J Duffie
Adams Distinguished Professor of Management, Senior Fellow at the Stanford Institute for Economic Policy Research and Professor, by courtesy, of Economics
Finance
Academic Appointments
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Professor, Finance
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Senior Fellow, Stanford Institute for Economic Policy Research (SIEPR)
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Professor (By courtesy), Economics
2024-25 Courses
- Debt Markets
FINANCE 320 (Win) - Dynamic Asset Pricing Theory
FINANCE 622 (Aut) - The Future of Money and Payments
BUSGEN 102 (Win) -
Independent Studies (4)
- Doctoral Practicum in Research
FINANCE 699 (Aut, Win, Spr, Sum) - Doctoral Practicum in Teaching
FINANCE 698 (Aut, Win, Spr, Sum) - Individual Research
GSBGEN 390 (Aut, Win, Spr) - PhD Directed Reading
ACCT 691, FINANCE 691, MGTECON 691, MKTG 691, OB 691, OIT 691, POLECON 691 (Aut, Win, Spr, Sum)
- Doctoral Practicum in Research
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Prior Year Courses
2023-24 Courses
- Debt Markets
FINANCE 320 (Win) - Dynamic Asset Pricing Theory
FINANCE 622 (Aut) - The Future of Money and Payments
BUSGEN 102 (Win)
2021-22 Courses
- China's Financial System
FINANCE 377 (Aut) - Debt Markets
FINANCE 320 (Win) - Dynamic Asset Pricing Theory
FINANCE 622 (Aut) - Undergraduate Finance Research and Discussion Seminar
FINANCE 121 (Win)
- Debt Markets
All Publications
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Corporate Credit Risk Premia
REVIEW OF FINANCE
2018; 22 (2): 419–54
View details for DOI 10.1093/rof/rfy002
View details for Web of Science ID 000428750300001
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Size Discovery
REVIEW OF FINANCIAL STUDIES
2017; 30 (4): 1095-1150
View details for DOI 10.1093/rfs/hhw112
View details for Web of Science ID 000400899000005
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Central clearing and collateral demand
JOURNAL OF FINANCIAL ECONOMICS
2015; 116 (2): 237-256
View details for DOI 10.1016/j.jfineco.2014.12.006
View details for Web of Science ID 000354831100002
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Reforming LIBOR and Other Financial Market Benchmarks
JOURNAL OF ECONOMIC PERSPECTIVES
2015; 29 (2): 191-212
View details for DOI 10.1257/jep.29.2.191
View details for Web of Science ID 000354218500009
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Information percolation in segmented markets
JOURNAL OF ECONOMIC THEORY
2014; 153: 1-32
View details for DOI 10.1016/j.jet.2014.05.006
View details for Web of Science ID 000342250900001
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Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs
JOURNAL OF LEGAL STUDIES
2014; 43: S173-S182
View details for DOI 10.1086/677836
View details for Web of Science ID 000345165300007
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Replumbing Our Financial System: Uneven Progress
INTERNATIONAL JOURNAL OF CENTRAL BANKING
2013; 9: 251-279
View details for Web of Science ID 000328543000013
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Capital Mobility and Asset Pricing
ECONOMETRICA
2012; 80 (6): 2469-2509
View details for DOI 10.3982/ECTA8822
View details for Web of Science ID 000311612700003
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The exact law of large numbers for independent random matching
1st PRIMA Congress
ACADEMIC PRESS INC ELSEVIER SCIENCE. 2012: 1105–39
View details for DOI 10.1016/j.jet.2012.01.003
View details for Web of Science ID 000303618800008
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Presidential Address: Asset Price Dynamics with Slow-Moving Capital
JOURNAL OF FINANCE
2010; 65 (4): 1237-1267
View details for Web of Science ID 000279737300001
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The relative contributions of private information sharing and public information releases to information aggregation
JOURNAL OF ECONOMIC THEORY
2010; 145 (4): 1574-1601
View details for DOI 10.1016/j.jet.2009.10.017
View details for Web of Science ID 000279412700012
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Information Percolation
AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
2010; 2 (1): 100-111
View details for DOI 10.1257/mic.2.1.100
View details for Web of Science ID 000285178900006
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The Failure Mechanics of Dealer Banks
JOURNAL OF ECONOMIC PERSPECTIVES
2010; 24 (1): 51-72
View details for DOI 10.1257/jep.24.1.51
View details for Web of Science ID 000275435100003
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Frailty Correlated Default
JOURNAL OF FINANCE
2009; 64 (5): 2089-2123
View details for Web of Science ID 000270236200004
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INFORMATION PERCOLATION WITH EQUILIBRIUM SEARCH DYNAMICS
ECONOMETRICA
2009; 77 (5): 1513-1574
View details for DOI 10.3982/ECTA8160
View details for Web of Science ID 000271236300006
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Valuation in over-the-counter markets
REVIEW OF FINANCIAL STUDIES
2007; 20 (6): 1865-1900
View details for DOI 10.1093/rfs/hhm037
View details for Web of Science ID 000250686100004
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Information percolation in large markets
119th Annual Meeting of the American-Economic-Association
AMER ECONOMIC ASSOC. 2007: 203–9
View details for Web of Science ID 000246986500033
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Systemic illiquidity in the federal funds market
119th Annual Meeting of the American-Economic-Association
AMER ECONOMIC ASSOC. 2007: 221–25
View details for Web of Science ID 000246986500036
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Multi-period corporate default prediction with stochastic covariates
JOURNAL OF FINANCIAL ECONOMICS
2007; 83 (3): 635-665
View details for DOI 10.1016/j.jfineco.2005.10.011
View details for Web of Science ID 000245389100004
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Common failings: How corporate defaults are correlated
JOURNAL OF FINANCE
2007; 62 (1): 93-117
View details for Web of Science ID 000243413100003
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Existence of independent random matching
ANNALS OF APPLIED PROBABILITY
2007; 17 (1): 386-419
View details for Web of Science ID 000244850700014
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Credit risk modeling with affine processes
JOURNAL OF BANKING & FINANCE
2005; 29 (11): 2751-2802
View details for DOI 10.1016/j.jbankfin.2005.02.006
View details for Web of Science ID 000232387700004
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Over-the-counter markets
ECONOMETRICA
2005; 73 (6): 1815-1847
View details for Web of Science ID 000232962800003
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Estimation of continuous-time Markov processes sampled at random time intervals
ECONOMETRICA
2004; 72 (6): 1773-1808
View details for Web of Science ID 000224697000005
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Large portfolio losses
FINANCE AND STOCHASTICS
2004; 8 (1): 3-16
View details for DOI 10.1007/s00780-003-0107-2
View details for Web of Science ID 000188813100001
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Affine processes and applications in finance
ANNALS OF APPLIED PROBABILITY
2003; 13 (3): 984-1053
View details for Web of Science ID 000184761700006
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Liquidation risk
FINANCIAL ANALYSTS JOURNAL
2003; 59 (3): 42-51
View details for Web of Science ID 000183452000007
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Modeling sovereign yield spreads: A case study of Russian debt
JOURNAL OF FINANCE
2003; 58 (1): 119-159
View details for Web of Science ID 000180794200004
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Securities lending, shorting, and pricing
JOURNAL OF FINANCIAL ECONOMICS
2002; 66 (2-3): 307-339
View details for Web of Science ID 000179256500005
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Universal state prices and asymmetric information
JOURNAL OF MATHEMATICAL ECONOMICS
2002; 38 (1-2): 191-196
View details for Web of Science ID 000179549500007
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Term structures of credit spreads with incomplete accounting information
ECONOMETRICA
2001; 69 (3): 633-664
View details for Web of Science ID 000168438500004
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Floating-fixed credit spreads
FINANCIAL ANALYSTS JOURNAL
2001; 57 (3): 76-87
View details for Web of Science ID 000169675900008
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Risk and valuation of collateralized debt obligations
FINANCIAL ANALYSTS JOURNAL
2001; 57 (1): 41-59
View details for Web of Science ID 000169255400004
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Transform analysis and asset pricing for affine jump-diffusions
ECONOMETRICA
2000; 68 (6): 1343-1376
View details for Web of Science ID 000090089400002
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A liquidity-based model of security design
ECONOMETRICA
1999; 67 (1): 65-99
View details for Web of Science ID 000077931400004
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Modeling term structures of defaultable bonds
REVIEW OF FINANCIAL STUDIES
1999; 12 (4): 687-720
View details for Web of Science ID 000082278600002
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Black, Merton and Scholes - Their central contributions to economics
SCANDINAVIAN JOURNAL OF ECONOMICS
1998; 100 (2): 411-423
View details for Web of Science ID 000075251600001
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An econometric model of the term structure of interest-rate swap yields
JOURNAL OF FINANCE
1997; 52 (4): 1287-1321
View details for Web of Science ID A1997XV46400001
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Hedging in incomplete markers with HARA utility
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
1997; 21 (4-5): 753-782
View details for Web of Science ID A1997XB74200005
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A term structure model with preferences for the timing of resolution of uncertainty
ECONOMIC THEORY
1997; 9 (1): 3-22
View details for Web of Science ID A1997WE78800002
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Swap rates and credit quality
56th Annual Meeting of the American-Finance-Association
WILEY-BLACKWELL PUBLISHING, INC. 1996: 921–49
View details for Web of Science ID A1996UU14500006
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Special repo rates
JOURNAL OF FINANCE
1996; 51 (2): 493-526
View details for Web of Science ID A1996UP28600004
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Asset pricing with heterogeneous consumers
JOURNAL OF POLITICAL ECONOMY
1996; 104 (2): 219-240
View details for Web of Science ID A1996UB74100001
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Incomplete security markets with infinitely many states: An introduction
JOURNAL OF MATHEMATICAL ECONOMICS
1996; 26 (1): 1-8
View details for Web of Science ID A1996UT48200001
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State-space models of the term structure of interest rates
Oslo-Silivri Workshop on Stochastic Analysis
BIRKHAUSER BOSTON. 1996: 41–67
View details for Web of Science ID A1996BG35U00002
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EFFICIENT MONTE CARLO SIMULATION OF SECURITY PRICES
ANNALS OF APPLIED PROBABILITY
1995; 5 (4): 897-905
View details for Web of Science ID 000208294100002
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CORPORATE INCENTIVES FOR HEDGING AND HEDGE ACCOUNTING
REVIEW OF FINANCIAL STUDIES
1995; 8 (3): 743-771
View details for Web of Science ID A1995RT73300006
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BLACK'S CONSOL RATE CONJECTURE
ANNALS OF APPLIED PROBABILITY
1995; 5 (2): 356-382
View details for Web of Science ID 000208293900002
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FINANCIAL MARKET INNOVATION AND SECURITY DESIGN - AN INTRODUCTION
JOURNAL OF ECONOMIC THEORY
1995; 65 (1): 1-42
View details for Web of Science ID A1995QN65900001
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STATIONARY MARKOV EQUILIBRIA
ECONOMETRICA
1994; 62 (4): 745-781
View details for Web of Science ID A1994NU62200001
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MULTIFACTOR TERM STRUCTURE MODELS
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
1994; 347 (1684): 577-586
View details for Web of Science ID A1994NT81300014
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EFFICIENT AND EQUILIBRIUM ALLOCATIONS WITH STOCHASTIC DIFFERENTIAL UTILITY
JOURNAL OF MATHEMATICAL ECONOMICS
1994; 23 (2): 133-146
View details for Web of Science ID A1994NJ11900002
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CONTINUOUS-TIME SECURITY PRICING - A UTILITY GRADIENT APPROACH
JOURNAL OF MATHEMATICAL ECONOMICS
1994; 23 (2): 107-131
View details for Web of Science ID A1994NJ11900001
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MARTINGALES, ARBITRAGE, AND PORTFOLIO CHOICE
1st European Congress of Mathematics
BIRKHAUSER VERLAG AG. 1994: 3–21
View details for Web of Science ID A1994BD08U00001
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ASSET PRICING IN INCOMPLETE MARKETS
5th Hitotsubashi International Symposium on Resource Allocation and Capital Accumulation in Market Economies: Problems Relating to Information, Uncertainty, Incompleteness of the Financial Markets, and Dynamic Market Equiblibrium HITOTSUBASHI UNIV, DEPT ECON
HITOTSUBASHI ACAD. 1993: 139–148
View details for Web of Science ID A1993NB89300007
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SIMULATED MOMENTS ESTIMATION OF MARKOV-MODELS OF ASSET PRICES
ECONOMETRICA
1993; 61 (4): 929-952
View details for Web of Science ID A1993LP33800007
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PRICING CONTINUOUSLY RESETTLED CONTINGENT CLAIMS
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
1992; 16 (3-4): 561-573
View details for Web of Science ID A1992JG92800008
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STOCHASTIC DIFFERENTIAL UTILITY
ECONOMETRICA
1992; 60 (2): 353-394
View details for Web of Science ID A1992HK52800005
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ASSET PRICING WITH STOCHASTIC DIFFERENTIAL UTILITY
REVIEW OF FINANCIAL STUDIES
1992; 5 (3): 411-436
View details for Web of Science ID A1992JJ53800003
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PDE SOLUTIONS OF STOCHASTIC DIFFERENTIAL UTILITY
JOURNAL OF MATHEMATICAL ECONOMICS
1992; 21 (6): 577-606
View details for Web of Science ID A1992KD57200005
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CORPORATE FINANCIAL HEDGING WITH PROPRIETARY INFORMATION
JOURNAL OF ECONOMIC THEORY
1991; 53 (2): 261-286
View details for Web of Science ID A1991FE80100003
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OPTIMAL HEDGING AND EQUILIBRIUM IN A DYNAMIC FUTURES MARKET
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
1990; 14 (1): 21-33
View details for Web of Science ID A1990CZ72400002
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TRANSACTIONS COSTS AND PORTFOLIO CHOICE IN A DISCRETE-CONTINUOUS-TIME SETTING
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
1990; 14 (1): 35-51
View details for Web of Science ID A1990CZ72400003
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THE CONSUMPTION-BASED CAPITAL-ASSET PRICING MODEL
ECONOMETRICA
1989; 57 (6): 1279-1297
View details for Web of Science ID A1989CJ22100002
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Optimal Innovation of Futures Contracts
REVIEW OF FINANCIAL STUDIES
1989; 2 (3): 275-296
View details for DOI 10.1093/rfs/2.3.275
View details for Web of Science ID 000208799100001
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STOCHASTIC EQUILIBRIA - EXISTENCE, SPANNING NUMBER, AND THE NO EXPECTED FINANCIAL GAIN FROM TRADE HYPOTHESIS
ECONOMETRICA
1986; 54 (5): 1161-1183
View details for Web of Science ID A1986E417900007
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COMPETITIVE EQUILIBRIA IN GENERAL CHOICE SPACES
JOURNAL OF MATHEMATICAL ECONOMICS
1986; 15 (1): 1-23
View details for Web of Science ID A1986C672800001
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EQUILIBRIUM IN INCOMPLETE MARKETS .2. GENERIC EXISTENCE IN STOCHASTIC ECONOMIES
JOURNAL OF MATHEMATICAL ECONOMICS
1986; 15 (3): 199-216
View details for Web of Science ID A1986G317600002
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MULTIPERIOD SECURITY MARKETS WITH DIFFERENTIAL INFORMATION - MARTINGALES AND RESOLUTION TIMES
JOURNAL OF MATHEMATICAL ECONOMICS
1986; 15 (3): 283-303
View details for Web of Science ID A1986G317600009
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IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES
ECONOMETRICA
1985; 53 (6): 1337-1356
View details for Web of Science ID A1985AUF6800005
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EQUILIBRIUM IN INCOMPLETE MARKETS .1. A BASIC MODEL OF GENERIC EXISTENCE
JOURNAL OF MATHEMATICAL ECONOMICS
1985; 14 (3): 285-300
View details for Web of Science ID A1985C340500004