Douglas T. Breeden

Duke University Fuqua School of Business

William W. Priest Professor of Finance

Box 90120

Durham, NC 27708-0120

United States

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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195

CROSSREF CITATIONS

1,232

Scholarly Papers (19)

1.

Prices of State-Contingent Claims Implicit in Option Prices

Journal of Business, Vol. 51, No. 4, 1978
Number of pages: 32 Posted: 12 Aug 2015
Douglas T. Breeden and Robert H. Litzenberger
Duke University Fuqua School of Business and University of Pennsylvania - Finance Department
Downloads 685 (42,261)
Citation 76

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2.

Empirical Tests of the Consumption-Oriented CAPM

Journal of Finance, Vol. 44, No. 2, 1989
Number of pages: 33 Posted: 12 Aug 2015
Douglas T. Breeden, Robert R. Gibbons and Robert H. Litzenberger
Duke University Fuqua School of Business, University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 214 (160,907)
Citation 27

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Empirical tests, consumption, CAPM, Time aggregation, Maximum correlation portfolio

3.

Central Bank Policy Impacts on the Distribution of Future Interest Rates

Number of pages: 59 Posted: 12 Aug 2015
Douglas T. Breeden and Robert H. Litzenberger
Duke University Fuqua School of Business and University of Pennsylvania - Finance Department
Downloads 204 (168,457)
Citation 6

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Interest rates, risk neutral densities, state prices, Sovereign debt crisis, option prices, caps, floors

4.

An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities

Journal of Financial Economics (JFE), Vol. 7, No. 3, 1979
Number of pages: 32 Posted: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 161 (207,642)
Citation 64

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Consumption Capital Asset Pricing Model

5.

Bank Risk Management

The Handbook of Modern Finance, Chapter 34, Dennis Logue, Editor. Warren, Gorham and Lamont, 1989
Number of pages: 55 Posted: 13 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 137 (237,061)

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Bank risk management, hedging, futures, options, credit risk, interest rate risk

6.

Do Complex Economies Require Complex Financial Systems?

46th Annual AREUEA Conference Paper
Number of pages: 1 Posted: 01 Dec 2010
Duke University Fuqua School of Business, Carnegie Mellon University - David A. Tepper School of Business, Princeton University - Department of Economics and University of Maryland
Downloads 109 (280,855)

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7.

Consumption, Production, Inflation and Interest Rates: A Synthesis

Journal of Financial Economics (JFE), Vol. 16, 1986
Number of pages: 37 Posted: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 108 (282,650)
Citation 22

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Interest rates, term strucuture, inflation, production, consumption

8.

Why Do Firms Hedge? An Asymmetric Information Approach

Journal of Fixed Income, Forthcoming
Number of pages: 55 Posted: 12 Aug 2015 Last Revised: 21 Aug 2015
Douglas T. Breeden and S. Viswanathan
Duke University Fuqua School of Business and Duke University - Fuqua School of Business
Downloads 103 (292,111)
Citation 77

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9.

Hedging Interest Rate Risks with Futures, Swaps and Options

The Handbook of Mortgage-Backed Securities, Frank J. Fabozzi (Editor), Chapter 32, Probus Publishing, Chicago. 1987
Number of pages: 99 Posted: 19 Aug 2015
Douglas T. Breeden and Michael Giarla
Duke University Fuqua School of Business and Independent
Downloads 73 (360,859)

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Hedging, morttgages, banking, interest rate risk, prepayments, futures, swaps, options.

10.

Complexities of Hedging Mortgages

Journal of Fixed Income, December, 1994
Number of pages: 36 Posted: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 64 (387,080)
Citation 3

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Mortgages, hedging, IOs, POs, futures, options

11.

Risk, Return and Hedging of Fixed Rate Mortgages

Journal of Fixed Income, No. 3, 1991
Number of pages: 23 Posted: 15 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 57 (410,073)
Citation 1

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Hedging, dynmaic hedging, futures, prepayments, mortgages, bonds, interest rate risk, prepayment risk.

12.

A Stocks, Bonds, Consumers Leading Indicator

Number of pages: 42 Posted: 16 Aug 2014 Last Revised: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 44 (458,404)
Citation 1

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Consumption, Leading Indicator, Leading Index, Macroeconomic growth

13.

Optimal Dynamic Trading Strategies

Number of pages: 28 Posted: 03 Jul 2004
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 40 (475,396)
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14.

Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets

Journal of Economic Theory, Vol. 32, 1984
Number of pages: 26 Posted: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 39 (479,764)

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Intertemporal Portfolio Theory, Hedging, Optimality, Incomplete Markets

15.

Consumption as a Leading Indicator

Number of pages: 54 Posted: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 37 (488,764)
Citation 3

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Consumption, Leading indicator

16.

The Use and Misuse of Models in Investment Management

CFA Institute Conference Proceedings Quarterly, December 2009
Number of pages: 10 Posted: 12 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 30 (523,305)

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Mortgages, corporate bonds, bank loans, risk management, estimation risk

17.

Convexity and Empirical Option Costs of Fixed Rate Mortgages

Journal of Fixed Income, March 1997
Number of pages: 24 Posted: 19 Aug 2015
Douglas T. Breeden
Duke University Fuqua School of Business
Downloads 19 (590,814)

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Convexity, options, mortgages, IOs, mortgage derivatives

18.

Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues, and Limited Participation

Annual Review of Financial Economics, Vol. 7, pp. 35-83, 2015
Posted: 11 Dec 2015
Douglas T. Breeden, Robert Litzenberger and Tingyan Jia
Duke University Fuqua School of Business, University of Pennsylvania - The Wharton School and Stanford Graduate School of Business

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19.

Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters

Annual Review of Financial Economics, Vol. 7, pp. 85-131, 2015
Posted: 11 Dec 2015
Douglas T. Breeden, Robert Litzenberger and Tingyan Jia
Duke University Fuqua School of Business, University of Pennsylvania - The Wharton School and Stanford Graduate School of Business

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