Pierre Collin-Dufresne
EPFL CDM SFI SFI-PCD
EXTRA 209 (Extranef UNIL)
Quartier UNIL-Dorigny
1015 Lausanne
+41 21 693 01 36
Office: EXTRA 209
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Prix et distinctions
European Finance Association
2024
2016
2016
2014
International French Finance Association (AFFI)
2013
China International Conference in Finance
2013
2024
Journal Articles
How Integrated are Credit and Equity Markets? Evidence from Index Options
Journal Of Finance. 2024. DOI : 10.1111/jofi.13300.Theses
Essays in Government Bond Pricing and Inflation
Lausanne, EPFL, 2024. DOI : 10.5075/epfl-thesis-10172.2023
Journal Articles
Liquidity, Volume, and Order Imbalance Volatility
Journal Of Finance. 2023. DOI : 10.1111/jofi.13248.Theses
Essays in macro-finance and deep learning
Lausanne, EPFL, 2023. DOI : 10.5075/epfl-thesis-9409.Demand-based Asset Pricing: Theory, Estimation and Applications
Lausanne, EPFL, 2023. DOI : 10.5075/epfl-thesis-10116.2022
Journal Articles
Insider trading with penalties
Journal Of Economic Theory. 2022. DOI : 10.1016/j.jet.2022.105461.Theses
Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.2021
Journal Articles
Informed Trading in the Stock Market and Option Price Discovery
Journal of Financial and Quantitative Analysis. 2021. DOI : 10.1017/S0022109020000629.Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch
Journal of Financial Economics. 2021. DOI : 10.1016/j.jfineco.2020.08.009.2020
Journal Articles
Market Structure and Transaction Costs of Index CDSs
Journal Of Finance. 2020. DOI : 10.1111/jofi.12953.Liquidity regimes and optimal dynamic asset allocation
Journal Of Financial Economics. 2020. DOI : 10.1016/j.jfineco.2019.09.011.Theses
Trading mechanisms in over-the-counter markets
Lausanne, EPFL, 2020. DOI : 10.5075/epfl-thesis-7878.2019
Journal Articles
The CDS-bond basis
Financial Management. 2019. DOI : 10.1111/fima.12252.Theses
Three Problems of Liquidity under Asymmetric Information
Lausanne, EPFL, 2019. DOI : 10.5075/epfl-thesis-9650.2018
Journal Articles
Activism, Strategic Trading, and Liquidity
Econometrica. 2018. DOI : 10.3982/ECTA14917.Working Papers
A General Equilibrium Model of Oil Prices and Convenience yields
20182017
Journal Articles
Asset Pricing When 'This Time Is Different'
Review Of Financial Studies. 2017. DOI : 10.1093/rfs/hhw084.Theses
Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns
Lausanne, EPFL, 2017. DOI : 10.5075/epfl-thesis-7785.2016
Journal Articles
Parameter Learning in General Equilibrium: The Asset Pricing Implications
American Economic Review. 2016. DOI : 10.1257/aer.20130392.Insider Trading, Stochastic Liquidity, And Equilibrium Prices
Econometrica. 2016. DOI : 10.3982/Ecta10789.Theses
Essays in Financial Economics
Lausanne, EPFL, 2016. DOI : 10.5075/epfl-thesis-7329.2015
Journal Articles
Do Prices Reveal the Presence of Informed Trading?
Journal Of Finance. 2015. DOI : 10.1111/jofi.12260.Dividend Dynamics and the Term Structure of Dividend Strips
Journal Of Finance. 2015. DOI : 10.1111/jofi.12242.Modeling Credit Contagion via the Updating of Fragile Beliefs
Review Of Financial Studies. 2015. DOI : 10.1093/rfs/hhv018.On Bounding Credit-Event Risk Premia
Review Of Financial Studies. 2015. DOI : 10.1093/rfs/hhv022.2014
Journal Articles
Event risk, contingent claims and the temporal resolution of uncertainty
Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.2013
Working Papers
Moral Hazard, Informed Trading and Equilibrium Prices
20132012
Journal Articles
On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations
Journal Of Finance. 2012. DOI : 10.1111/j.1540-6261.2012.01779.x.Working Papers
Parameter Learning in General Equilibrium: The Asset Pricing Implications
2012Insider Trading, Stochastic Liquidity and Equilibrium Prices
2012On Bounding Credit Event Risk Premia
2012Do Prices Reveal the Presence of Informed Trading ?
2012Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
20122011
Journal Articles
Explaining asset pricing puzzles associated with the 1987 market crash
Journal of Financial Economics. 2011. DOI : 10.1016/j.jfineco.2011.01.008.Working Papers
Modeling Credit Contagion Via the Updating of Fragile Beliefs
20112010
Working Papers
Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs
20102009
Journal Articles
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
Review of Financial Studies. 2009. DOI : 10.1093/rfs/hhn078.Can interest rate volatility be extracted from the cross section of bond yields?☆
Journal of Financial Economics. 2009. DOI : 10.1016/j.jfineco.2008.06.007.2008
Journal Articles
A Short Introduction to Correlation Markets
Journal of Financial Econometrics. 2008. DOI : 10.1093/jjfinec/nbn019.Identification of Maximal Affine Term Structure Models
The Journal of Finance. 2008. DOI : 10.1111/j.1540-6261.2008.01331.x.2007
Journal Articles
Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007.Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated
The Journal of Finance. 2007. DOI : 10.1111/j.1540-6261.2007.01271.x.2005
Journal Articles
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
The Journal of Finance. 2005. DOI : 10.1111/j.1540-6261.2005.00799.x.Unspanned stochastic volatility and fixed income derivatives pricing
Journal of Banking & Finance. 2005. DOI : 10.1016/j.jbankfin.2005.02.007.2004
Journal Articles
A General Formula for Valuing Defaultable Securities
Econometrica. 2004. DOI : 10.1111/j.1468-0262.2004.00538.x.2003
Working Papers
Generalizing the Affine Framework to HJM and Random Field Models
20032002
Journal Articles
Pricing Swaptions within the Affine Framework
The Journal of Derivatives. 2002. DOI : 10.3905/jod.2002.319187.Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
The Journal of Finance. 2002. DOI : 10.1111/1540-6261.00475.2001
Journal Articles
The Determinants of Credit Spread Changes
The Journal of Finance. 2001. DOI : 10.1111/0022-1082.00402.On the Term Structure of Default Premia in the Swap and LIBOR Markets
The Journal of Finance. 2001. DOI : 10.1111/0022-1082.00357.Do Credit Spreads Reflect Stationary Leverage Ratios?
The Journal of Finance. 2001. DOI : 10.1111/0022-1082.00395.Working Papers
Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty
20011999
Journal Articles
A closed form formula for valuing mortgages
The Journal of Real Estate Finance and Economics. 1999. DOI : 10.1023/A:1007879422329.1997
Journal Articles
Applying the HJM-approach when volatility is stochastic
Proceedings of the AFFI. 1997.Book Chapters
Martingale Pricing
Equity Derivatives Applications in Risk Management and Investment; Risk Publications, 1997. p. 223 - 233.Enseignement et PhD
Current Phd
Luca Pagliuca, Federico Baldi Lanfranchi, Darius Nik Nejad
Past Phd As Director
Christopher Trevisan, Vincent Bogousslavsky, Sylvain Jean Pascal Carré, Sebastian Vogel, Alexis Marchal, Goutham Gopalakrishna, Philippe van der Beck, Oliver Wilhelm Krek
Past Phd As Codirector
Courses
Foundations in financial economics
MGT-301
Ce cours a pour but d'exposer les etudiants de bachelor à certaines des principales problématiques de la finance moderne. Le cours s'articulera autour de six grand thèmes que nous explorerons tant du point vue pratique que du point de vue de la modélisation.
Information and Asset Pricing
FIN-608
We study the role of information in equilibrium asset pricing models. We cover simple one-period models of incomplete and asymmetric information using competitive rational expectation equilibria and Bayesian-Nash equilibria. We extend the analysis to dynamic models with heterogeneous beliefs.
Investments
FIN-405
Le cours couvre un large éventail de sujets dans le domaine de l'analyse des investissements