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Credit risk modeling with affine processes

Duffie, Darrell - In: Journal of banking & finance 29 (2005) 11, pp. 2751-2802

Persistent link: https://www.econbiz.de/10003121049

Modeling term structures of defaultable bonds

Duffie, Darrell; Singleton, Kenneth J. - In: The review of financial studies 12 (1999) 4, pp. 687-720

Persistent link: https://www.econbiz.de/10001421853

An econometric model of the term structure of interest rate swap yields

Duffie, Darrell; Singleton, Kenneth J. - 1995

Persistent link: https://www.econbiz.de/10000904139

Term structures of credit spreads with incomplete accounting information D. Duffie and D. Lando

Duffie, Darrell; Lando, David - 1999

Persistent link: https://www.econbiz.de/10001369621

A term structure model with preferences for the timing of resolution of uncertainty

Duffie, Darrell - In: Economic theory : official journal of the Society for … 9 (1997) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10001335757

A yield-factor model of interest rates

Duffie, Darrell - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 379-406

Persistent link: https://www.econbiz.de/10001208931

Term structures of credit spreads with incomplete accounting information

Duffie, Darrell; Lando, David - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 3, pp. 633-664

Persistent link: https://www.econbiz.de/10001580789

An econometric model of the term structure of interest-rate swap yields

Duffie, Darrell - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1321

Persistent link: https://www.econbiz.de/10001227656

Affine processes and applications in finance

Duffie, Darrell; Filipović, Damir; Schachermayer, Walter - 2002

Persistent link: https://www.econbiz.de/10001704101

Chapter 11 Intertemporal asset pricing theory

Duffie, Darrell - 2003

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...

Persistent link: https://www.econbiz.de/10014023860