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Darrell Duffie

Darrell   Duffie
Professor, Finance
Contact Info
The Dean Witter Distinguished Professorship of Finance
Senior Fellow, Stanford Institute for Economic Policy Research
Professor of Economics (by courtesy), School of Humanities and Sciences
Academic Area: 

Research Statement

Darrell Duffie’s research interests include over-the-counter markets, banking, financial risk management, credit risk, valuation and hedging of derivative securities, financial market infrastructure, the term structure of interest rates, financial innovation, security design (including legal treatments at failure resolution), and market design. Recently, Duffie has focused on how capital moves from one segment of asset markets to another, and the implications of imperfect trading opportunities for asset price behavior, especially in over-the-counter markets.


Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University’s Graduate School of Business. He is a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moody’s Corporation since 2008. Duffie was the 2009 president of the American Finance Association. He currently chairs the Market Participants Group, charged by the Financial Stability Board with recommending reforms to Libor, Euribor, and other interest rate benchmarks. Duffie’s recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012).

Academic Degrees

  • PhD, Stanford University, 1984
  • MEc, University of New England, 1980
  • BScE, University of New Brunswick, 1975

Academic Appointments

  • At Stanford since 1984
  • Lecturer, University of New Brunswick, 1978-1979

Professional Experience

  • Chair, Market Participants Group on Reference Rate Reform, 2013-14
  • Member of the Board of Directors of Moody's Corporation, 2008-date

Awards and Honors

  • Shanahan Family Faculty Fellow, Stanford Graduate School of Business, 2014-2015
  • Elected Fellow, American Academic of Arts and Sciences, 2007
  • Clarendon Lecturer in Finance, Oxford University, 2004
  • Financial Engineer of the Year, International Association of Financial Engineering, 2003
  • Distinguished Teacher Award, Doctoral Program, Graduate School of Business, Stanford University, 2003
  • NYSE Prize for equity research, Western Finance Association, 2002


Journal Articles

Darrell Duffie. Journal of Finance. 2010, Vol. 65, Issue 4, Pages 1237-1267.
Darrell Duffie, Nicolae Gârleanu, Lasse Heje Pedersen. Econometrica. 2005, Vol. 73, Issue 6, Pages 1815–1847.
Darrell Duffie, Lasse Heje Pedersen, Kenneth J. Singleton. Journal of Finance. 2003, Vol. 58, Issue 1, Pages 119-159.
Darrell Duffie, Jun Pan, Kenneth J. Singleton. Econometrica. 2000, Vol. 68, Issue 6 , Pages 1343 - 1376.
Peter M. DeMarzo, Darrell Duffie. Econometrica. 1999, Vol. 67, Issue 1, Pages 65–99.
Darrell Duffie, Kenneth J. Singleton. Review of Financial Studies. 1999, Vol. 12, Issue 4, Pages 687-720.
Darrell Duffie, Kenneth J. Singleton. Journal of Finance. 1997, Vol. 52, Issue 4, Pages 1287-1321.
Darrell Duffie, Rui Kan. Mathematical Finance. 1996, Vol. 6, Issue 4, Pages 379-406.
Darrell Duffie, Kenneth J. Singleton. Econometrica. 1993, Vol. 61, Issue 4, Pages 929-952.


Darrell Duffie Princeton: Princeton University Press, 2012.
Darrell Duffie Princeton and Oxford: Oxford University Press, 2011.
Darrell Duffie Princeton: Princeton University Press, 2010.
Darrell Duffie, Kenneth R. French, Martin N. Bailey, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein, Rene M. Stulz Princeton: Princeton University Press, 2010.
Darrell Duffie, Kenneth J. Singleton Princeton: Princeton University Press, 2003.
Darrell Duffie Princeton: Princeton University Press, 2001.
Darrell Duffie Englewood Cliffs: Prentice-Hall, 1989.
Darrell Duffie Boston: Academic Press, 1988.

Working Papers

Dynamic Directed Random Matching | PDF
Darrell Duffie, Lei Qiao, Yeneng Sun, November 2015
Size Discovery | PDF
Darrell Duffie, Haoxiang Zhu, October 272015
Benchmarks in Search Markets | PDF
Darrell Duffie, Piotr Dworczak, Haoxiang Zhu, July 272015
Resolution of Failing Central Counterparties | PDF
Darrell Duffie, December 172014
Reforming LIBOR and Other Financial-Market Benchmarks | PDF
Darrell Duffie, Jeremy Stein, September 192014
Central Clearing and Collateral Demand | PDF
Darrell Duffie, Martin Scheicher, Guillaume Vuillemey, January 312014
Robust Benchmark Design | PDF
Darrell Duffie, Piotr Dworczak2014
Replumbing Our Financial System: Uneven Progress | PDF
Darrell Duffie, January 2013
Market Making Under the Proposed Volcker Rule
Darrell Duffie, January 162012
Does a Central Clearing Counterparty Reduce Counterparty Risk? | PDF
Darrell Duffie, Haoxiang Zhu, March 62010
Policy Perspectives on OTC Derivatives Market Infrastructure | PDF
Darrell Duffie, Ada Li, Theo Lubke2010
Stationary Markov Equilibria
Darrell Duffie, John Geanakoplos, A. Mas-Colell, A. McLennan1989

Courses Taught

Degree Courses


This course is intended for those who plan careers that may involve debt financing for their businesses or other investments, or involve trading or investing in debt instruments and their derivatives, including money-market instruments including...

This course is a survey of China's financial system, including its banking industry, monetary policy structure, and financial markets (bonds, derivatives, equities, foreign exchange, and related markets). The goal is an integrated view of how...

This course is an introduction to multiperiod models in finance, mainly pertaining to optimal portfolio choice and asset pricing. The course begins with discrete-time models for portfolio choice and security prices, and then moves to a continuous...

Stanford Case Studies

Emergence of Default Swap Index Products | F268
J.Duffie, Erin Yurday2004
Risk at Freddie Mac | F270
J. Duffie, Erin Yurday2004

Conferences, Talks, and Speaking Engagements

Service to the Profession

  • Fellow and Member of Council, Econometric Society, 1997-present
  • Research Associate, National Bureau of Economic Research, 1997-present

In the Media

The Region, Federal Reserve Bank of Minneapolis, June 2012

Insights by Stanford Business

July 10, 2015
The country could be creating false confidence that hurts the market later.
May 11, 2015
A professor of finance explores the burgeoning economy and its opportunities for further growth.
April 27, 2015
A finance professor says doing business on a global scale requires understanding what makes China tick.
January 26, 2015
Stanford's Darrell Duffie squares off against the new prohibitionists.
September 10, 2014
A finance professor explains what it will take to fix the problem.
May 13, 2013
A Stanford theoretician of financial risk looks at how to fix the "pipes and valves" of modern finance.
March 19, 2013
Two scholars explain what could happen next in Nicosia — and the rest of Europe.
May 18, 2012
A Stanford research team proposes changes to control investor exposure to sovereign default risk.
February 10, 2012
Europe's banks also need to shore up their capital, not just borrow liquidity, say three experts on international finance.
January 17, 2012
A scholar proposes alternative capital requirements for banks to eliminate potential unintended consequences of financial reform.
June 1, 2011
Boston Fed CEO Eric Rosengren says money market mutual funds are vulnerable to the European debt crisis.
January 1, 2011
Economics experts from Stanford GSB and beyond explain why there are no easy solutions to the estimated $14 trillion debt.
July 1, 2010
A finance professor says putting the financial system in order depends on understanding of how big banks can go from weakness to sudden failure.
April 1, 2010
Two Stanford finance experts distinguished between ethical and legal issues in an analysis of the Securities and Exchange Commission's lawsuit against Goldman Sachs.
April 1, 2009
A finance professor explores a regulation of credit default swaps.
November 1, 2001
A finance scholar explores short selling's impact on markets, including when it's thwarted.
November 1, 2001
Research suggests that companies are issuing these newly popular securities with more than raising capital in mind.
November 1, 2001
A seminar provides an inside look at hedge fund managers' strategic challenges, and why the offset risk can be attractive to investors.

School News

October 1, 2009
The finance professor was honored with the annual award during fall 2009 Stanford GSB alumni weekend activities.
June 2, 2003
A "command performer," "master of asset pricing," and a professor who creates a safe environment for learning are recognized by Stanford GSB students.