Publications

Specification Analysis of Affine Term Structure Models

Qiang Dai, Kenneth J. Singleton

Journal of Finance 2000 Vol. 55 Issue 5 Pages 1943-1978.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton

Econometrica 2000 Vol. 68 Issue 6 Pages 1343–1376.

Credit Swap Valuation

Darrell Duffie

Financial Analysts Journal January1999 Vol. 55 Issue 1 Pages 73-87.

Information Revelation Through Option Exercise

Steven Grenadier

Review of Financial Studies 1999 Vol. 12 Issue 1 Pages 95-129.

A Liquidity-Based Model of Security Design

Peter M. DeMarzo, Darrell Duffie

Econometrica 1999 Vol. 67 Issue 1 Pages 65–99.

Modeling Term Structures of Defaultable Bond Yields

Darrell Duffie, Kenneth J. Singleton

Review of Financial Studies 1999 Vol. 12 Issue 4 Pages 687-720.

On the Uniqueness of Fully Informative Rational Expectations Equilibria

Peter M. DeMarzo

Economic Theory 1999 Vol. 13 Pages 1-24.

Optimal Incentive Contracts When Agents Can Save, Borrow, and Default

Peter M. DeMarzo

Journal of Financial Intermediation 1999 Vol. 8 Pages 241-269.

Optimal Investment, Growth Options and Security Returns

Jonathan B. Berk, Richard C. Green, Vasant Naik

The Journal of Finance 1999 Vol. 54 Pages 1153-1607.

A Simple Approach for Deciding when to Invest

Jonathan B. Berk

American Economic Review 1999 Vol. 89 Pages 1319-1326.

Morningstar’s Risk-Adjusted Ratings

William F. Sharpe

Financial Analysts Journal July1998 Vol. 54 Issue 4 Pages 21-33.

Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information

Peter M. DeMarzo

Journal of Economic Theory 1998 Vol. 80 Pages 123-152.

Design and Use of the Microsoft Excel Solver

Daniel Fylstra, Leon Lasdon, John G. Watson, Allan Waren

Interfaces 1998 Vol. 28 Issue 5 Pages 29-55.

On the Importance of the Precautionary Saving Motive

Annamaria Lusardi

American Economic Review 1998 Vol. 88 Issue 2 Pages 449–453.

The Optimal Enforcement of Insider Trading Regulations

Peter M. DeMarzo

Journal of Political Economy 1998 Vol. 1998 Pages 602-632.

Hedging in Incomplete Markets with HARA Utility

Darrell Duffie, Wendell Fleming, H. Mete Soner, Thaleia Zariphopoulou

Journal of Economic Dynamics and Control May1997 Vol. 21 Issue 4-5 Pages 753-782.

An Econometric Model of the Term Structure of Interest Rate Swap Yields

Darrell Duffie, Kenneth J. Singleton

Journal of Finance April1997 Vol. 52 Issue 4 Pages 1287-1321.

A Term Structure Model with Preferences for the Timing of the Resolution of Uncertainty

Darrell Duffie, Mark Schroder

Economic Theory January1997 Vol. 9 Issue 1 Pages 3-22.

Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers

Anat R. Admati, Paul Pfleiderer

The Journal of Business 1997 Vol. 70 Issue 3 Pages 323-350.

Does Size Really Matter?

Jonathan B. Berk

Financial Analysts Journal 1997 Vol. 53 Pages 12-18.