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Pierre Collin-Dufresne

SSRN Author Rank: 857 by Downloads and 485 by Citations

 

Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute


 Quartier UNIL-Dorigny, Bâtiment Extranef, # 211
 40, Bd du Pont-d'Arve
 CH-1015 Lausanne, CH-6900
 Switzerland
 email address

 

National Bureau of Economic Research (NBER)


 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States

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. Pierre Collin-Dufresne's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
22,089
Total
Citations
969
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
2,555
(3,150)
367

2.  
The CDS-Bond Basis | Show Abstract | Download This Paper | Open PDF in Browser |
AFA 2013 San Diego Meetings Paper
Number of Pages in PDF File: 51
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
1,636
(7,194)
19

3.  
'Maximal' Convenience Yield Model Implied by Commodity Futures | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of Pages in PDF File: 36
Casassus, Jaime
Pontificia Universidad Catolica de Chile
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
27 Feb 02
1,458
(8,516)
1

4.   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
1,223
(11,580)
83

5.  
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
1,134
(11,685)
63

6.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
Boston College - Department of Finance
Posted:
16 Mar 12
Last Revised:
08 Sep 15
1,075
(14,168)
5

7.  
Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework | Show Abstract | Download This Paper | Open PDF in Browser |
EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of Pages in PDF File: 38
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
970
(16,220)
9

8.  
How Often Should You Take Tactical Asset Allocation Decisions? | Show Abstract | Download This Paper | Open PDF in Browser |
Columbia Business School Research Paper No. 15-27
Number of Pages in PDF File: 39
An, Byeong-Je
Nanyang Technological University (NTU) - Division of Banking & Finance
Ang, Andrew
Columbia Business School - Finance and Economics
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
07 Mar 15
923
(10,363)
 

9.  
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
867
(18,136)
50

10.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
Boston College - Department of Finance
Posted:
17 Mar 12
Last Revised:
24 Feb 16
712
(26,057)
2

11.  
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
678
(25,879)
8

12.  
Pricing Swaptions within the Affine Framework | Show Abstract | Download This Paper | Open PDF in Browser |
Washington University Department of Finance WP
Number of Pages in PDF File: 24
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
635
(29,059)
20

13.  
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
567
(34,576)
18

14.  
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
524
(39,003)
2

15.  
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
470
(42,340)
12

16.   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
464
(45,960)
3

17.   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
449
(47,898)
65

18.  
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
441
(47,371)
9

19.  
A General Formula for Valuing Defaultable Securities | Show Abstract | Download This Paper | Open PDF in Browser |
Carnegie Mellon Department of Finance Working Paper
Number of Pages in PDF File: 26
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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Posted:
17 Feb 03
427
(48,591)
41

20.   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
406
(54,122)
14

21.  
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
384
(55,149)
4

22.   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
UC Riverside
Posted:
05 Mar 12
Last Revised:
13 Jan 16
322
(71,125)
4

23.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities
Yang, Fan
University of Connecticut
Posted:
27 Jan 10
Last Revised:
01 Jul 11
313
(73,331)
7

24.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
Boston College - Department of Finance
Posted:
26 Sep 13
Last Revised:
21 Feb 15
292
(79,444)
1

25.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Johannes, Michael
Columbia University
Lochstoer, Lars A.
University of California, Los Angeles (UCLA) - Anderson School of Management
Posted:
18 Mar 12
Last Revised:
19 Sep 15
280
(82,961)
9

26.  
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
278
(75,190)
21

27.  
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
248
(92,199)
20

28.   Incl. Electronic Paper
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Goldstein, Robert S.
University of Minnesota - Twin Cities
Helwege, Jean
UC Riverside
Posted:
27 Jan 10
Last Revised:
01 Jul 11
247
(94,918)
58

29.  
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
UC Riverside
Posted:
13 Nov 12
Last Revised:
01 Mar 15
238
(98,665)
 

30.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Daniel, Kent D.
Columbia Business School - Finance and Economics
Moallemi, Ciamac C.
Columbia Business School - Decision Risk and Operations
Sağlam, Mehmet
University of Cincinnati - Department of Finance - Real Estate
Posted:
17 Jun 15
152
(96,620)
 

31.  
Asset Pricing When 'This Time is Different' | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 13-73, Columbia Business School Research Paper No. 14-8
Number of Pages in PDF File: 70
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Johannes, Michael
Columbia University
Lochstoer, Lars A.
University of California, Los Angeles (UCLA) - Anderson School of Management
Posted:
02 Jan 14
Last Revised:
29 Jan 16
104
(118,901)
 

32.  
Bogousslavsky, Vincent
Ecole Polytechnique Fédérale de Lausanne
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Sağlam, Mehmet
University of Cincinnati - Department of Finance - Real Estate
Posted:
03 Jun 15
Last Revised:
22 Nov 16
79
(181,228)
 

33.  
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
45
(307,020)
18

34.  
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
(318,447)
13

35.  
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
40
(315,530)
18

36.   Incl. Electronic Paper
Back, Kerry
Rice University - Jones Graduate School of Business and Department of Economics
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
Boston College - Department of Finance
Li, Tao
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Ljungqvist, Alexander
New York University (NYU) - Department of Finance
Posted:
23 Nov 16
Last Revised:
05 Dec 16
31
(372,044)
 

37.  
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
UC Riverside
Posted:
29 Jan 15
19
(368,084)
3

38.  
Informed Trading and Option Prices: Evidence from Activist Trading | Show Abstract | Download This Paper | Open PDF in Browser |
Swiss Finance Institute Research Paper No. 15-55
Number of Pages in PDF File: 53
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Fos, Vyacheslav
Boston College - Department of Finance
Muravyev, Dmitriy
Boston College
Posted:
19 Oct 15
Last Revised:
23 Jul 16
0
(75,740)
 

39.  
A Short Introduction to Correlation Markets | Show Abstract |
Journal of Financial Econometrics, Vol. 7, Issue 1, pp. 12-29, 2009
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
03 Jan 09
 

40.  
Collin-Dufresne, Pierre
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Hugonnier, Julien
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Posted:
09 Oct 01
Last Revised:
01 Jul 11
 

41.  
A Closed Form Formula for Valuing Mortgages | Show Abstract |
Journal of Real Estate Finance and Economics
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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