Darrell Duffie : Citation Profile

Stanford University

50

H index

84

i10 index

12482

Citations

RESEARCH PRODUCTION:

95

Articles

86

Papers

4

Books

17

Chapters

RESEARCH ACTIVITY:

   40 years (1985 - 2025). See details.
   Cites by year: 312
   Journals where Darrell Duffie has often published
   Relations with other researchers
   Recent citing documents: 536.    Total self citations: 46 (0.37 %)

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   Permalink: http://citec.repec.org/pdu341
   Updated: 2025-12-27    RAS profile: 2025-06-08    
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Relations with other researchers

Works with:

Luck, Stephan (5)

Copeland, Adam (5)

Shin, Hyun Song (4)

Van Tassel, Peter (2)

Fleming, Michael (2)

Afonso, Gara (2)

Shachar, Or (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 (72)

Riedel, Frank (54)

Chernov, Mikhail (52)

Lucas, Andre (52)

Longstaff, Francis (46)

Ranaldo, Angelo (45)

Schwaab, Bernd (44)

van der Ploeg, Frederick (Rick) (43)

Augustin, Patrick (41)

Monfort, Alain (41)

Cites to:

Singleton, Kenneth (19)

Leland, Hayne (14)

Jarrow, Robert (11)

Kreps, David (9)

Pedersen, Lasse (9)

merton, robert (9)

Lando, David (9)

Constantinides, George (8)

pan, jun (7)

DeMarzo, Peter (7)

Das, Sanjiv (7)

Main data

Where Darrell Duffie has published?

Journals with more than one article published# docs
Econometrica13
Journal of Finance10
Journal of Economic Theory9
Journal of Mathematical Economics9
The Review of Financial Studies5
Journal of Economic Perspectives4
Journal of Financial Economics4
Journal of Economic Dynamics and Control4
Financial Analysts Journal4
American Economic Review4
Mathematical Finance3
Finance and Stochastics2
Journal of Applied Corporate Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc23
Research Papers / Stanford University, Graduate School of Business21
Staff Reports / Federal Reserve Bank of New York7
BIS Working Papers / Bank for International Settlements5
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
Econometric Society 2004 North American Winter Meetings / Econometric Society3
Economics Working Papers / Hoover Institution, Stanford University3
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Liberty Street Economics / Federal Reserve Bank of New York2

Recent works citing Darrell Duffie (2025 and 2024)

YearTitle of citing document
2025How Competitive Is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing. (2025). Loualiche, Erik ; Huebner, Paul ; Haddad, Valentin. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:975-1018.

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2077Price dynamics and financialization effects in corn futures markets with heterogeneous traders. (2014). Heckelei, Thomas ; Grosche, Stephanie . In: Discussion Papers. RePEc:ags:ubfred:172077.

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2024Affine Heston model style with self-exciting jumps and long memory. (2024). Hainaut, Donatien ; Leunga, Charles Guy. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024001.

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2024The role of CDS spreads in explaining bond recovery rates. (2024). Barbagli, Matteo ; Franois, Pascal ; Gauthier, Genevieve ; Vrins, Frederic. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024002.

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2024Optimal Security Design for Risk-Averse Investors. (2024). Strack, Philipp ; Zhang, Mengxi ; Moldovanu, Benny ; Gershkov, Alex. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:325.

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2025Dynamics of sovereign debt: credit risk and sustainability analysis. (2025). Cont, Rama ; Bassa, Karolina. In: INET Oxford Working Papers. RePEc:amz:wpaper:2025-24.

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2024Three Remarks On Asset Pricing. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2024Theoretical Economics and the Second-Order Economic Theory. What is it?. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2112.04566.

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2025Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2024Sequential Choices, Option Values, and the Returns to Education. (2024). Bhuller, Manudeep ; Eisenhauer, Philipp ; Mendel, Moritz. In: Papers. RePEc:arx:papers:2205.05444.

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2025Chaotic Hedging with Iterated Integrals and Neural Networks. (2024). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2024Quantum-Inspired Tensor Neural Networks for Option Pricing. (2024). Jahromi, Saeed S ; Orus, Roman ; Patel, Raj G ; Castellani, Pierre ; Porte, Vincent ; Abid, Mustafa ; Dominguez, Tomas ; Tziritas, Kris ; Aubert, Stephane ; Michel, Christophe ; Sharma, Shivam ; Hsing, Chia-Wei ; Sahin, Serkan ; Palmer, Samuel ; Mugel, Samuel. In: Papers. RePEc:arx:papers:2212.14076.

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2024Monotone Function Intervals: Theory and Applications. (2024). Yang, Kai Hao ; Zentefis, Alexander K. In: Papers. RePEc:arx:papers:2302.03135.

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2024Market-Based Probability of Stock Returns. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2302.07935.

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2025Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives. (2025). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2025Self-Aware Transport of Economic Agents. (2024). Lyasoff, Andrew. In: Papers. RePEc:arx:papers:2303.12567.

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2024The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2025Learning Mertons Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration. (2023). Dong, Yuchao ; Jia, Yanwei ; Yu, Xun ; Dai, Min. In: Papers. RePEc:arx:papers:2312.11797.

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2024Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057.

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2024Functional CLTs for subordinated L\evy models in physics, finance, and econometrics. (2024). Wunderlich, Fabrice ; Sojmark, Andreas. In: Papers. RePEc:arx:papers:2312.15119.

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2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

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2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

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2025A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models. (2025). Georgoulis, Emmanuil H ; Smaragdakis, Costas ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2401.06740.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2024Hydrodynamics of Markets:Hidden Links Between Physics and Finance. (2024). Lipton, Alexander. In: Papers. RePEc:arx:papers:2403.09761.

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2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2403.14841.

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2025Crypto Inverse-Power Options and Fractional Stochastic Volatility. (2024). Xia, Weixuan ; Li, Boyi. In: Papers. RePEc:arx:papers:2403.16006.

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2024Continuous-time Risk-sensitive Reinforcement Learning via Quadratic Variation Penalty. (2024). Jia, Yanwei. In: Papers. RePEc:arx:papers:2404.12598.

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2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

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2024Non cooperative Liquidity Games and their application to bond market trading. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02865.

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2024Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs. (2024). Anthropelos, Michail ; Stefanakis, Constantinos. In: Papers. RePEc:arx:papers:2405.14418.

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2024Heterogeneous Beliefs Model of Stock Market Predictability. (2024). Park, Jiho. In: Papers. RePEc:arx:papers:2406.08448.

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2025Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences. (2024). Park, Kyunghyun ; Chen, Kexin ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2406.12305.

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2025A note on Refracted Skew Brownian Motion with an application. (2025). Ahmadi, Zaniar ; Zhou, Xiaowen. In: Papers. RePEc:arx:papers:2407.09321.

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2025Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets. (2024). Feng, Zixin ; Zheng, Harry ; Tian, Dejian. In: Papers. RePEc:arx:papers:2407.19995.

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2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

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2025EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods. (2024). Jiang, Zixiao ; Zhao, Xuanze ; Abdullah, Shamsul Nahar ; Ding, Hongcheng ; Dewi, Deshinta Arrova. In: Papers. RePEc:arx:papers:2408.13214.

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2024Credit Spreads Term Structure: Stochastic Modeling with CIR++ Intensity. (2024). ben Alaya, Mohamed ; Sarr, Djibril ; Kebaier, Ahmed. In: Papers. RePEc:arx:papers:2409.09179.

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2025A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios. (2024). Sigrist, Fabio ; Kundig, Pascal. In: Papers. RePEc:arx:papers:2410.02846.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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2024Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. (2024). Jha, Ayush ; Shirvani, Abootaleb ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2411.02804.

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2024Correct implied volatility shapes and reliable pricing in the rough Heston model. (2024). Boyarchenko, Svetlana ; Levendorskivi, Sergei. In: Papers. RePEc:arx:papers:2412.16067.

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2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

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2025How low-cost AI universal approximators reshape market efficiency. (2025). Morone, Flaviano ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2501.07489.

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2025A multi-factor model for improved commodity pricing: Calibration and an application to the oil market. (2025). Ballestra, Luca Vincenzo ; Tezza, Christian. In: Papers. RePEc:arx:papers:2501.15596.

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2025Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks. (2025). Rachev, Svetlozar T ; Jaffri, Ali ; Shirvani, Abootaleb ; Jha, Ayush ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2501.15793.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Exploratory Utility Maximization Problem with Tsallis Entropy. (2025). Jia-Wen, GU ; Ziyi, Chen. In: Papers. RePEc:arx:papers:2502.01269.

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2025High-dimensional censored MIDAS logistic regression for corporate survival forecasting. (2025). van Keilegom, Ingrid ; Striaukas, Jonas ; Beyhum, Jad ; Miao, Wei. In: Papers. RePEc:arx:papers:2502.09740.

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2025Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims. (2025). Jang, Jiwook ; Laub, Patrick J ; Zhao, Hongbiao ; Siu, Tak Kuen. In: Papers. RePEc:arx:papers:2502.13325.

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2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

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2025Modeling portfolio loss distribution under infectious defaults and immunization. (2025). Farina, Gianluca ; Torri, Gabriele ; Giacometti, Rosella. In: Papers. RePEc:arx:papers:2503.03306.

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2025Long-range dependent mortality modeling with cointegration. (2025). Wong, Hoi Ying ; Wang, Ling ; Chiu, Mei Choi. In: Papers. RePEc:arx:papers:2503.09377.

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2025Density Approximation of Affine Jump Diffusions via Closed-Form Moment Matching. (2025). Hu, Jian-Qiang ; Wu, Yan-Feng. In: Papers. RePEc:arx:papers:2504.06942.

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2025Optimal Investment in Equity and Credit Default Swaps in the Presence of Default. (2025). Robertson, Scott ; Fei, Zhe. In: Papers. RePEc:arx:papers:2504.08085.

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2025Radner equilibrium with population growth. (2025). Weston, Kim ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2504.18009.

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2025Mean Field Portfolio Games with Epstein-Zin Preferences. (2025). Fu, Guanxing ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2505.07231.

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2025Neural Jumps for Option Pricing. (2025). Liu, Yanchu ; Guo, Hanzhong ; Zheng, Duosi ; Huang, Wei. In: Papers. RePEc:arx:papers:2506.05137.

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2025Limits of Disclosure in Search Markets. (2025). Krasteva, Silvana ; Boleslavsky, Raphael. In: Papers. RePEc:arx:papers:2506.06319.

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2025The (Mis)use of Information in Decentralised Markets. (2025). Akkar, Carlos D. In: Papers. RePEc:arx:papers:2506.06848.

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2025Dynamic Asset Pricing with {\alpha}-MEU Model. (2025). He, Xuedong ; Fan, Jiacheng ; Wu, Ruocheng. In: Papers. RePEc:arx:papers:2507.04093.

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2025Three-level qualitative classification of financial risks under varying conditions through first passage times. (2025). Bouthelier-Madre, Carlos ; Escudero, Carlos. In: Papers. RePEc:arx:papers:2507.08101.

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2025FinSurvival: A Suite of Large Scale Survival Modeling Tasks from Finance. (2025). Bennett, Kristin P ; Seneviratne, Oshani ; Qin, Hanzhen ; Nie, Zihan ; Green, Aaron. In: Papers. RePEc:arx:papers:2507.14160.

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2025Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees. (2025). Bossu, Sebastien ; Grabchak, Michael. In: Papers. RePEc:arx:papers:2508.17014.

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2025Handling Sparse Non-negative Data in Finance. (2025). Capponi, Agostino ; Qu, Zhaonan. In: Papers. RePEc:arx:papers:2509.01478.

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2025A Case for AXI. (2025). Tsyrennikov, Viktor. In: Papers. RePEc:arx:papers:2509.03035.

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2025Collateral and Reputation in a Model of Strategic Defaults. (2025). Lukyanov, Georgy. In: Papers. RePEc:arx:papers:2509.08849.

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2025Causal PDE-Control Models: A Structural Framework for Dynamic Portfolio Optimization. (2025). Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2509.09585.

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2025An extended CIR process with stochastic discontinuities. (2025). Pavarana, Simone ; Fontana, Claudio ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2509.15752.

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2025Predicting Credit Spreads and Ratings with Machine Learning: The Role of Non-Financial Data. (2025). Wu, Yanran ; Zhang, Xinlei ; Yang, Qianxin ; Xu, Quanyi. In: Papers. RePEc:arx:papers:2509.19042.

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2025Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk. (2025). Vidyashankar, Anand N ; Deng, Fengnan ; Collamore, Jeffrey F. In: Papers. RePEc:arx:papers:2509.19151.

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2025Maximum principle for robust utility optimization via Tsallis relative entropy. (2025). Tian, Dejian ; Huang, Xueying ; Luo, Peng. In: Papers. RePEc:arx:papers:2509.20888.

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2025Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint. (2025). Tian, Dejian ; Zhou, Jianjun ; Zhu, Zimu. In: Papers. RePEc:arx:papers:2509.21929.

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2025Noise estimation of SDE from a single data trajectory. (2025). Lin, Guang ; Gao, Liyao ; Feng, QI ; Das, Purba ; Ali, Munawar. In: Papers. RePEc:arx:papers:2509.25484.

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2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

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2025Infinite-Horizon Optimal Control of Jump-Diffusion Models for Pollution-Dependent Disasters. (2025). Sakhanda, Daria. In: Papers. RePEc:arx:papers:2511.13568.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2024Who should buy structured investment products and why?. (2024). Guidolin, Massimo ; Pedio, Manuela ; Leonetti, Giacomo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

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2025The Optimum Quantity of Central Bank Reserves. (2025). Witmer, Jonathan. In: Staff Working Papers. RePEc:bca:bocawp:25-15.

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2025Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets. (2025). Cimon, David ; Brolley, Michael. In: Staff Working Papers. RePEc:bca:bocawp:25-2.

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2025Firm Heterogeneity and Adverse Selection in External Finance: Micro Evidence and Macro Implications. (2025). Whited, Toni ; Ottonello, Pablo ; Guo, Xing ; Winberry, Thomas. In: Staff Working Papers. RePEc:bca:bocawp:25-20.

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2025Money Talks: Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns. (2025). Nenov, Plamen ; Schneider, Fabienne ; Syrstad, Olav ; Juelsrud, Ragnar. In: Staff Working Papers. RePEc:bca:bocawp:25-34.

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2025The Determinant Factors of Hedging and Speculation with Foreign Exchange Derivatives of Brazilian Private Firms. (2025). de Oliveira, Fernando Nascimento. In: Working Papers Series. RePEc:bcb:wpaper:620.

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2024Assessing Effect of Market Sentiment on Pricing of European Currency Options €Ž. (2024). Dammak, Wael. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:6:p:1224-1244.

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2024ESG risks and corporate viability: insights from default probability term structure analysis. (2024). Ferriani, Fabrizio ; Pericoli, Marcello. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_892_24.

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2025Issuing European safe assets: how to get the most out of Eurobonds?. (2025). Tommasino, Pietro ; Pericoli, Marcello ; Pallara, Kevin. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_937_25.

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2024The fundamental role of the repo market and central clearing. (2024). di Luigi, Cristina ; Perrella, Antonio ; Ruggieri, Alessio. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_048_24.

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2025Pricing of Green Bonds: Greenium Dynamics and the Role of Retail Investors. (2025). Pietsch, Allegra ; Salakhova, Dilyara. In: Working papers. RePEc:bfr:banfra:1010.

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2025The Signaling Effects of Tightening and Easing Monetary Policy. (2025). Hubert, Paul ; Portier, Rose. In: Working papers. RePEc:bfr:banfra:999.

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2024Centralized vs Decentralized Markets: The Role of Connectivity. (2024). Iori, Giulia ; Alfarano, Simone ; Rahi, Rohit ; Camacho, Eva ; Kapar, Burcu ; Banal-Estaol, Albert. In: Working Papers. RePEc:bge:wpaper:1420.

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2025Capital Inflow Shocks and Convenience Yields. (2025). ben Zeev, Nadav ; Nathan, Daniel ; Ben-Zeev, Noam. In: Working Papers. RePEc:bgu:wpaper:2503.

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2024Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility. (2024). Riedel, Frank ; Stanza, Lorenzo ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:685.

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2024Optimal Consumption for Recursive Preferences with Local Substitution under Risk. (2024). Riedel, Frank ; Li, Hanwu. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:693.

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2024Fire sales of safe assets. (2024). Pinter, Gabor ; Siriwardane, Emil ; Walker, Danny. In: BIS Working Papers. RePEc:bis:biswps:1233.

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2025Decoding climate-related risks in sovereign bond pricing: a global perspective. (2025). Papadopoulos, Georgios ; Malovana, Simona ; Madeira, Carlos ; Grimaldi, Marianna Blix ; Anyfantaki, Sofia. In: BIS Working Papers. RePEc:bis:biswps:1275.

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2025Comparing search and intermediation frictions across markets. (2025). Üslü, Semih ; Pinter, Gabor ; Wijnandts, Jean-Charles. In: BIS Working Papers. RePEc:bis:biswps:1283.

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2025How do quantitative easing and tightening affect firms?. (2025). Gorea, Denis ; Eren, Egemen ; Zhai, Daojing. In: BIS Working Papers. RePEc:bis:biswps:1286.

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

Works by Darrell Duffie:

YearTitleTypeCited
2021Market Fragmentation In: American Economic Review.
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2020Market Fragmentation.(2020) In: Research Papers.
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2020Market Fragmentation.(2020) In: NBER Working Papers.
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2025The Decline of Too Big to Fail In: American Economic Review.
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2007Information Percolation in Large Markets In: American Economic Review.
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2007Systemic Illiquidity in the Federal Funds Market In: American Economic Review.
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2010Information Percolation In: American Economic Journal: Microeconomics.
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2008Information Percolation.(2008) In: 2008 Meeting Papers.
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1989Arrow and General Equilibrium Theory. In: Journal of Economic Literature.
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2010The Failure Mechanics of Dealer Banks In: Journal of Economic Perspectives.
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2010The failure mechanics of dealer banks.(2010) In: BIS Working Papers.
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2015Reforming LIBOR and Other Financial Market Benchmarks In: Journal of Economic Perspectives.
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2014Reforming LIBOR and Other Financial-Market Benchmarks.(2014) In: Research Papers.
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2019Prone to Fail: The Pre-crisis Financial System In: Journal of Economic Perspectives.
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2025How US Treasuries Can Remain the Worlds Safe Haven In: Journal of Economic Perspectives.
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2010Is there a case for banning short speculation in sovereign bond markets? In: Financial Stability Review.
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2022How abundant are reserves? Evidence from the wholesale payment system In: BIS Working Papers.
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2022How Abundant Are Reserves? Evidence from the Wholesale Payment System.(2022) In: Research Papers.
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2022How Abundant Are Reserves? Evidence from the Wholesale Payment System.(2022) In: Staff Reports.
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2022How Abundant Are Reserves? Evidence from the Wholesale Payment System.(2022) In: NBER Working Papers.
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2023Dealer capacity and US Treasury market functionality In: BIS Working Papers.
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2023Dealer Capacity and U.S. Treasury Market Functionality.(2023) In: Staff Reports.
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2005Measuring default risk premia from default swap rates and EDFs In: BIS Working Papers.
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2003Measuring Default Risk Premia from Default Swap Rates and EDFs.(2003) In: GSIA Working Papers.
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2008Innovations in credit risk transfer: implications for financial stability In: BIS Working Papers.
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2010The Squam Lake Report: Fixing the Financial System In: Journal of Applied Corporate Finance.
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2010The Squam Lake Report: Fixing the Financial System.(2010) In: Economics Books.
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2013Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group In: Journal of Applied Corporate Finance.
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1996 Special Repo Rates. In: Journal of Finance.
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1996 Swap Rates and Credit Quality. In: Journal of Finance.
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2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt In: Journal of Finance.
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2007Common Failings: How Corporate Defaults Are Correlated In: Journal of Finance.
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2006Common Failings: How Corporate Defaults are Correlated.(2006) In: NBER Working Papers.
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2009Frailty Correlated Default In: Journal of Finance.
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2008Frailty Correlated Default.(2008) In: Swiss Finance Institute Research Paper Series.
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2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital In: Journal of Finance.
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2017Benchmarks in Search Markets In: Journal of Finance.
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2014Benchmarks in Search Markets.(2014) In: Research Papers.
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2014Benchmarks in Search Markets.(2014) In: NBER Working Papers.
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2015Benchmarks in Search Markets.(2015) In: 2015 Meeting Papers.
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2019Funding Value Adjustments In: Journal of Finance.
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2018Funding Value Adjustments.(2018) In: Research Papers.
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2025Bank Funding Risk, Reference Rates, and Credit Supply In: Journal of Finance.
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2022Bank Funding Risk, Reference Rates, and Credit Supply.(2022) In: Research Papers.
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2022Bank Funding Risk, Reference Rates, and Credit Supply.(2022) In: Staff Reports.
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2023Bank Funding Risk, Reference Rates, and Credit Supply.(2023) In: NBER Working Papers.
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1992From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 In: Mathematical Finance.
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1993Optimal Investment With Undiversifiable Income Risk In: Mathematical Finance.
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1996A YIELD‐FACTOR MODEL OF INTEREST RATES In: Mathematical Finance.
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2005Multi-Period Corporate Default Prediction With Stochastic Covariates In: CARF F-Series.
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2007Multi-period corporate default prediction with stochastic covariates.(2007) In: Journal of Financial Economics.
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2006Multi-Period Corporate Default Prediction With Stochastic Covariates.(2006) In: NBER Working Papers.
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2005Multi-Period Corporate Default Prediction With Stochastic Covariates.(2005) In: CIRJE F-Series.
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2009Information Percolation with Equilibrium Search Dynamics In: Swiss Finance Institute Research Paper Series.
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2009Information Percolation With Equilibrium Search Dynamics.(2009) In: Econometrica.
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2009The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation In: Swiss Finance Institute Research Paper Series.
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2009The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation.(2009) In: Research Papers.
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2010The relative contributions of private information sharing and public information releases to information aggregation.(2010) In: Journal of Economic Theory.
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2010Information Percolation in Segmented Markets In: Swiss Finance Institute Research Paper Series.
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2014Information percolation in segmented markets.(2014) In: Journal of Economic Theory.
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2011Information Percolation in Segmented Markets.(2011) In: NBER Working Papers.
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2004The Exact Law of Large Numbers for Independent Random Matching In: Levine's Bibliography.
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2012The exact law of large numbers for independent random matching.(2012) In: Journal of Economic Theory.
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2011The Exact Law of Large Numbers for Independent Random Matching.(2011) In: NBER Working Papers.
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2006Valuation in Over-the-Counter Markets In: CEPR Discussion Papers.
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2006Valuation in Over-the-Counter Markets.(2006) In: NBER Working Papers.
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2007Valuation in Over-the-Counter Markets.(2007) In: The Review of Financial Studies.
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2007Report on “The Committee on Yen Risk-free-rate Model Estimation†In: Finance Working Papers.
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2014Central clearing and collateral demand In: Working Paper Series.
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2015Central clearing and collateral demand.(2015) In: Journal of Financial Economics.
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2014Central Clearing and Collateral Demand.(2014) In: Economics Working Papers.
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2014Central Clearing and Collateral Demand.(2014) In: NBER Working Papers.
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2010Policy Perspectives on OTC Derivatives Market Infrastructure In: Research Papers.
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2010Policy perspectives on OTC derivatives market infrastructure.(2010) In: Staff Reports.
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2018Robust Benchmark Design In: Research Papers.
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2021Robust benchmark design.(2021) In: Journal of Financial Economics.
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2014Robust Benchmark Design.(2014) In: NBER Working Papers.
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2014Resolution of Failing Central Counterparties In: Research Papers.
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2015Resolution of Failing Central Counterparties.(2015) In: Book Chapters.
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2016Size Discovery In: Research Papers.
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2017Size Discovery.(2017) In: The Review of Financial Studies.
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2015Dynamic Directed Random Matching In: Research Papers.
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2017Dynamic Directed Random Matching.(2017) In: Research Papers.
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2018Dynamic directed random matching.(2018) In: Journal of Economic Theory.
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2016Financial Regulatory Reform after the Crisis: An Assessment In: Research Papers.
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2018Financial Regulatory Reform After the Crisis: An Assessment.(2018) In: Management Science.
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2019Augmenting Markets with Mechanisms In: Research Papers.
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2017Augmenting Markets with Mechanisms.(2017) In: Research Papers.
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2017Augmenting Markets with Mechanisms.(2017) In: NBER Working Papers.
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2021Augmenting Markets with Mechanisms.(2021) In: The Review of Economic Studies.
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2018Compression Auctions With an Application to LIBOR-SOFR Swap Conversion In: Research Papers.
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2020Interoperable Payment Systems and the Role of Central Bank Digital Currencies In: Research Papers.
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2020Across-the-Curve Credit Spread Indices In: Research Papers.
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2021Reserves Were Not So Ample after All In: Research Papers.
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2021Reserves Were Not So Ample After All.(2021) In: Staff Reports.
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2025Reserves Were Not So Ample After All*.(2025) In: The Quarterly Journal of Economics.
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2017Corporate Credit Risk Premia In: Research Papers.
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1985Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities. In: Econometrica.
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2005IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES.(2005) In: World Scientific Book Chapters.
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1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions.(1999) In: NBER Working Papers.
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2012Capital Mobility and Asset Pricing In: Econometrica.
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2011Capital Mobility and Asset Pricing.(2011) In: NBER Working Papers.
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2004Multi-Period Corporate Failure Prediction With Stochastic Covariates In: Econometric Society 2004 Far Eastern Meetings.
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2004Valuation in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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2004Valuation in Dynamic Bargaining Markets.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2004Liquidity Premia in Dynamic Bargaining Markets In: Econometric Society 2004 North American Winter Meetings.
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1986Equilibrium in incomplete markets: II : Generic existence in stochastic economies In: Journal of Mathematical Economics.
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2023Jackson Hole 2023 - Structural Changes in Financial Markets and the Conduct of Monetary Policy In: Proceedings - Economic Policy Symposium - Jackson Hole.
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2021What Quantity of Reserves Is Sufficient? In: Liberty Street Economics.
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2023How the LIBOR Transition Affects the Supply of Revolving Credit In: Liberty Street Economics.
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2009Policy Issues Facing the Market for Credit Derivatives In: Book Chapters.
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2014Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs In: Economics Working Papers.
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2014Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs.(2014) In: The Journal of Legal Studies.
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