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Collin-Dufresne, Pierre's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
14,912 |
Total
Citations
913 |
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1.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Martin, J. Spencer
University of Melbourne - Faculty of Business and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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2,429
(2,018)
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346
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2.
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Casassus, Jaime
Pontificia Universidad Catolica de Chile Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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1,408
(5,211)
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1
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Commodity prices, Futures Prices, Convenience Yields, Risk-Premia, Term Structure of Interest rates, Affine Models
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3.
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On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle
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Versions (3)
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Chen, Long
Cheung Kong Graduate School of Business Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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Posted:
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16 Mar 05
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Last Revised:
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01 Jul 11
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1,115
(7,740)
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88
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Chen, Long
Michigan State University Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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0
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G12, G13
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Chen, Long
Cheung Kong Graduate School of Business Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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0
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Chen, Long
Cheung Kong Graduate School of Business Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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16 Mar 05
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Last Revised:
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01 Jul 11
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1,115
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88
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Equity premium, credit spread, habit formation model
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4.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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957
(9,925)
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62
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5.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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951
(10,028)
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9
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6.
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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761
(14,179)
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49
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Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle
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7.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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611
(19,487)
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5
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Fixed Income Derivatives, Term Structure of Interest rates, Stochastic Volatility, Stochastic Correlation, Affine Models
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8.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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605
(19,740)
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19
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Swaption Pricing
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9.
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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555
(22,168)
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18
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Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk
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10.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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520
(24,237)
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2
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11.
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Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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Posted:
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13 Jul 01
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Last Revised:
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01 Jul 11
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430
(31,058)
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66
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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0
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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430
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66
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12.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management Jones, Christopher S.
University of Southern California - Marshall School of Business - Finance and Business Economics Department
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429
(31,144)
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9
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Term Structure of Interest rates, Affine Models
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13.
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The CDS-Bond Basis
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Versions (2)
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Bai, Jennie
Federal Reserve Bank of New York Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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Posted:
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20 Mar 12
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Last Revised:
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14 Apr 13
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404
(34,067)
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15
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Bai, Jennie
Federal Reserve Bank of New York Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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68
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15
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Limit of arbitrage, basis, credit default swaps, counterparty risk, liquidity
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Bai, Jennie
Federal Reserve Bank of New York Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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20 Mar 12
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Last Revised:
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14 Apr 13
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336
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15
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limit of arbitrage, basis, credit default swaps, counterparty risk, liquidity
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14.
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Casassus, Jaime
Pontificia Universidad Catolica de Chile Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business
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20 Mar 05
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Last Revised:
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01 Jul 11
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403
(33,752)
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14
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Commodity prices, Futures prices, Convenience yield, Scarcity, Investment, Irreversibility, General equilibrium, Simulated Method of Moments (SMM), Regime-switching model, risk premium
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15.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management Hugonnier, Julien N.
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
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402
(33,871)
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36
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reduced-form models of default, Cox Processes
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16.
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Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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Posted:
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23 Jan 05
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Last Revised:
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01 Jul 11
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390
(35,167)
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14
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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36
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14
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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354
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14
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Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital
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17.
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Do Prices Reveal the Presence of Informed Trading?
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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Posted:
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16 Mar 12
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Last Revised:
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14 May 13
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388
(35,504)
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1
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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| Posted: |
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25 Nov 12
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Last Revised:
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21 Feb 13
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30
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1
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Informed trading, liquidity, transaction costs, selection bias, activist shareholders
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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1
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1
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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| Posted: |
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16 Mar 12
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Last Revised:
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14 May 13
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357
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1
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informed trading, liquidity, transaction costs, selection bias, activist shareholders
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18.
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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| Posted: |
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05 Feb 07
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Last Revised:
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01 Jul 11
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361
(38,634)
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4
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Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options
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19.
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On the Relative Pricing of Long Maturity S&P 500 Index Options and Cdx Tranches
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Yang, Fan
The University of Hong Kong
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Posted:
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27 Jan 10
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Last Revised:
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01 Jul 11
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272
(54,163)
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6
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Yang, Fan
The University of Hong Kong
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20
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6
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Yang, Fan
The University of Hong Kong
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252
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6
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CDX tranche spreads
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20.
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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| Posted: |
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27 Jan 10
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Last Revised:
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01 Jul 11
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241
(61,549)
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16
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Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk
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21.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Jones, Christopher S.
University of Southern California - Marshall School of Business - Finance and Business Economics Department Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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232
(64,193)
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24
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Term Structure of Interest rates
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22.
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Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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Posted:
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27 Jan 10
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Last Revised:
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01 Jul 11
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225
(66,313)
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57
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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80
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57
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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| Posted: |
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27 Jan 10
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Last Revised:
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01 Jul 11
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145
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57
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contagion risk, fragile beliefs
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23.
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Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
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Belo, Frederico
University of Minnesota Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities
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Posted:
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19 Mar 12
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Last Revised:
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26 Nov 12
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222
(67,888)
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1
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Goldstein, Robert S.
University of Minnesota - Twin Cities Belo, Frederico
University of Minnesota Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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30
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1
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Belo, Frederico
University of Minnesota Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities
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1
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1
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Goldstein, Robert S.
University of Minnesota - Twin Cities Belo, Frederico
University of Minnesota Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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191
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1
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Dividend Strips
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24.
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Insider Trading, Stochastic Liquidity and Equilibrium Prices
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Show Abstracts |
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Versions (3)
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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Posted:
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17 Mar 12
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Last Revised:
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24 Nov 12
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165
(89,881)
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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16
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Kyle model, insider trading, asymmetric information, liquidity, price impact, market depth, stochastic volatility, execution costs, continuous time
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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2
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Fos, Vyacheslav
University of Illinois at Urbana-Champaign
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| Posted: |
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17 Mar 12
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Last Revised:
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09 Sep 12
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147
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Kyle model, insider trading, asymmetric information, liquidity, price impact, market depth, stochastic volatility, execution costs, continuous time, Brownian bridge
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25.
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Modeling Credit Contagion Via the Updating of Fragile Beliefs
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Show Abstracts |
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Versions (2)
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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Posted:
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05 Mar 12
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Last Revised:
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24 Nov 12
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132
(109,999)
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2
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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24
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2
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management Helwege, Jean
University of South Carolina
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108
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2
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Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models
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26.
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Parameter Learning in General Equilibrium: The Asset Pricing Implications
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Johannes, Michael
Columbia University Lochstoer, Lars A.
Columbia Business School - Finance and Economics
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Posted:
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18 Mar 12
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Last Revised:
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05 Apr 13
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130
(110,670)
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2
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Johannes, Michael
Columbia University Lochstoer, Lars A.
Columbia Business School - Finance and Economics
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| Posted: |
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26 Nov 12
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Last Revised:
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05 Apr 13
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38
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2
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Johannes, Michael
Columbia University Lochstoer, Lars A.
Columbia Business School - Finance and Economics
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| Posted: |
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18 Mar 12
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Last Revised:
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05 Apr 13
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92
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2
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27.
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On Bounding Credit Event Risk Premia
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Bai, Jennie
Federal Reserve Bank of New York Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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Posted:
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18 Oct 12
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Last Revised:
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13 Nov 12
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60
(185,412)
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Bai, Jennie
Federal Reserve Bank of New York Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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31
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credit risk model, contagion
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Bai, Jennie
Federal Reserve Bank of New York Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities Helwege, Jean
University of South Carolina
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29
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Credit event risk, contagion, reduced-form model
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28.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management Jones, Christopher S.
University of Southern California - Marshall School of Business - Finance and Business Economics Department
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40
(219,905)
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18
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29.
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Casassus, Jaime
Pontificia Universidad Catolica de Chile Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business
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39
(221,995)
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14
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30.
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Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
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35
(230,915)
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18
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31.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics
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CDO, copula, correlation, credit derivatives, implied correlation, synthetic CDO, tranches
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32.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Hugonnier, Julien N.
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
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09 Oct 01
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Last Revised:
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01 Jul 11
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Non market risks, incomplete markets, pricing, hedging, utility maximization, utility based pricing, certainty equivalent, temporal resolution of uncertainty, credit risk.
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33.
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Collin-Dufresne, Pierre
Columbia Business School - Finance and Economics Harding, John P.
University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies
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