Pierre Collin-Dufresne

Professor of Finance

Pierre Collin-Dufresne is a Full Professor of Finance at the Swiss Finance Institute @ EPFL. He is also the Director of the Doctoral Program in Finance.

From 2008 to 2013, Pierre was Professor at Columbia University where he held the Carson Family Professor Chair in Business. Prior to joining Columbia University, he worked three years as a senior portfolio manager responsible for fixed income and credit strategies in the Quantitative Strategies Group of Goldman Sachs Asset Management. Pierre joined GSAM in July 2005 from the Haas School of Business of U.C. Berkeley where he had been an Associate Professor of Finance since 2004. After obtaining his Ph.D. in 1998 from the HEC School of Management, Paris, France, he started as an Assistant Professor of Finance at the Graduate School of Industrial Administration of Carnegie Mellon University, where he became a tenured Associate Professor in 2003.

Pierre’s teaching and research interests include Asset and Contingent Claim Pricing, Fixed Income Securities, Default Risk, Emerging Markets, International Finance, and Real Estate Economics. His research has been published in refereed journals such as Econometrica, Journal of Finance, and Journal of Derivatives. He is a Research Associate of the National Bureau of Economic Research (NBER) and a consultant to the Federal Reserve Bank of New-York. He has served on the Advisory Research Board of Moody’s and of INQUIRE Europe. He is a co-editor of Finance and Stochastics and has been an associate editor for The Journal of Finance, The Journal of Quantitative Financial Analysis, Management Science, Mathematics and Financial Economics, The International Journal of Financial Banking, and The Review of Financial Studies.

Curriculum Vitae


Journal Articles

Market Structure and Transaction Costs of Index CDSs. P. Collin-Dufresne, B. Junge, A. Trolle. Journal of Finance, forthcoming.

Liquidity Regimes and Optimal Dynamic Asset Allocation. P. Collin-Dufresne, K. D. Daniel, M. Saǧlam. Journal of Financial Economics, forthcoming.

Activism, Strategic Trading, and Liquidity. K. Back, P. Collin-Dufresne, V. Fos, T. Li, A. Ljungqvist. Econometrica, 2018.

Asset pricing when “this time is different\

“Long-Horizon Investment, Mean Reversion, and Structural Breaks: A General Equilibrium Perspective”, 2016, Pierre Collin-Dufresne and Lars Lochstoer

“Insider trading, stochastic liquidity and equilibrium prices,’’Pierre Collin-Dufresne and Vyachelsav Fos

  • TCW Best Paper Award, 2013 CICF
  • Best Paper Award, 2013 Affi Spring International Conference

“Shareholder Activism, Informed Trading, and Stock Prices”, Pierre Collin-Dufresne and Vyachelsav Fos

“Informed Trading and Option Prices: Evidence from Activist Trading”, Pierre Collin-Dufresne, Vyachelsav Fos and Dmitry Muravyev

“Strategic Asset Allocation in the Presence of Transaction Costs,’’ 2012, Pierre Collin-Dufresne, Kent Daniel, Ciamac Moallemi, and Mehmet Saglam.

“Determinants of the Cash-CDS basis during the credit crisis,” 2011, Jennie Bai and Pierre Collin-Dufresne.

“A General Equilibrium Model of Oil prices and Convenience Yields,” 2004, Jaime Casassus, Pierre Collin-Dufresne, and Bryan Routldege.

“Is Credit-Event Risk Priced? Modeling Contagion Risk Via the Updating of Beliefs,” 2003, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege.

“Generalizing the Affine Framework to HJM and Random Fields,” 2002, Pierre Collin-Dufresne and Robert S. Goldstein.


Market Structure and Transaction Costs of Index Credit Default Swaps by Pierre Collin-Dufresne, Benjamin Junge and Anders Trolle


The importance of Foreign shocks on Money Market Rates: Event Study Magnitude Restrictions by Roberto De Santis and Srecko Zimic

Payments, Credit, and Asset Prices by Monika Piazzesi and Martin Schneider

Monetary policy and bank equity values in a time of low interest rates by Miguel Ampudia and Skander van den Heuvel

Debt, Information, and Illiquidity by Efraim Benmelech and Nittai Bergman

Deflation, Sticky Leverage and Asset Prices by Harjoat Bhamra, Christian Dorion, Alexandre Jeanneret, and Michael Weber

Theory of Financial Economics (PhD)

Credit derivatives (Masters in Financial Engineering)

Advanced Derivatives (MBA)

Introductory Finance (Undergraduate)

Continuous Time Finance (PhD)

Advanced Debt Markets (Master in Computational Finance)

Term Structure Theory and Credit Derivatives (Master in Computational Finance)

Futures, Options and Other Derivatives (MBA)

Applied Stochastic Calculus for Finance (Master in Financial Engineering)

PhD (Finance), HEC School of Management, Paris, France

Master in Mathematical Economics, EHESS, Paris, France

Master in Business, HEC School of Management, Paris, France