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Full Prof. Collin-Dufresne Chair

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Related publications (30)

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Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin-Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

On Bounding Credit-Event Risk Premia

Pierre Collin-Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...

Oxford University Press2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin-Dufresne

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012