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Dean Witter Distinguished Professor of Finance |
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Contact
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Darrell Duffie’s research interests include over-the-counter market financial modeling, financial risk management, credit risk, valuation of defaultable securities, valuation and hedging of derivative securities, term structure of interest rate modeling, financial innovation, and security design. Recently, Duffie has focused on how capital moves from one segment of asset markets to another, and the implications of imperfect trading opportunities for asset price behavior, especially in over-the-counter markets. Duffie and several collaborators have some recent results on portfolio credit risk, based on the assumption that there are unobservable common default-risk factors. |
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| Darrell Duffie is the Dean Witter Distinguished Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford in 1984. Among other books, Duffie is the author of Dynamic Asset Pricing Theory (Princeton University Press, third edition 2001) and a co-author with Ken Singleton of Credit Risk (Princeton University Press, 2004). His recent research focuses on asset pricing, credit risk, fixed-income securities, and over-the-counter markets. Duffie is a Fellow and member of the Council of the Econometric Society, a Research Associate of the National Bureau of Economic Research, the 2003 IAFE/Sunguard Financial Engineer of the Year, a Fellow of The American Academy of Arts and Sciences, and the President of The American Finance Association. | ||
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Darrell Duffie
