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Collin-Dufresne, Pierre


 SSRN Author Rank: 937 by Downloads
 

Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute


 Quartier UNIL-Dorigny, Bâtiment Extranef, # 211
 CH-1015 Lausanne
 Switzerland
 email address
 

National Bureau of Economic Research (NBER)


 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States

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. Collin-Dufresne, Pierre's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
16,927
Total
Citations
991
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Martin, J. Spencer
University of Melbourne - Faculty of Business and Economics
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
24 Mar 00
2,513
(2,440)
371

2.  
'Maximal' Convenience Yield Model Implied by Commodity Futures | Show Abstract | Download |
EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Working Paper Series
Casassus, Jaime
Pontificia Universidad Catolica de Chile
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
27 Feb 02
1,445
(6,323)
1

3.   Incl. Electronic Paper
Chen, Long
Cheung Kong Graduate School of Business
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
16 Mar 05
Last Revised:
01 Jul 11
1,177
(8,919)
88

4.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
16 Nov 99
1,077
(10,288)
63

5.  
Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework | Show Abstract | Download |
EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Working Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
09 Oct 01
960
(12,333)
10

6.  
The CDS-Bond Basis | Show Abstract | Download |
AFA 2013 San Diego Meetings Paper
Working Paper Series
Bai, Jennie
Georgetown University - Department of Finance
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
20 Mar 12
Last Revised:
19 Nov 13
829
(15,418)
19

7.  
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
16 Jan 06
818
(15,693)
52

8.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
University of Illinois at Urbana-Champaign
Posted:
16 Mar 12
Last Revised:
21 Jul 14
689
(20,235)
2

9.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
23 Jun 03
648
(22,045)
6

10.  
Pricing Swaptions within the Affine Framework | Show Abstract | Download |
Washington University Department of Finance WP
Working Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
09 May 01
621
(23,310)
21

11.  
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
11 Aug 05
560
(26,893)
19

12.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
13 Jun 00
523
(29,498)
2

13.  
Casassus, Jaime
Pontificia Universidad Catolica de Chile
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business
Posted:
20 Mar 05
Last Revised:
01 Jul 11
449
(35,975)
14

14.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
13 Jul 01
Last Revised:
01 Jul 11
443
(36,620)
72

15.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
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
Posted:
28 Jun 03
436
(37,370)
9

16.  
A General Formula for Valuing Defaultable Securities | Show Abstract | Download |
Carnegie Mellon Department of Finance Working Paper
Working Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
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
Posted:
17 Feb 03
414
(39,824)
40

17.   Incl. Electronic Paper
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
23 Jan 05
Last Revised:
01 Jul 11
395
(42,228)
14

18.  
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
05 Feb 07
Last Revised:
01 Jul 11
377
(44,687)
4

19.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
University of Illinois at Urbana-Champaign
Posted:
17 Mar 12
Last Revised:
24 Nov 12
313
(56,133)
2

20.   Incl. Electronic Paper
Belo, Frederico
University of Minnesota
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities
Posted:
19 Mar 12
Last Revised:
08 Mar 14
307
(57,386)
5

21.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities
Yang, Fan
The University of Hong Kong
Posted:
27 Jan 10
Last Revised:
01 Jul 11
300
(58,707)
8

22.  
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
27 Jan 10
Last Revised:
01 Jul 11
264
(67,738)
21

23.  
Identification of Maximal Affine Term Structure Models | Show Abstract | Download |
Journal of Finance, Forthcoming
Accepted Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
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
Posted:
12 Jan 07
243
(73,940)
24

24.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities
Helwege, Jean
University of South Carolina
Posted:
27 Jan 10
Last Revised:
01 Jul 11
238
(75,553)
58

25.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Johannes, Michael
Columbia University
Lochstoer, Lars A.
Columbia Business School - Finance and Economics
Posted:
18 Mar 12
Last Revised:
13 Dec 13
232
(77,636)
7

26.   Incl. Electronic Paper
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Helwege, Jean
University of South Carolina
Posted:
05 Mar 12
Last Revised:
17 Mar 14
222
(81,318)
4

27.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
University of Illinois at Urbana-Champaign
Posted:
26 Sep 13
Last Revised:
23 Dec 13
123
(138,622)
1

28.  
Bai, Jennie
Georgetown University - Department of Finance
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities
Helwege, Jean
University of South Carolina
Posted:
13 Nov 12
Last Revised:
25 Dec 13
122
(139,505)
 

29.  
Asset Pricing when 'This Time is Different' | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 13-73, Columbia Business School Research Paper No. 14-8
Working Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Johannes, Michael
Columbia University
Lochstoer, Lars A.
Columbia Business School - Finance and Economics
Posted:
02 Jan 14
Last Revised:
29 May 14
66
(208,147)
 

30.  
Casassus, Jaime
Pontificia Universidad Catolica de Chile
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Routledge, Bryan
Carnegie Mellon University - David A. Tepper School of Business
Posted:
09 Mar 06
43
(254,183)
15

31.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
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
Posted:
01 Jun 06
42
(256,485)
19

32.  
Benzoni, Luca
Federal Reserve Bank of Chicago - Research Department
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities - Carlson School of Management
Posted:
19 Jan 06
38
(266,333)
19

33.  
A Short Introduction to Correlation Markets | Show Abstract |
Journal of Financial Econometrics, Vol. 7, Issue 1, pp. 12-29, 2009
Accepted Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
03 Jan 09
 

34.  
Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty | Show Abstract |
Carnegie Mellon University Working Paper
Working Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Hugonnier, Julien N.
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Posted:
09 Oct 01
Last Revised:
01 Jul 11
 

35.  
A Closed Form Formula for Valuing Mortgages | Show Abstract |
Journal of Real Estate Finance and Economics
Accepted Paper Series
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Harding, John P.
University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies
Posted:
06 Dec 98
 


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