Pierre Collin-Dufresne

Ecole Polytechnique Fédérale de Lausanne

Quartier UNIL-Dorigny, Bâtiment Extranef, # 211

40, Bd du Pont-d'Arve

CH-1015 Lausanne, CH-6900

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Ecole Polytechnique Fédérale de Lausanne

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 1,204

SSRN RANKINGS

Top 1,204

in Total Papers Downloads

32,167

SSRN CITATIONS
Rank 805

SSRN RANKINGS

Top 805

in Total Papers Citations

862

CROSSREF CITATIONS

480

Scholarly Papers (45)

Actions:
Email selected abstracts
1.

The CDS-Bond Basis

Georgetown McDonough School of Business Research Paper No. 2024531
Number of pages: 41 Posted: 20 Mar 2012 Last Revised: 21 Sep 2018
Jennie Bai and Pierre Collin-Dufresne
Georgetown University - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 3,983 (3,652)
Citation 34

Abstract:

Loading...

limit of arbitrage; basis; credit default swap; counterparty risk; liquidity

2.

The Determinants of Credit Spread Changes

Number of pages: 33 Posted: 24 Mar 2000
Pierre Collin-Dufresne, J. Spencer Martin and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne, University of Melbourne - Faculty of Business and Economics and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 2,919 (6,181)
Citation 143

Abstract:

Loading...

3.

How Often Should You Take Tactical Asset Allocation Decisions?

Columbia Business School Research Paper No. 15-27
Number of pages: 39 Posted: 07 Mar 2015
Byeong-Je An, Andrew Ang and Pierre Collin-Dufresne
Nanyang Business School, Nanyang Technological University, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,671 (15,092)
Citation 1

Abstract:

Loading...

market timing, return predictability, portfolio choice, dynamic asset allocation, time-varying policy portfolio, hedging demands

4.

'Maximal' Convenience Yield Model Implied by Commodity Futures

Number of pages: 36 Posted: 27 Feb 2002
Jaime Casassus and Pierre Collin-Dufresne
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,559 (16,779)

Abstract:

Loading...

Commodity prices, Futures Prices, Convenience Yields, Risk-Premia, Term Structure of Interest rates, Affine Models

5.

Do Prices Reveal the Presence of Informed Trading?

Downloads 1,541 ( 17,068)
Citation 51

Do Prices Reveal the Presence of Informed Trading?

Journal of Finance, Volume 70, Issue 4, August 2015, Pages 1555-1582
Number of pages: 45 Posted: 16 Mar 2012 Last Revised: 08 Sep 2015
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 1,422 (18,887)
Citation 2

Abstract:

Loading...

informed trading, liquidity, transaction costs, selection bias, activist shareholders

Do Prices Reveal the Presence of Informed Trading?

Netspar Discussion Paper No. 08/2012-037
Number of pages: 50 Posted: 25 Nov 2012 Last Revised: 21 Feb 2013
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 94 (380,801)

Abstract:

Loading...

Informed trading, liquidity, transaction costs, selection bias, activist shareholders

Do Prices Reveal the Presence of Informed Trading?

NBER Working Paper No. w18452
Number of pages: 50 Posted: 13 Oct 2012 Last Revised: 03 Jun 2022
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 25 (684,702)
Citation 16

Abstract:

Loading...

6.

Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced-Form Frameworks

Number of pages: 35 Posted: 16 Nov 1999
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,391 (19,890)
Citation 44

Abstract:

Loading...

7.

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Downloads 1,358 ( 20,598)

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

AFA 2006 Boston Meetings Paper
Number of pages: 59 Posted: 16 Mar 2005 Last Revised: 01 Jul 2011
Long Chen, Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Cheung Kong Graduate School of BusinessLuohan Academy, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,358 (20,260)
Citation 76

Abstract:

Loading...

Equity premium, credit spread, habit formation model

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Review of Financial Studies, Forthcoming
Posted: 12 Nov 2007
Long Chen, Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Cheung Kong Graduate School of BusinessLuohan Academy, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

Loading...

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3367-3409, 2009
Posted: 08 Sep 2009
Long Chen, Pierre Collin-Dufresne and Robert S. Goldstein
Michigan State University, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

Loading...

G12, G13

8.

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Downloads 1,095 ( 28,324)
Citation 31

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Econometrica, Forthcoming
Number of pages: 51 Posted: 17 Mar 2012 Last Revised: 24 Feb 2016
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 1,012 (31,252)
Citation 2

Abstract:

Loading...

Kyle model, insider trading, asymmetric information, liquidity, price impact, market depth, stochastic volatility, volume, subordinate process, execution costs, continuous time

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Netspar Discussion Paper No. 05/2012-038
Number of pages: 53 Posted: 24 Nov 2012 Last Revised: 05 Feb 2015
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 71 (450,112)
Citation 1

Abstract:

Loading...

Kyle model, insider trading, asymmetric information, liquidity, price impact, market depth, stochastic volatility, execution costs, continuous time

Insider Trading, Stochastic Liquidity and Equilibrium Prices

NBER Working Paper No. w18451
Number of pages: 49 Posted: 13 Oct 2012 Last Revised: 02 Jun 2022
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 12 (801,101)
Citation 15

Abstract:

Loading...

9.

Liquidity, Volume, and Order Imbalance Volatility

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 07 Mar 2019 Last Revised: 08 Feb 2022
Vincent Bogousslavsky and Pierre Collin-Dufresne
Boston College - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,081 (28,839)
Citation 4

Abstract:

Loading...

liquidity, volume, volatility, order imbalance, inventory risk, adverse selection

10.

Portfolio Choice Over the Life-Cycle when the Stock and Labor Markets are Cointegrated

FRB of Chicago Working Paper No. 2007-11
Number of pages: 52 Posted: 16 Jan 2006
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,065 (29,464)
Citation 101

Abstract:

Loading...

Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle

11.

Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework

Number of pages: 38 Posted: 09 Oct 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,026 (31,097)
Citation 16

Abstract:

Loading...

12.

Informed Trading in the Stock Market and Option Price Discovery

Swiss Finance Institute Research Paper No. 15-55
Number of pages: 66 Posted: 19 Oct 2015 Last Revised: 04 Mar 2020
Pierre Collin-Dufresne, Vyacheslav Fos and Dmitriy Muravyev
Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 845 (40,810)
Citation 4

Abstract:

Loading...

13.

Generalizing the Affine Framework to HJM and Random Field Models

Number of pages: 51 Posted: 23 Jun 2003
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 821 (42,471)
Citation 2

Abstract:

Loading...

Fixed Income Derivatives, Term Structure of Interest rates, Stochastic Volatility, Stochastic Correlation, Affine Models

14.

Activism, Strategic Trading, and Liquidity

Downloads 816 ( 42,801)
Citation 11

Activism, Strategic Trading, and Liquidity

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 497/2017, Swiss Finance Institute Research Paper No. 18-42
Number of pages: 56 Posted: 23 Nov 2016 Last Revised: 24 May 2018
Kerry Back, Pierre Collin-Dufresne, Vyacheslav Fos, Tao Li, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityU) - Department of Economics & Finance and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 772 (45,414)
Citation 3

Abstract:

Loading...

Kyle model, insider trading, strategic trading, asymmetric information, liquidity, price impact, market depth, activism, unobservable effort, economic efficiency, continuous time

Activism, Strategic Trading, and Liquidity

NBER Working Paper No. w22893
Number of pages: 48 Posted: 05 Dec 2016 Last Revised: 22 Jul 2022
Kerry Back, Pierre Collin-Dufresne, Vyacheslav Fos, Tao Li, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityU) - Department of Economics & Finance and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 42 (575,148)

Abstract:

Loading...

Activism, Strategic Trading, and Liquidity

CEPR Discussion Paper No. DP12372
Number of pages: 51 Posted: 16 Oct 2017
Kerry Back, Pierre Collin-Dufresne, Vyacheslav Fos, Tao Li, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityU) - Department of Economics & Finance and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 2 (917,298)
Citation 5
  • Add to Cart

Abstract:

Loading...

activism, continuous time, economic efficiency, Kyle model, liquidity, market depth, price impact, strategic trading

15.

Pricing Swaptions within the Affine Framework

Washington University Department of Finance WP
Number of pages: 24 Posted: 09 May 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 710 (51,507)
Citation 11

Abstract:

Loading...

Swaption Pricing

16.

Can Standard Preferences Explain the Prices of Out-of-The-Money S&P 500 Put Options?

Number of pages: 43 Posted: 11 Aug 2005
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 607 (63,048)

Abstract:

Loading...

Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk

17.

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Number of pages: 57 Posted: 17 Jun 2015
Pierre Collin-Dufresne, Kent D. Daniel, Ciamac C. Moallemi and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 572 (68,027)
Citation 20

Abstract:

Loading...

Dynamic Asset Allocation, Return Predictability, Transaction Costs

18.

Dividend Dynamics and the Term Structure of Dividend Strips

Downloads 552 ( 71,101)
Citation 39

Dividend Dynamics and the Term Structure of Dividend Strips

AFA 2013 San Diego Meetings Paper
Number of pages: 62 Posted: 19 Mar 2012 Last Revised: 08 Mar 2014
Frederico Belo, Pierre Collin-Dufresne and Robert S. Goldstein
INSEAD, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 455 (89,117)
Citation 40

Abstract:

Loading...

Dividend Strips, Term Structure or Risk Premia

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Netspar Discussion Paper No. 03/2012-040
Number of pages: 46 Posted: 26 Nov 2012
Robert S. Goldstein, Frederico Belo and Pierre Collin-Dufresne
University of Minnesota - Twin Cities - Carlson School of Management, INSEAD and Ecole Polytechnique Fédérale de Lausanne
Downloads 86 (402,712)

Abstract:

Loading...

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

NBER Working Paper No. w18450
Number of pages: 59 Posted: 13 Oct 2012 Last Revised: 01 Jun 2022
Frederico Belo, Pierre Collin-Dufresne and Robert S. Goldstein
INSEAD, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 11 (811,305)

Abstract:

Loading...

19.

'True' Stochastic Volatility and a Generalized Class of Affine Models

Number of pages: 28 Posted: 13 Jun 2000
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 551 (71,270)
Citation 3

Abstract:

Loading...

20.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies

Number of pages: 50 Posted: 20 Mar 2005 Last Revised: 01 Jul 2011
Jaime Casassus, Pierre Collin-Dufresne and Bryan Routledge
Pontificia Universidad Catolica de Chile, Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 542 (72,713)
Citation 10

Abstract:

Loading...

Commodity prices, Futures prices, Convenience yield, Scarcity, Investment, Irreversibility, General equilibrium, Simulated Method of Moments (SMM), Regime-switching model, risk premium

21.

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Downloads 514 ( 77,691)
Citation 47

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Number of pages: 42 Posted: 13 Jul 2001
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 514 (76,903)
Citation 47

Abstract:

Loading...

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Posted: 30 Dec 2003
Pierre Collin-Dufresne and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

Loading...

22.

Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch

Swiss Finance Institute Research Paper No. 18-41
Number of pages: 62 Posted: 03 Jun 2015 Last Revised: 29 Jan 2020
Vincent Bogousslavsky, Pierre Collin-Dufresne and Mehmet Saglam
Boston College - Department of Finance, Ecole Polytechnique Fédérale de Lausanne and University of Cincinnati - Department of Finance - Real Estate
Downloads 499 (80,573)
Citation 1

Abstract:

Loading...

Liquidity, Algorithmic Trading, Institutional Trading Costs, Slow-Moving Capital, Market Making

23.

A General Formula for Valuing Defaultable Securities

Carnegie Mellon Department of Finance Working Paper
Number of pages: 26 Posted: 17 Feb 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 496 (81,155)
Citation 14

Abstract:

Loading...

reduced-form models of default, Cox Processes

24.

Shareholder Activism, Informed Trading, and Stock Prices

Downloads 486 ( 83,112)
Citation 1

Shareholder Activism, Informed Trading, and Stock Prices

Swiss Finance Institute Research Paper No. 13-70
Number of pages: 56 Posted: 26 Sep 2013 Last Revised: 21 Feb 2015
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 451 (90,044)

Abstract:

Loading...

Informed trading, asymmetric information, liquidity, moral hazard, shareholder activism, price eciency, continuous time

Moral Hazard, Informed Trading, and Stock Prices

NBER Working Paper No. w19619
Number of pages: 63 Posted: 09 Nov 2013 Last Revised: 11 Aug 2022
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 35 (615,158)

Abstract:

Loading...

25.

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Number of pages: 62 Posted: 28 Jun 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 482 (83,946)
Citation 15

Abstract:

Loading...

Term Structure of Interest rates, Affine Models

26.

How Integrated Are Credit and Equity Markets? Evidence From Index Options

Swiss Finance Institute Research Paper No. 20-65
Number of pages: 118 Posted: 16 Jul 2020 Last Revised: 27 Feb 2021
Pierre Collin-Dufresne, Benjamin Junge and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Copenhagen Business School
Downloads 457 (89,487)
Citation 3

Abstract:

Loading...

Credit Risk, CDX, CDX Options, SPX, SPX Options, Structural Models

27.

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Downloads 450 ( 91,099)
Citation 1

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Number of pages: 51 Posted: 23 Jan 2005
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 390 (106,592)

Abstract:

Loading...

Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

NBER Working Paper No. w11247
Number of pages: 51 Posted: 18 May 2005 Last Revised: 27 Mar 2022
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 60 (491,426)

Abstract:

Loading...

28.

Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework

Number of pages: 47 Posted: 05 Feb 2007 Last Revised: 01 Jul 2011
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 437 (94,201)
Citation 11

Abstract:

Loading...

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options

29.

Asset Pricing When 'This Time is Different'

Swiss Finance Institute Research Paper No. 13-73, Columbia Business School Research Paper No. 14-8
Number of pages: 70 Posted: 02 Jan 2014 Last Revised: 29 Jan 2016
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 435 (94,746)
Citation 17

Abstract:

Loading...

Asset pricing

30.

Modeling Credit Contagion via the Updating of Fragile Beliefs

Downloads 414 (100,305)
Citation 24

Modeling Credit Contagion via the Updating of Fragile Beliefs

Number of pages: 65 Posted: 05 Mar 2012 Last Revised: 29 Jan 2015
Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 321 (132,368)
Citation 8

Abstract:

Loading...

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

Modeling Credit Contagion Via the Updating of Fragile Beliefs

Netspar Discussion Paper No. 12/2011-123 - revised version February 2014
Number of pages: 54 Posted: 24 Nov 2012 Last Revised: 13 Jan 2016
Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 93 (383,403)
Citation 17

Abstract:

Loading...

31.

Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

Number of pages: 49 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 411 (101,186)
Citation 50

Abstract:

Loading...

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk

32.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Downloads 381 (110,374)
Citation 69

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Number of pages: 45 Posted: 18 Mar 2012 Last Revised: 19 Sep 2015
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 273 (156,632)

Abstract:

Loading...

Parameter learning, asset pricing, general equilibrium

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Netspar Discussion Paper No. 05/2012-039
Number of pages: 69 Posted: 26 Nov 2012 Last Revised: 05 Apr 2013
Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 94 (380,801)

Abstract:

Loading...

Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 07 May 2022
Pierre Collin-Dufresne, Michael S. Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 14 (781,064)
Citation 42

Abstract:

Loading...

33.

On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches

Downloads 340 (125,313)
Citation 1

On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches

Number of pages: 38 Posted: 27 Jan 2010
Pierre Collin-Dufresne, Robert S. Goldstein and Fan Yang
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 295 (144,641)
Citation 1

Abstract:

Loading...

CDX tranche spreads

On the Relative Pricing of Long Maturity S&P 500 Index Options and Cdx Tranches

NBER Working Paper No. w15734
Number of pages: 38 Posted: 10 Feb 2010 Last Revised: 30 Jun 2022
Pierre Collin-Dufresne, Robert S. Goldstein and Fan Yang
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Connecticut - Department of Finance
Downloads 45 (559,389)

Abstract:

Loading...

34.

On Bounding Credit-Event Risk Premia

AFA
Number of pages: 48 Posted: 13 Nov 2012 Last Revised: 23 Jul 2018
Jennie Bai, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Georgetown University - Department of Finance, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 333 (128,085)
Citation 9

Abstract:

Loading...

credit risk model, contagion

35.

Liquidity Regimes and Optimal Dynamic Asset Allocation

Downloads 298 (143,852)
Citation 5

Liquidity Regimes and Optimal Dynamic Asset Allocation

Columbia Business School Research Paper No. 18-14, Swiss Finance Institute Research Paper No. 18-43
Number of pages: 69 Posted: 15 Jan 2018 Last Revised: 26 Oct 2018
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 278 (153,768)
Citation 5

Abstract:

Loading...

Asset Allocation, Dynamic Trading, Stochastic Transaction Costs

Liquidity Regimes and Optimal Dynamic Asset Allocation

NBER Working Paper No. w24222
Number of pages: 68 Posted: 22 Jan 2018 Last Revised: 09 Mar 2022
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 19 (734,922)

Abstract:

Loading...

Liquidity Regimes and Optimal Dynamic Asset Allocation

CEPR Discussion Paper No. DP12737
Number of pages: 60 Posted: 26 Feb 2018
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia University - Columbia Business School, Finance and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (933,997)
  • Add to Cart

Abstract:

Loading...

dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

36.

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

Downloads 294 (145,856)
Citation 1

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

Number of pages: 48 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 191 (220,737)
Citation 2

Abstract:

Loading...

contagion risk, fragile beliefs

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs

NBER Working Paper No. w15733
Number of pages: 48 Posted: 10 Feb 2010 Last Revised: 29 Jun 2022
Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 103 (358,723)
Citation 1

Abstract:

Loading...

37.

Identification of Maximal Affine Term Structure Models

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 12 Jan 2007
Pierre Collin-Dufresne, Christopher S. Jones and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 290 (148,057)
Citation 5

Abstract:

Loading...

Term Structure of Interest rates

38.

Insider Trading with Penalties

Downloads 200 (211,944)
Citation 2

Insider Trading with Penalties

Swiss Finance Institute Research Paper No. 19-68
Number of pages: 47 Posted: 14 Jun 2019 Last Revised: 22 Apr 2022
Sylvain Carre, Pierre Collin-Dufresne and Franck Gabriel
LEDa, Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 109 (345,105)
Citation 2

Abstract:

Loading...

Kyle model, non-linear equilibria, existence and uniqueness, market microstructure, insider trading, market regulation, efficient penalties

Insider Trading with Penalties

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 45 Posted: 29 Oct 2019 Last Revised: 08 Apr 2022
Sylvain Carre, Pierre Collin-Dufresne and Franck Gabriel
LEDa, Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 91 (388,754)

Abstract:

Loading...

Kyle model, non-linear equilibria, existence and uniqueness, market microstructure, insider trading, market regulation, efficient penalties

39.

Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility

NBER Working Paper No. w10756
Number of pages: 76 Posted: 01 Jun 2006 Last Revised: 23 May 2022
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 66 (461,832)
Citation 4

Abstract:

Loading...

40.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

NBER Working Paper No. w11864
Number of pages: 74 Posted: 09 Mar 2006 Last Revised: 03 Jun 2022
Jaime Casassus, Pierre Collin-Dufresne and Bryan Routledge
Pontificia Universidad Catolica de Chile, Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 66 (461,832)

Abstract:

Loading...

41.

Can Standard Preferences Explain the Prices of Out of the Money S&P 500 Put Options

NBER Working Paper No. w11861
Number of pages: 43 Posted: 19 Jan 2006 Last Revised: 30 May 2022
Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 59 (488,103)

Abstract:

Loading...

42.

Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix

Number of pages: 33 Posted: 29 Jan 2015
Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 54 (508,132)
Citation 1

Abstract:

Loading...

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

43.

A Short Introduction to Correlation Markets

Journal of Financial Econometrics, Vol. 7, Issue 1, pp. 12-29, 2009
Posted: 03 Jan 2009
Pierre Collin-Dufresne
Ecole Polytechnique Fédérale de Lausanne

Abstract:

Loading...

CDO, copula, correlation, credit derivatives, implied correlation, synthetic CDO, tranches

44.

Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty

Carnegie Mellon University Working Paper
Posted: 09 Oct 2001 Last Revised: 01 Jul 2011
Pierre Collin-Dufresne and Julien Hugonnier
Ecole Polytechnique Fédérale de Lausanne and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne

Abstract:

Loading...

Non market risks, incomplete markets, pricing, hedging, utility maximization, utility based pricing, certainty equivalent, temporal resolution of uncertainty, credit risk.

45.

A Closed Form Formula for Valuing Mortgages

Posted: 06 Dec 1998
Pierre Collin-Dufresne and John P. Harding
Ecole Polytechnique Fédérale de Lausanne and University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies

Abstract:

Loading...