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| Publications |
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Journal Articles: |
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"On the Relation between Credit Spread Puzzles and the Equity Premium Puzzle," Long Chen, Pierre Collin-Dufresne, and Robert S. Goldstein, (forthcoming The Review of Financial Studies 2008). |
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"Identification of Maximal Affine Term Structure Models," Pierre Collin-Dufresne, Robert S. Goldstein and Chris Jones. (forthcoming The Journal of Finance 2008 ). |
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"Portfolio Choice over the Life-Cycle when the Stock and Labor Markets are Cointegrated," Luca Benzoni, Pierre Collin-Dufresne, and Robert S. Goldstein, The Journal of Finance, vol. 62, no. 5, 2007. |
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"Pricing and Hedging in the Presence of Extraneous Risk," Pierre Collin-Dufresne and Julien N. Hugonnier, Stochastic Processes and their Applications, 117(6), 2007. |
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"Convenience Yields Implied from Interest Rates and Commodity Futures," Jaime Casassus and Pierre Collin-Dufresne, The Journal of Finance, vol.60, no.5, 2005. |
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"Unspanned Stochastic Volatiltiy and Fixed Income Derivative Pricing," Jaime Casassus, Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Banking and Finance, vol.29, no. 11, 2005. |
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"A General Formula for Pricing Defaultable Claims," Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier, Econometrica, vol 72, No 5 (September 2004) 1377-1407. |
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"Pricing Swaptions within an Affine Framework," Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Derivatives, VOL. 10 NO. 1, Fall 2002. |
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"Do Bonds Span the Fixed-Income Markets? Theory and Evidence for Unspanned Stochastic Volatility," Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Finance, VOL. LVII, NO. 4, Aug. 2002. |
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"The Determinants of Credit Spreads," Pierre Collin-Dufresne, Robert S. Goldstein and Spencer J. Martin, The Journal of Finance, VOL. LVI, NO. 6, Dec. 2001. |
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"Do Credit Spreads Reflect Stationary Leverage Ratios?," Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Finance, VOL. LVI, NO. 5, Oct. 2001. |
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"On The Term Structure of Default Premia in the Swap and Libor Market," Pierre Collin-Dufresne and Bruno Solnik, The Journal of Finance, VOL. LVI NO. 3, Jun. 2001. |
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"Closed Form Formula for Valuing Mortgages," Pierre Collin-Dufresne and John P. Harding, The Journal of Real Estate Finance and Economics, VOL. 19 NO. 2, Sept. 1999. |
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Articles in refereed conference proceedings: |
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"Applying the HJM Approach when Volatility is Stochastic," 1998, Jesper Andreasen, Pierre Collin-Dufresne and Wei Shi, in proceedings of the AFFI Grenoble, 1997. |
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Articles in edited books: |
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"Martingale Pricing," in Equity Derivatives: Applications in Risk Management and Investment, 1997, pp. 223-233, Pierre Collin-Dufresne, William Keirstead and Michael Ross, Risk Publications. |
| Non-Published Papers |
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Working Papers
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"Can Interest Rate Volatility be Extracted from the Yield Curve?," 2006, Pierre Collin-Dufresne, Robert S. Goldstein and Chris Jones. |
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"Can Standard Preferences Explain the Prices of Out-Of-the-Money S&P 500 Put Options?," 2006, Luca Benzoni, Pierre Collin-Dufresne, and Robert S. Goldstein. |
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"A General Equilibrium Model of Oil prices and Convenience Yields," 2004, Jaime Casassus, Pierre Collin-Dufresne, and Bryan Routldege. |
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"Is Credit-Event Risk Priced? Modeling Contagion Risk Via the Updating of Beliefs," 2003, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege. |
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"Generalizing the Affine Framework to HJM and Random Fields," 2002, Pierre Collin-Dufresne and Robert S. Goldstein. |
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"Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty," 2001, Pierre Collin- Dufresne and Julien N. Hugonnier. |
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