Darrell Duffie : Citation Profile


Are you Darrell Duffie?

Stanford University

45

H index

74

i10 index

10723

Citations

RESEARCH PRODUCTION:

77

Articles

61

Papers

4

Books

15

Chapters

RESEARCH ACTIVITY:

   37 years (1985 - 2022). See details.
   Cites by year: 289
   Journals where Darrell Duffie has often published
   Relations with other researchers
   Recent citing documents: 773.    Total self citations: 32 (0.3 %)

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   Permalink: http://citec.repec.org/pdu341
   Updated: 2023-01-28    RAS profile: 2018-06-04    
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Relations with other researchers


Works with:

Zhu, Haoxiang (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Darrell Duffie.

Is cited by:

Xiao, Tim (104)

Weill, Pierre-Olivier (70)

Lucas, Andre (49)

Chernov, Mikhail (46)

Riedel, Frank (43)

Schwaab, Bernd (41)

Longstaff, Francis (40)

Acharya, Viral (40)

gourieroux, christian (39)

Koopman, Siem Jan (39)

Cornet, Bernard (39)

Cites to:

Singleton, Kenneth (19)

Leland, Hayne (14)

Jarrow, Robert (11)

merton, robert (9)

Kreps, David (9)

Lando, David (9)

Pedersen, Lasse (9)

Constantinides, George (8)

Das, Sanjiv (7)

DeMarzo, Peter (7)

Cao, Charles (6)

Main data


Where Darrell Duffie has published?


Journals with more than one article published# docs
Econometrica13
Journal of Mathematical Economics9
Journal of Economic Theory9
Journal of Finance8
Review of Financial Studies5
Journal of Economic Dynamics and Control4
Mathematical Finance3
Journal of Financial Economics3
Journal of Economic Perspectives2
Journal of Applied Corporate Finance2
Finance and Stochastics2
American Economic Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc22
Research Papers / Stanford University, Graduate School of Business7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
BIS Working Papers / Bank for International Settlements3
Economics Working Papers / Hoover Institution, Stanford University3
Econometric Society 2004 North American Winter Meetings / Econometric Society3
Staff Reports / Federal Reserve Bank of New York2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2

Recent works citing Darrell Duffie (2022 and 2021)


YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2022A Tutorial on the Generalized Method of Moments (GMM) in Finance. (2022). Astorino, Paula ; de Genaro, Alan. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:sup2022:1527.

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2022.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2022A general firm value model under partial information. (2022). Vrins, Frederic ; Sagna, Abass ; Mbaye, Cheikh. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022009.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2022Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144.

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2022Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153.

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2021MEMORY, MULTIPLE EQUILIBRIA AND EMERGING MARKET CRISES. (2021). Pierri, Damian. In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política (IIEP-BAIRES). RePEc:ake:iiepdt:202162.

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2021.

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2022.

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2022Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108.

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2022Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129.

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2022Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. (2022). Engel, Charles ; Bigio, Saki ; Bianchi, Javier. In: Working Papers. RePEc:apc:wpaper:182.

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2022Optimal investment with time-varying stochastic endowments. (2014). Chen, AN ; Stelzer, Robert ; Mereu, Carla . In: Papers. RePEc:arx:papers:1406.6245.

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2022A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations. (2016). Hyndman, Cody Blaine ; Ngou, Polynice Oyono . In: Papers. RePEc:arx:papers:1410.8595.

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2022Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2021Viability and Arbitrage under Knightian Uncertainty. (2019). Riedel, Frank ; Soner, Mete H ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1707.03335.

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2022A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Epstein-Zin Utility Maximization on Random Horizons. (2019). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:1903.08782.

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2021A class of recursive optimal stopping problems with applications to stock trading. (2019). de Angelis, Tiziano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1905.02650.

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2021Improving Information from Manipulable Data. (2019). Kartik, Navin ; Frankel, Alex. In: Papers. RePEc:arx:papers:1908.10330.

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2021Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences. (2020). Huang, Yu-Jui ; Aurand, Joshua. In: Papers. RePEc:arx:papers:2003.01783.

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2021Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2021Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2021Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2021Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2022Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733.

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2021Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557.

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2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2021Duality and deep learning for optimal consumption with randomly terminating income. (2020). Monoyios, Michael ; Davey, Ashley ; Zheng, Harry. In: Papers. RePEc:arx:papers:2011.00732.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2022Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235.

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2021Valuation of electricity storage contracts using the COS method. (2021). Oosterlee, Cornelis W ; Boonstra, Boris C. In: Papers. RePEc:arx:papers:2101.02917.

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2021The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2021Defaultable term structures driven by semimartingales. (2021). Schmidt, Thorsten ; Gumbel, Sandrine. In: Papers. RePEc:arx:papers:2103.01577.

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2021How good is good? Probabilistic benchmarks and nanofinance+. (2021). Martinez, Rolando Gonzales. In: Papers. RePEc:arx:papers:2103.01669.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2022Rodeo or Ascot: which hat to wear at the crypto race?. (2021). Hardle, Wolfgang Karl ; Hausler, Konstantin. In: Papers. RePEc:arx:papers:2103.12461.

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2021A note on a PDE approach to option pricing under xVA. (2021). Baustian, Falko ; Vsv, Vladim'Ir ; Posp, Jan ; Fencl, Martin. In: Papers. RePEc:arx:papers:2105.00051.

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2022Tax Progressivity and Wealth Inequality: Evidence from Forbes 400. (2021). Toda, Alexis Akira ; Sasaki, Yuya ; Lee, Ji Hyung ; Wang, Yulong. In: Papers. RePEc:arx:papers:2105.10007.

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2021Assessing asset-liability risk with neural networks. (2021). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:2105.12432.

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2021Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560.

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2021Debt Swapping for Risk Mitigation in Financial Networks. (2021). Wattenhofer, Roger ; Papp, P'Al Andr'As. In: Papers. RePEc:arx:papers:2107.05359.

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2021The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Herdegen, Martin ; Hobson, David. In: Papers. RePEc:arx:papers:2107.06593.

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2021Multi-agent Bayesian Learning with Best Response Dynamics: Convergence and Stability. (2021). Ozdaglar, Asuman ; Amin, Saurabh ; Wu, Manxi. In: Papers. RePEc:arx:papers:2109.00719.

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2021Behavioral Bias Benefits: Beating Benchmarks By Bundling Bouncy Baskets. (2021). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2109.03740.

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2021SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738.

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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2021Evolutionary Foundation for Heterogeneity in Risk Aversion. (2021). Nehama, Ilan ; Heller, Yuval. In: Papers. RePEc:arx:papers:2110.11245.

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2022Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model. (2021). Aras, Atilla. In: Papers. RePEc:arx:papers:2110.14405.

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2021Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions. (2021). Dumav, Martin. In: Papers. RePEc:arx:papers:2110.15229.

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2022Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2022Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032.

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2022A transformer-based model for default prediction in mid-cap corporate markets. (2021). Bravo, Cristi'An ; Mues, Christophe ; Korangi, Kamesh. In: Papers. RePEc:arx:papers:2111.09902.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2021Securities Lending Haircuts and Indemnification Pricing. (2021). Lou, Wujiang. In: Papers. RePEc:arx:papers:2111.13228.

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2021Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708.

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2022Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2022A Survey of Quantum Computing for Finance. (2022). Liu, Xiao Yuan ; Googin, Cody ; Herman, Dylan ; Alexeev, Yuri ; Pistoia, Marco ; Sun, Yue ; Safro, Ilya ; Galda, Alexey. In: Papers. RePEc:arx:papers:2201.02773.

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2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105.

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2022The Impact of Connectivity on the Production and Diffusion of Knowledge. (2022). Pourbabaee, Farzad ; Manso, Gustavo. In: Papers. RePEc:arx:papers:2202.00729.

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2022Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. (2022). Hanzon, Bernard ; Trinh, Yen Thuan. In: Papers. RePEc:arx:papers:2202.00785.

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2022Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276.

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2022Universal approximation of credit portfolio losses using Restricted Boltzmann Machines. (2022). Genovese, Giuseppe ; Visentin, Gabriele ; Serra, Nicola ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2202.11060.

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2022A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946.

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2022Solution of integrals with fractional Brownian motion for different Hurst indices. (2022). Gao, Fei ; Temme, Nico M ; Oosterlee, Cornelis W ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2203.02323.

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2022Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537.

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2022Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

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2022Network structure and fragmentation of the Argentinean interbank markets. (2022). Montes-Rojas, Gabriel ; Elosegui, Pedro ; Forte, Federico. In: Papers. RePEc:arx:papers:2203.14488.

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2022CVA in fractional and rough volatility models. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:2204.11554.

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2022Sequential Choices, Option Values, and the Returns to Education. (2022). Bhuller, Manudeep ; Mendel, Moritz ; Eisenhauer, Philipp. In: Papers. RePEc:arx:papers:2205.05444.

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2022A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321.

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2022Asset Trading in Continuous Time: A Cautionary Tale. (2022). Zame, William R. In: Papers. RePEc:arx:papers:2207.03397.

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2022Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Jos'e A. Salmer'on, . In: Papers. RePEc:arx:papers:2208.07163.

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2022Stability of the Epstein-Zin problem. (2022). Mostovyi, Oleksii ; Monoyios, Michael. In: Papers. RePEc:arx:papers:2208.09895.

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2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

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2022Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614.

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2022Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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2022Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk. (2022). Jos'e A. Garc'ia-Rodr'iguez, ; 'Alvaro Leitao, ; Villarino, Joel P. In: Papers. RePEc:arx:papers:2210.02175.

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2022Classification based credit risk analysis: The case of Lending Club. (2022). Chakrabarty, Siddhartha P ; Gulati, Priya ; Gupta, Aadi. In: Papers. RePEc:arx:papers:2210.05136.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

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2022The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393.

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2022Liquidity based modeling of asset price bubbles via random matching. (2022). Oberpriller, Katharina ; Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2210.13804.

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2022The Economys Potential: Duality and Equilibrium. (2022). Goeree, Jacob K. In: Papers. RePEc:arx:papers:2210.14437.

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2022Mod-Poisson approximation schemes: Applications to credit risk. (2022). Visentin, Gabriele ; Nikeghbali, Ashkan. In: Papers. RePEc:arx:papers:2211.04436.

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2022Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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2022A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2021Constructing the Yield Curve for Sri Lankas Government Bond Market. (2021). Pathirannehelage, Kangara ; Liyanage, Dewundara. In: International Journal of Business and Economic Affairs (IJBEA). RePEc:aya:ijbeaa:2021:p:56-69.

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2021Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

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2021Four Decades of Canadian Earnings Inequality and Dynamics Across Workers and Firms. (2021). Park, Youngmin ; Lochner, Lance ; Liu, Huju ; Bowlus, Audra ; Gouin-Bonenfant, Emilien. In: Staff Working Papers. RePEc:bca:bocawp:21-20.

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2021Centralizing Over-the-Counter Markets?. (2021). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:21-39.

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More than 100 citations found, this list is not complete...

Works by Darrell Duffie:


YearTitleTypeCited
2007Information Percolation in Large Markets In: American Economic Review.
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article60
2007Systemic Illiquidity in the Federal Funds Market In: American Economic Review.
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article102
2010Information Percolation In: American Economic Journal: Microeconomics.
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article16
2008Information Percolation.(2008) In: 2008 Meeting Papers.
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This paper has another version. Agregated cites: 16
paper
1989Arrow and General Equilibrium Theory. In: Journal of Economic Literature.
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article10
2010The Failure Mechanics of Dealer Banks In: Journal of Economic Perspectives.
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article90
2010The failure mechanics of dealer banks.(2010) In: BIS Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90
paper
2010The Failure Mechanics of Dealer Banks.(2010) In: Economic Policy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90
article
2015Reforming LIBOR and Other Financial Market Benchmarks In: Journal of Economic Perspectives.
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article45
2010Is there a case for banning short speculation in sovereign bond markets? In: Financial Stability Review.
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article28
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