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

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687

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483

Scholarly Papers (45)

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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 3,191 (3,826)
Citation 34

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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 2,847 (4,669)
Citation 127

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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 Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,579 (12,284)
Citation 1

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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 1,532 (12,909)

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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 1,389 ( 15,069)
Citation 49

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 1,280 (16,754)
Citation 3

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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 88 (322,822)

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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
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 21 (591,313)
Citation 11

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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 1,325 (16,198)
Citation 41

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7.

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

Downloads 1,308 ( 16,534)

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, Pierre Collin-Dufresne and Robert S. Goldstein
Luohan Academy, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,308 (16,216)
Citation 60

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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, Pierre Collin-Dufresne and Robert S. Goldstein
Luohan Academy, Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

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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

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G12, G13

8.

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Downloads 1,031 ( 23,603)
Citation 26

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 965 (25,523)
Citation 1

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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 57 (412,321)

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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
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 9 (681,686)
Citation 12

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9.

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 1,008 (24,416)
Citation 17

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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 999 (24,723)
Citation 93

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

11.

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 787 (34,614)
Citation 25

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

12.

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 698 (40,701)
Citation 11

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Swaption Pricing

13.

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 661 (43,823)
Citation 2

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14.

Activism, Strategic Trading, and Liquidity

Downloads 657 ( 44,186)
Citation 8

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 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 (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 637 (45,461)
Citation 3

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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: 20 Dec 2016
Kerry Back, Pierre Collin-Dufresne, Vyacheslav Fos, Tao Li 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 (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 19 (605,778)

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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 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 (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 1 (756,834)
Citation 6
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activism, continuous time, economic efficiency, Kyle model, liquidity, market depth, price impact, strategic trading

15.

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 600 (49,819)

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

16.

'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 545 (56,287)
Citation 3

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17.

Dividend Dynamics and the Term Structure of Dividend Strips

Downloads 533 ( 57,877)
Citation 33

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 437 (73,248)
Citation 34

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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 85 (329,978)

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Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

NBER Working Paper No. w18450
Number of pages: 59 Posted: 13 Oct 2012
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 (666,093)

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18.

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 527 (58,703)
Citation 7

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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

19.

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 Business School - Finance and Economics, Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 492 (63,985)
Citation 19

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Dynamic Asset Allocation, Return Predictability, Transaction Costs

20.

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

Downloads 490 ( 64,328)
Citation 40

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 490 (63,659)
Citation 40

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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

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21.

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 481 (65,771)
Citation 14

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reduced-form models of default, Cox Processes

22.

Liquidity, Volume, and Volatility

Swiss Finance Institute Research Paper No. 19-69
Number of pages: 59 Posted: 07 Mar 2019 Last Revised: 02 Jan 2020
Vincent Bogousslavsky and Pierre Collin-Dufresne
Boston College - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 479 (66,116)
Citation 2

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

23.

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 472 (67,332)
Citation 15

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Term Structure of Interest rates, Affine Models

24.

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

Downloads 428 ( 75,803)
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 376 (87,458)

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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: 26 Sep 2010
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 52 (430,546)

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25.

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 427 (76,020)
Citation 12

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

26.

Shareholder Activism, Informed Trading, and Stock Prices

Downloads 421 ( 77,274)

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 405 (80,166)

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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
Pierre Collin-Dufresne and Vyacheslav Fos
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance
Downloads 16 (627,557)

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27.

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 402 (81,612)
Citation 1

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

28.

Modeling Credit Contagion via the Updating of Fragile Beliefs

Downloads 390 ( 84,440)
Citation 22

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 303 (111,617)
Citation 7

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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 87 (325,204)
Citation 17

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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 386 (85,505)
Citation 15

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Asset pricing

30.

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 365 (91,227)
Citation 46

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

31.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Downloads 340 ( 98,914)
Citation 56

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 244 (140,090)

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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 86 (327,548)

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Parameter Learning in General Equilibrium: The Asset Pricing Implications

NBER Working Paper No. w19705
Number of pages: 70 Posted: 10 Dec 2013 Last Revised: 13 Dec 2013
Pierre Collin-Dufresne, Michael S. Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 10 (673,795)
Citation 25

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32.

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

Downloads 329 (102,590)
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 290 (117,042)
Citation 1

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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 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 39 (485,564)

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33.

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 312 (108,782)
Citation 11

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credit risk model, contagion

34.

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

Downloads 272 (125,831)
Citation 2

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 175 (191,483)
Citation 3

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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 2010
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 97 (303,107)

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35.

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 272 (125,831)
Citation 3

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Term Structure of Interest rates

36.

Liquidity Regimes and Optimal Dynamic Asset Allocation

Downloads 244 (140,611)
Citation 4

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 Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 232 (147,167)
Citation 4

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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
Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Saglam
Ecole Polytechnique Fédérale de Lausanne, Columbia Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 11 (666,093)

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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 Business School - Finance and Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 1 (756,834)
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dynamic portfolio choice, mean-variance, price impact, risk-parity, stochastic volatility, transaction costs

37.

Insider Trading with Penalties

Downloads 118 (263,039)
Citation 1

Insider Trading with Penalties

Swiss Finance Institute Research Paper No. 19-68
Number of pages: 59 Posted: 14 Jun 2019 Last Revised: 02 Jan 2020
Sylvain Carre, Pierre Collin-Dufresne and Franck Gabriel
National Research University Higher School of Economics - International College of Economics and Finance, Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 77 (350,439)
Citation 1

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Kyle equilibrium, insider trading

Insider Trading with Penalties

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 53 Posted: 29 Oct 2019 Last Revised: 11 Jun 2020
Sylvain Carre, Pierre Collin-Dufresne and Franck Gabriel
National Research University Higher School of Economics - International College of Economics and Finance, Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
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Kyle model, non-linear equilibria, existence and uniqueness, market microstructure, insider trading, market regulation, efficient penalties

38.

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

Swiss Finance Institute Research Paper No. 20-65
Number of pages: 80 Posted: 16 Jul 2020 Last Revised: 18 Sep 2020
Pierre Collin-Dufresne, Benjamin Junge and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Copenhagen Business School - Department of Finance
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Credit Risk, Cdx, Cdx Options, Spx, Spx Options, Structural Models

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
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
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Citation 4

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40.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

NBER Working Paper No. w11864
Number of pages: 74 Posted: 09 Mar 2006
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
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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: 13 Jun 2009
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
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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 48 (438,369)
Citation 1

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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

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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

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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

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