NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Darrell Duffie

Contact and additional information for this authorAll publicationsWorking Papers only

Working Papers

February 2014Central Clearing and Collateral Demand
with Martin Scheicher, Guillaume Vuillemey: w19890
August 2011Information Percolation in Segmented Markets
with Semyon Malamud, Gustavo Manso: w17295
Capital Mobility and Asset Pricing
with Bruno Strulovici: w17296
The Exact Law of Large Numbers for Independent Random Matching
with Yeneng Sun: w17280
Systemic Risk Exposures: A 10-by-10-by-10 Approach
w17281
February 2006Valuation in Over-the-Counter Markets
with Nicolae Garleanu, Lasse Heje Pedersen: w12020
January 2006Common Failings: How Corporate Defaults are Correlated
with Sanjiv Das, Nikunj Kapadia, Leandro Saita: w11961
Multi-Period Corporate Default Prediction With Stochastic Covariates
with Leandro Siata, Ke Wang: w11962
October 2004Over-the-Counter Markets
with Nicolae Garleanu, Lasse Heje Pedersen: w10816
September 2004Multi-Period Corporate Failure Prediction with Stochastic Covariates
with Darrell Duffie, Ke Wang: w10743
September 2002Affine Processes and Application in Finance
with D. Filipovic, W. Schachermayer: t0281
Large Portfolio Losses
with Amir Dembo, Jean-Deominique Deuschel: w9177
April 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions
with Jun Pan, Kenneth Singleton: w7105
March 1990Simulated Moments Estimation of Markov Models of Asset Prices
with Kenneth J. Singleton: t0087

Contact and additional information for this authorAll publicationsWorking Papers only

 
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