompson, 1990 .

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

J. Geanakoplos, D. Duffie, A. Mas-Colell, 2007 .

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

D. Duffie, K. Singleton, L. Pedersen, 2001 .

Common Failings: How Corporate Defaults are Correlated

D. Duffie, Sanjiv Ranjan Das, Nikunj Kapadia, 2006 .

Innovations in Credit Risk Transfer: Implications for Financial Stability

D. Duffie, 2008 .

A liquidity-based model of security design

D. Duffie, P. DeMarzo, 1999 .

Term Structures of Credit Spreads with Incomplete Accounting Information

D. Duffie, D. Lando, 2001, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

Swap Rates and Credit Quality

D. Duffie, Ming Huang, Ming Huang, 1996 .

Modeling term structures of defaultable bonds

D. Duffie, K. Singleton, 1999 .

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

D. Duffie, K. Singleton, 1997 .

Affine Processes and Application in Finance

D. Duffie, W. Schachermayer, D. Filipović, 2002 .

Simulated Moments Estimation of Markov Models of Asset Prices

D. Duffie, K. Singleton, 1990 .

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

D. Duffie, K. Singleton, Jun Pan, 1999 .

Stationary Markov Equilibria

D. Duffie, 1994 .

Stochastic differential utility

Larry G. Epstein, D. Duffie, 1992 .

Mean-variance hedging in continuous time

D. Duffie, H. R. Richardson, 1991 .

Credit Risk: Pricing, Measurement, and Management

Kenneth J. Singleton, Darrell Duffie, D. Duffie, 2003 .

A YIELD-FACTOR MODEL OF INTEREST RATES

D. Duffie, R. Kan, 1996 .

Preliminary and Incomplete Version

D. Duffie, Leandro Saita, Andreas Eckner, 2006 .

Multi-Period Corporate Default Prediction with Stochastic Covariates

Ke Wang, Darrell Duffie, D. Duffie, 2005 .

Frailty Correlated Default

D. Duffie, Leandro Saita, Andreas Eckner, 2006 .

Darrell Duffie, Andreas Eckner, D. Duffie, 2006 .

Frailty Correlated Default

D. Duffie, Leandro Saita, Andreas Eckner, 2006 .

Dynamic Asset Pricing Theory (Provisional Manuscript)

D. Duffie, 1999 .

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

P. Glynn, D. Duffie, 2004 .

Credit risk modeling with affine processes

D. Duffie, 2007 .

Chapter 11 Intertemporal asset pricing theory

D. Duffie, 2003 .

Black's Consol Rate Conjecture

D. Duffie, J. Yong, Jin Ma, 1995 .

Credit risk modeling with affine processes q

D. Duffie, 2005 .

2002 Cattedra Galileana Lectures Credit Risk Modeling with Affine Processes

D. Duffie, 2004 .

A Short Course on Credit Risk Modeling with Affine Processes

D. Duffie, 2002 .

Hedging in incomplete markets with HARA utility

W. Fleming, H. Soner, D. Duffie, 1997 .

Optimal Investment With Undiversifiable Income Risk

D. Duffie, T. Zariphopoulou, 1993 .

PDE solutions of stochastic differential utility

P. Lions, D. Duffie, 1992 .

Intertemporal Asset Pricing Under Knightian Uncertainty

Larry G. Epstein, C. S. Hong, D. Duffie, 1994 .

Reforming Money Market Funds

René M. Stulz, D. Duffie, K. French, 2011 .

Aligning Incentives at Systemically Important Financial Institutions

D. Duffie, K. French, H. Shin, 2013 .

Asset Pricing with Stochastic Differential Utility

Larry G. Epstein, D. Duffie, 1992 .

Optimal hedging and equilibrium in a dynamic futures market

M. Jackson, D. Duffie, 1990 .

How Big Banks Fail and What to Do about It

Darrell Duffie, D. Duffie, 2010 .

Financial Market Innovation and Security Design: An Introduction

Darrell Duffie, Rohit Rahi, D. Duffie, 1995 .

Asset Pricing with Heterogeneous Consumers

Darrell Duffie, George M. Constantinides, D. Duffie, 1996, Journal of Political Economy.

Information Percolation

Gustavo Manso, Darrell Duffie, D. Duffie, 2008, 0811.3024.

Intertemporal asset pricing theory

D. Duffie, 2003 .

Implementing Arrow-Debreu equilbria by continuous trading of a few long-lived securities

Darrell Duffie, D. Duffie, Chi-ying F. Huang, 1985 .

Over-the-Counter Markets

Darrell Duffie, D. Duffie, L. Pedersen, 2004 .

Multi-Period Corporate Failure Prediction with Stochastic Covariates

D. Duffie, Ke Wang, Darrell Duffie, 2004 .

Risk and Valuation of Collateralized Debt Obligations

Darrell Duffie, Nicolae Gârleanu, D. Duffie, 2001 .

Theory of Valuation: Frontiers of Modern Financial Theory

Darrell Duffie, D. Duffie, 1989 .

Reprint of: Information percolation in segmented markets

D. Duffie, Gustavo Manso, S. Malamud, 2015 .

Asset Price Dynamics with Slow-Moving Capital

D. Duffie, 2010 .

Systemic Dynamics in the Federal Funds Market

D. Duffie, Adam B. Ashcraft, 2006 .

Discussion: Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks

D. Duffie, 2008 .

Chapter 7. An Expedited Mechanism to Recapitalize Distressed Financial Firms: Regulatory Hybrid Securities

John H. Cochrane, Raghuram G. Rajan, Robert J. Shiller, 2010 .

Post-Crisis Bank Regulations and Financial Market Liquidity

D. Duffie, Banca d’Italia, Lezioni Paolo Baffi, 2018 .

Bank Funding Risk, Reference Rates, and Credit Supply

D. Duffie, Stephan Luck, Harry Cooperman, 2023, SSRN Electronic Journal.

Nikunj Kapadia Risk-Based Capital Standards , Deposit Insurance and Procyclicality Risk-Based Capital Standards , Deposit Insurance and Procyclicality FDIC Center for Financial Research Working Paper No

D. Duffie, Sanjiv Ranjan Das, Nikunj Kapadia, 2005 .

Optimal Innovation of Futures Contracts

M. Jackson, D. Duffie, 1989 .

A Contractual Approach to Restructuring Financial Institutions

Darrell Duffie, D. Duffie, 2010 .

Existence of independent random matching

D. Duffie, Yeneng Sun, 2007, math/0703034.

Diffusion Approximation in Arrow's Model of Exhaustable Resources.

D. Duffie, Michael Taskar, 1986 .

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

Paul Glasserman, Rama Cont, Chris Rogers, 2016, Oper. Res..

Corporate Incentives for Hedging and Hedge Accounting

Peter M. DeMarzo, Darrell Duffie, D. Duffie, 1995 .

Systemic Risk Exposures: a 10-by-10-by-10 Approach

Darrell Duffie, D. Duffie, 2011 .

The nature of incomplete security markets

D. Duffie, J. Laffont, 1993 .

Valuation in Over-the-Counter Markets

Darrell Duffie, D. Duffie, L. Pedersen, 2003 .

Trading Activity and Price Transparency in the Inflation Swap Market

D. Duffie, Glenn Haberbush, 2013 .

Prone to Fail: The Pre-Crisis Financial System

D. Duffie, 2018, Journal of Economic Perspectives.

Efficiency of linear estimators under heavy-tailedness: convolutions of [alpha]-symmetric distributions.

Philip A. Haile, Brian R. Dineen, W. Härdle, 2006 .

Resolution of Failing Central Counterparties

D. Duffie, 2014 .

Credit Swap Valuation

Darrell Duffie, D. Duffie, 1999 .

Results for Information Percolation in Segmented Markets

D. Duffie, Gustavo Manso, S. Malamud, 2014 .

Multi-Period Corporate Default Prediction with Stochastic Covariates

Ke Wang, Darrell Duffie, D. Duffie, 2005 .

The Decline of Too Big to Fail

D. Duffie, Yichao Zhu, Antje Berndt, 2020, SSRN Electronic Journal.

Special Repo Rates

D. Duffie, 1996 .

FROM DISCRETE- TO CONTINUOUS-TIME FINANCE: WEAK CONVERGENCE OF THE FINANCIAL GAIN PROCESS'

Philip Protter, Darrell Duffie, D. Duffie, 1992 .

Measuring Default Risk Premia from Default Swap Rates and EDFs

Darrell Duffie, D. Duffie, Mark Ferguson, 2007 .

The theory of value in security markets

D. Duffie, 1991 .

other authors

Johannes Stroebel, George P. Shultz, Paul Volcker, 1989 .

Bank Lines of Credit in Corporate Finance: An Empirical Analysis

Darrell Duffie, Söhnke M. Bartram, Nikunj Kapadia, 2006 .

Redesigning Credit Derivatives to Better Cover Sovereign Default Risk

D. Duffie, Mohit Thukral, 2012 .

Dynamic Directed Random Matching

Lei Qiao, Yeneng Sun, Darrell Duffie, 2015, J. Econ. Theory.

Multi-factor term structure models

D. Duffie, R. Kan, 1994, Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences.

Dark Markets: Asset Pricing and Information Transmission in Over-The-Counter Markets

Darrell Duffie, D. Duffie, 2011 .

Presidential Address: Asset Price Dynamics with Slow‐Moving Capital

Darrell Duffie, D. Duffie, 2010 .

Securities Lending, Shorting, and Pricing

Darrell Duffie, D. Duffie, L. Pedersen, 2001 .

Reserves Were Not So Ample After All

D. Duffie, Y. Yang, Adam Copeland, 2021, SSRN Electronic Journal.

The Information Value of Bond Ratings By

D. Duffie, M. Landsberger, Eugene Kandel, 1999 .

Funding Value Adjustments

Darrell Duffie, Yang Song, D. Duffie, 2017, The Journal of Finance.

Pass-Through Efficiency in the Fed’s New Monetary Policy Setting

D. Duffie, 2017 .

Systemic Illiquidity in the Federal Funds Market

Darrell Duffie, D. Duffie, Adam B. Ashcraft, 2007 .

Asset Price Dynamics with Slow-Moving Capital

D. Duffie, 2010 .

The Decline of Too Big to Fail Preliminary version

D. Duffie, Yichao Zhu, Antje Berndt, 2020 .

The Decline of Too Big to Fail NO DISTRIBUTION—FOR CICF REVIEWERS ONLY

D. Duffie, Yichao Zhu, Antje Berndt, 2019 .

The Decline of Too Big to Fail EXTREMELY PRELIMINARY DRAFT

D. Duffie, Yichao Zhu, Antje Berndt, 2018 .

Implied Recovery 2 Implied Recovery

D. Duffie, Sanjiv Ranjan Das, Nikunj Kapadia, 2008 .

Information Percolation in Large Markets

Gustavo Manso, Darrell Duffie, D. Duffie, 2007 .

Passthrough Efficiency in the Fed ’ s New Monetary Policy Setting ? ( Preliminary )

D. Duffie, A. Krishnamurthy, 2016 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 482 Capital Mobility and Asset Pricing

Bruno H. Strulovici, D. Duffie, Bruno Strulovici, 2008 .

Central Clearing and Collateral Demand

Martin Scheicher, Darrell Duffie, Guillaume Vuillemey, 2014, SSRN Electronic Journal.

Augmenting Markets with Mechanisms

D. Duffie, Samuel Antill, 2017, The Review of Economic Studies.

Augmenting Markets with Mechanisms PRELIMINARY DRAFT

D. Duffie, Samuel Antill, 2017 .

Size Discovery

D. Duffie, Haoxiang Zhu, 2015 .

The Society for Financial Studies Asset Pricing with Stochastic Differential Utility

Larry G. Epstein, D. Duffie, 2007 .

Stochastic Differential Utility Appendix C with Costis Skiadas1

Larry G. Epstein, D. Duffie, 2007 .

Price Operators : Extensions , Potentials , and the Markov Valuation of Securities

D. Duffie, 2005 .

Black, Merton and Scholes — Their Central Contributions to Economics

D. Duffie, 1998 .

A utility gradient approach

D. Duffie, Costis Skiadas, 1994 .

The New Palgrave: Finance: A book review

Darrell Duffie, D. Duffie, 1990 .

The Consumption-Based Capital Asset Pricing Model

William R. Zame, Darrell Duffie, D. Duffie, 1989 .

Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis

Darrell Duffie, D. Duffie, 1986 .

THIS PAPER POSES a problem for an economy whose primitives are a set of agents with preferences for, and endowments of, random streams (stochastic processes) of consumption goods: How does the manner in which agents receive new

D. Duffie, 1986 .

Working Paper No . 2005-14 Asset Salability and Debt Maturity : Evidence from 19 th Century American Railroads

René M. Stulz, D. Duffie, Sanjiv Ranjan Das, 2005 .

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

Darrell Duffie, Wayne Shafer, D. Duffie, 1986 .

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

Darrell Duffie, Wayne Shafer, D. Duffie, 1985 .

Key Mechanics of the U.S. Tri-Party Repo Market

D. Duffie, Antoine Martin, S. McLaughlin, 2012 .

Financial Market Infrastructure: Too Important to Fail

D. Duffie, 2014 .

Replumbing Our Financial System: Uneven Progress

D. Duffie, 2013 .

A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements

Darrell Duffie, D. Duffie, D. Skeel, 2012 .

Market Making Under the Proposed Volcker Rule

Darrell Duffie, D. Duffie, 2012 .

Funding Value Adjustments: Funding Value Adjustments

D. Duffie, Leif Andersen, Yang Song, 2019 .

Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times

D. Duffie, Chi-Fu Huang, 2015 .

Book Review: Stochastic calculus for finance

D. Duffie, 2008 .

Market Pricing of Deposit Insurance

Wei Yang, Robert A. Jarrow, Darrell Duffie, 2003 .

Universal state prices and asymmetric information

D. Duffie, R. Kan, 2002 .

Efficient and equilibrium allocations with stochastic differential utility

Darrell Duffie, Costis Skiadas, D. Duffie, 1994 .

Pricing continuously resettled contingent claims

D. Duffie, Richard Stanton, 1992 .

An extension of the Black-Scholes model of security valuation

Darrell Duffie, D. Duffie, 1988 .

On Viable Diffusion Price Processes of the Market Portfolio

D. Duffie, A. Lo, Dave Feldman, 2016 .

Intertemporal Arbitrage and the Markov Valuation of Securities *

D. Duffie, Mark, 2005 .

Defaultable Term Structure Models with Fractional Recovery of Par

D. Duffie, 1998 .

State-Space Models of the Term Structure of Interest Rates

Darrell Duffie, D. Duffie, 1996 .

Swap Rates and Credit Quality Supplementary Results

D. Duffie, 1995 .

Martingales, Arbitrage, and Portfolio Choice

D. Duffie, 1994 .

EQUILIBRIUM AND THE ROLE OF THE FIRM IN INCOMPLETE MARKETS

D. Duffie, Wayne Shafer, 1986 .

Predictable representation of martingale spaces and changes of probability measure

D. Duffie, 1985 .

Margin Requirements and the Security Market Line Petri Jylhä

D. Duffie, S. Chrétien, Samuli Knüpfer, 2017 .

Corporate financial hedging with proprietary information

Peter M. DeMarzo, Darrell Duffie, D. Duffie, 1991 .

Information Percolation in Segmented Markets

Gustavo Manso, Darrell Duffie, Semyon Malamud, 2011, J. Econ. Theory.

Drawing Boundaries Around and Through the Banking System

D. Duffie, 2012 .

Stochastic Differential Utility, Appendix C: The Infinite-Horizon Case

Larry G. Epstein, Darrell Duffie, Costis Skiadas, 1992 .

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

Darrell Duffie, D. Duffie, 2014, The Journal of Legal Studies.

Floating–Fixed Credit Spreads

D. Duffie, Jun Liu, 2001 .

Robust Benchmark Design

Piotr Dworczak, Darrell Duffie, D. Duffie, 2014, Journal of Financial Economics.

Policy Issues Facing the Market for Credit Derivatives

D. Duffie, 2009 .

Central Bank Digital Currency: Principles for Technical Implementation

D. Duffie, Kelly Mathieson, Darko Pilav, 2021 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 514 Information Percolation with Equilibrium Search Dynamics

Gustavo Manso, Darrell Duffie, Semyon Malamud, 2009 .

Information Percolation with Equilibrium Search Dynamics ∗ Forthcoming : Econometrica

D. Duffie, Gustavo Manso, S. Malamud, 2009 .

Information Percolation with Equilibrium Search Dynamics Preliminary Version

D. Duffie, Gustavo Manso, S. Malamud, 2008 .

Leverage, Moral Hazard and Liquidity

D. Duffie, P. DeMarzo, J. Rochet, 2010 .

Financial Economics Advisors and Asset Prices: a Model of the Origins of Bubbles $

Kevin J. Murphy, Neil D. Pearson, Richard G. Sloan, 2022 .

Dealer Capacity and U.S. Treasury Market Functionality

D. Duffie, M. Fleming, Frank M. Keane, 2023, Staff Reports (Federal Reserve Bank of New York).

Reforming LIBOR and Other Financial-Market Benchmarks

Darrell Duffie, D. Duffie, J. Stein, 2014 .

Financial Regulatory Reform After the Crisis: An Assessment

Darrell Duffie, D. Duffie, 2017, Manag. Sci..

Corporate Credit Risk Premia

D. Duffie, Mark Ferguson, Antje Berndt, 2017 .

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

Darrell Duffie, Tong-sheng Sun, D. Duffie, 1990 .

Financial Product Differentiation and Fee Competition in the Mutual Fund Industry

D. Duffie, T. Amemiya, Jiaping Qiu, 2005 .

PERSUASION BIAS , SOCIAL INFLUENCE , AND UNIDIMENSIONAL

David M. Kreps, Peter M. DeMarzo, Dimitri Vayanos, 2003 .

The Society for Financial Studies Corporate Incentives for Hedging and Hedge Accounting

D. Duffie, P. DeMarzo, 2007 .

Valuation in Dynamic Bargaining Markets

Darrell Duffie, D. Duffie, L. Pedersen, 2001 .

Benchmarks in Search Markets

D. Duffie, Haoxiang Zhu, Piotr Dworczak, 2014 .

How should we regulate derivatives markets

D. Duffie, 2009 .

A Yield-factor Model of Interest Rates

D. Duffie, F. Black, K. Singleton, 1996 .

Arrow and General Equilibrium Theory

D. Duffie, H. Sonnenschein, 1989 .

Special Repo Rates

D. Duffie, 1996 .

Policy Perspectives on OTC Derivatives Market Infrastructure

D. Duffie, Ada Li, Theodore Lubke, 2010 .

Large portfolio losses

Amir Dembo, Darrell Duffie, Jean-Dominique Deuschel, 2002, Finance Stochastics.

Value Adjustments

D. Duffie, Leif Andersen, Yang Song, 2017 .

Asset Pricing with Heterogeneous Consumers

D. Duffie, G. Constantinides, 1996, Journal of Political Economy.

Multi-Period Corporate Failure Prediction with Stochastic Covariates

D. Duffie, Ke Wang, 2003 .

Multi-period corporate default prediction with stochastic covariates $

D. Duffie, Leandro Saita, Ke Wang, 2007 .

Competing for a Share of Global Derivatives Markets: Trends and Policy Choices for the United States

Henry T. C. Hu, D. Duffie, 2008 .

Information Percolation with Equilibrium Search Dynamics

D. Duffie, Gustavo Manso, S. Malamud, 2008, 0811.3023.

Over-the-Counter Marketmaking

D. Duffie, L. Pedersen, Nicolae Gârleanu, 2003 .

Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service

Christine A. Parlour, D. Duffie, Jón Dańıelsson, 2020 .

Credit Risk: Pricing, Measurement, and Management

D. Duffie, K. Singleton, 2003 .

Risk and Valuation of Collateralized Debt Obligations

D. Duffie, Nicolae Gârleanu, 2001 .

A pr 2 00 4 PSEUDO-DIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS

David A. Chapman, D. Duffie, K. Singleton, 2004 .

Money in general equilibrium theory

D. Duffie, 1990 .

A term structure model with preferences for the timing of resolution of uncertainty

Darrell Duffie, Mark D. Schroder, Costis Skiadas, 1997 .

Research articles A term structure model with preferences for the timing of resolution of uncertainty

Darrell Duffie, Mark D. Schroder, Costis Skiadas, 1997 .

Incomplete security markets with infinitely many states: An introduction

D. Duffie, 1996 .

Competitive equilibria in general choice spaces

D. Duffie, 1986 .

Stochastic equilibria with incomplete financial markets

Darrell Duffie, D. Duffie, 1987 .

Proposed Running Head : Incomplete Markets Equilibria

D. Duffie, 2013 .

The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

D. Duffie, S. Malamud, Gustavo Manso, 2010, J. Econ. Theory.

Financial Valuation and Risk Management Working Paper No . 567 The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

Gustavo Manso, Darrell Duffie, Semyon Malamud, 2009 .

PIMS Lectures Over the Counter Markets Lecture 2: Search and Bargaining Preliminary Draft

D. Duffie, 2014 .

Market Fragmentation

D. Duffie, Daniel Chen, 2020, SSRN Electronic Journal.

Volatility in energy prices

Darrell Duffie, D. Duffie, P. H. Hoang, 1999 .

The Squam Lake Report

D. Duffie, K. French, M. Baily, 2010 .

Banque de France Financial Stability Review Special Report on Over-the-Counter Derivatives Is There a Case for Banning Short Speculation in Sovereign Bond Markets?

D. Duffie, 2010 .

Analytical value-at-risk with jumps and credit risk

Jun Pan, Darrell Duffie, D. Duffie, 2001, Finance Stochastics.

quantified in a simple model in terms of maturity, credit quality, yield volatility, yield-spread volatility, correlation between changes in yield spreads and default-free yields, and other determining variables. We show

D. Duffie, J. Liu, 2016 .