Darrell Duffie

Dean Witter Distinguished Professor of Finance

Senior Fellow (by courtesy)

Stanford Institute for Economic Policy Research

Professor of Economics (by courtesy), School of Humanities and Sciences 

Personal Homepage: http://www.stanford.edu/~duffie/index.html

Academic Areas: Finance

Darrell Duffie’s research interests include over-the-counter markets, banking, financial risk management, credit risk, valuation and hedging of derivative securities, term structure of interest rate modeling, financial innovation, 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. Duffie and several collaborators have some recent results on portfolio credit risk, based on the assumption that there are unobservable common default-risk factors.


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 Moodys 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 Univ., 1984; MEc, Univ. of New England, 1980; BScE, Univ. of New Brunswick, 1975.

Professional Experience

At Stanford since 1984. Engineer, Systems Control Technology Inc., 1981-83; Lecturer, Univ. of New Brunswick, 1978-79; Engineer, Bell Canada, 1975-77.

Selected Publications

  • Asset-Pricing Dynamics with Slow Moving Capital (Presidential Address): Journal of Finance, 2010
  • Over-The-Counter Markets (with Nicolae Garleanu and Lasse Pedersen): Econometrica, Vol. 73, 2005
  • Transform Analysis and Asset Pricing for Affine Jump-Diffusions (with Jun Pan and Ken Singleton): Econometrica, Vol. 68, 2000
  • A Liquidity-Based Model of Security Design (with Peter DeMarzo): Econometrica, Vol. 67, 1999
  • A Yield-Factor Model of Interest Rates with Rui Kan: Mathematical Finance, Vol. 6, 1996

Working Papers

  • 2046: Policy Perspectives on OTC Derivatives Market Infrastructure
  • 2023: The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
  • 1078: Stochastic Differential Utility and Asset Pricing
  • 1079: Stationary Markov Equilibria
  • 1080: The Theory of Value in Security Markets
  • 1083: Simulated Moments Estimation of Markov Models of Asset Prices
  • 1094: Infinite Horizon Stochastic Differential Utility
  • 1095: PDE Solutions of Stochastic Differential Utility
  • 1096: Continuous-Time Security Pricing: A Utility Gradient Approach
  • 1097: From Discrete to Continuous Time Finance: Weak Convergence of the Financial Gain Process
  • 1155: Asset Pricing with Stochastic Differential Utility
  • 1156: Spanning in Security Markets and The Modigliani-Miller TheoremTwo Essays for the The New Palgrave
  • 1158: Hedging in Incomplete Markets with HARA Utility
  • 760: Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
  • 761: Competitive Equilibria in General Choice Spaces
  • 762: Stochastic Equilibria: Existence, Spanning Number, and the "No Expected Gain from Trade" Hypothesis
  • 764: Predictable Representation of Martingale Spaces and Changes of Probability Measure
  • 810: An Introductory Theory of Security Markets
  • 811: Stochastic Equilibria with Incomplete Financial Markets
  • 812: Multiperiod Security Markets With Differential Information: Martingales and Resolution Times
  • 813: Price Operators: Extensions, Potentials, and the Markov Valuation of Securities
  • 814: Optimal Hedging and Equilibrium in a Dynamic Futures Market
  • 915: Equilibrium and the Role of the Firm in Incomplete Markets
  • 916: On the Term Structure of Interest Rates
  • 917: Optimal Innovation of Futures Contracts
  • 920: Money in General Equilibrium Theory
  • 921: Transactions Cost and Portfolio Choice in a Discrete-Continuous Time Setting
  • 922: The Consumption-Based Capital Asset Pricing Model
  • 974: Stochastic Production-Exchange Equilibria
  • 975: Intertemporal Arbitrage and the Markov Valuation of Securities
  • 976: Arrow and General Equlibrium Theory

Selected Cases

  • F269: Structured Credit Index Products and Default Correlation
  • F270: Risk at Freddie Mac
  • F268: Emergence of Default Swap Index Products

Awards and Honors

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

Courses Taught


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

In The Media

  • The IAFE and SunGard Announce Darrell Duffie as the 2003 Recipient of its Financial Engineer of the Year Award, International Association of Financial Engineers press release
  • An Innovative Way to Borrow Started at Enron, New York Times
  • Tax Threats to US Banks, International Financing Review, Issue 1398