Darrell Duffie

Books by Darrell Duffie

Total count: 27

• Diffusion approximation in Arrow's model of exhaustable resources

  Institute for Mathematical Studies in the Social Sciences, Stanford University1983-01-01
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  Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities

  Massachusetts Institute of Technology1983-01-01
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  Multiperiod securities markets with differential informationmartingales and resolution timesRev. March 1985.

  Massachusetts Institute of Technology, Alfred P. Sloan School of Management1985-01-01
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  Security marketsstochastic models

  Academic Press1988-01-01
• Futures markets

  Prentice-Hall1989-01-01
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  Dynamic asset pricing theory

  Princeton University Press1992-01-01
• Transform analysis and asset pricing for affine jump-diffusions

  National Bureau of Economic Research1999-01-01
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  Credit RiskPricing, Measurement, and Management (Princeton Series in Finance)

  Princeton University Press2003-01-06
• Multi-period corporate failure prediction with stochastic covariates

  National Bureau of Economic Research2004-01-01
• ill - Credit risk

  2004-01-01
• Over-the-counter markets

  National Bureau of Economic Research2004-01-01
• Valuation in over-the-counter markets

  National Bureau of Economic Research2006-01-01
• Multi-period corporate default prediction with stochastic covariates

  National Bureau of Economic Research2006-01-01
• Dynamic Asset Pricing Theory, Third Edition

  Princeton University Press2008-01-01
• Innovations in credit risk transferimplications for financial stability

  Bank for International Settlements2008-01-01
• How Big Banks Fail and What to Do about It

  Princeton University Press2010-01-01
• Mathematical Finance

  Springer New York2010-01-01
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  How big banks failand what to do about it

  Princeton University Press2011-01-01
• Dark MarketsAsset Pricing and Information Transmission in over-The-Counter Markets

  Princeton University Press2011-01-01
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  Measuring corporate default risk

  Oxford University Press2011-01-01
and 7 more