Darrell Duffie | lit.salon

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Darrell Duffie | lit.salon

Darrell Duffie

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Books by Darrell Duffie (50 max)

Dynamic asset pricing theory

1992

Multiperiod securities markets with differential information: martingales and resolution times

1985

Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)

2003

How big banks fail and what to do about it

2010

Measuring Corporate Default Risk

2011

Dark markets asset pricing and information transmission in over-the-counter markets

2011

Post-Crisis Bank Regulations and Financial Market Liquidity

2021

Futures markets

1989

Over-the-counter markets

2004

Multi-period corporate failure prediction with stochastic covariates

2004

Structured Credit Products

2011

Moorad Choudhry, Darrell Duffie

Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities

1983

Diffusion approximation in Arrow's model of exhaustable resources

1983

Security markets: stochastic models

1988

Asset pricing with stochastic differential utility

1991

Transform analysis and asset pricing for affine jump-diffusions

1999

ill - Credit risk

2004

Valuation in over-the-counter markets

2006

Multi-period corporate default prediction with stochastic covariates

2006

Innovations in credit risk transfer: implications for financial stability

2008

Dynamic Asset Pricing Theory, Third Edition

2008

Kyodai ginkō wa naze hatanshitanoka: Purosesu to sono taisaku

2011

Darrell Duffie, Toshiki Honda

Measuring corporate default risk

2011

How big banks fail: and what to do about it

2011

Lun da yin hang de dao diao

2012