Professor of Finance
Pierre Collin-Dufresne is a Professor at the Swiss Finance Institute of the École Polytechnique Fédérale de Lausanne.
He has published in leading academic journals such as Econometrica, The American Economic Review, and The Journal of Finance and won various research awards including Amundi Smith Breeden Prizes.
He has served as director of the American Finance Association, director of the Western Finance Association, associate editor for several leading finance journals, and has been a member of the Center of Economic Policy Research and of the National Bureau of Economic Research.
Before joining the SFI, he was the Carson Family Professor of Business at Columbia University. He previously held professorships at the Haas School of Business of UC Berkeley and at Carnegie Mellon University. Professor Collin-Dufresne also worked in the Quantitative Strategies group of Goldman Sachs Asset Management and as consultant for the Federal Reserve Bank of New York and the European Central Bank, as well as for Cornerstone Research.
Liquidity Regimes and Optimal Dynamic Asset Allocation forthcoming The Journal of Financial Economics, 2020 (with Kent Daniel and Mehmet Saglam).
Market Structure and Transaction Costs of Index CDSs forthcoming The Journal of Finance, 2020 (with Benjamin Junge and Anders Trolle).
Insider Trading, Stochastic Liquidity and Equilibrium Prices, Econometrica, 2016 (with Vyacheslav Fos)
Parameter Learning in General Equilibrium: Asset Pricing Implications American Economic Review, 2016. (with Michael Johannes and Lars Lochstoer).
On the Relative Pricing of Long Maturity Options and Collateralized Debt Obligations Journal of Finance 2012 (with Robert Goldstein and Fan Yang).
Portfolio Choice over the Life-Cycle when the Stock and Labor Markets are Cointegrated Journal of Finance 2007 (with Luca Benzoni and Robert Goldstein).
Do Bonds Span the Fixed-Income Markets? Theory and Evidence for Unspanned Stochastic Volatility Journal of Finance 2002 (with Robert Goldstein).
The Determinants of Credit Spreads Journal of Finance 2001 (with Robert Goldstein and Spencer Martin).
On The Term Structure of Default Premia in the Swap and Libor Market Journal of Finance 2001 (with Bruno Solnik).
“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
2006 – 2016
Decomposing the Yield Curve by John H Cochrane and Monika Piazzesi
The Impact of the Credit Crunch on Quant Investing by Pierre Collin-Dufresne
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds by Campbell, Sunderam and Viceira
Economic Catastrophe Bonds by Coval, Jurek and Stafford
A preferred-Habitat Model of the Term structure of interest rates by Dimitri Vayanos and Jean-Luc Vila
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms by Benjamin Zhang, Hao Zhou and Haibin Zhu
An empirical analysis of the pricing of collateralized Debt obligation by Francis Longstaff and Arvind Rajan
Alternative (?) Perspective on Fixed Income Markets by Pierre Collin-Dufresne
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