Professor of Finance
Pierre Collin-Dufresne is a Full Professor of Finance at the Swiss Finance Institute @ EPFL. His 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.
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“, Pierre Collin-Dufresne; Michael Johannes and Lars Lochstoer, The Review of Financial Studies, 2017.
Insider trading, stochastic liquidity and equilibrium prices, Pierre Collin-Dufresne and Vyacheslav Fos, Econometrica, 2016.
Parameter learning in general equilibrium: Asset pricing implications, Pierre Collin-Dufresne, Michael Johannes and Lars Lochstoer, American Economic Review, 2016.
Modeling credit contagion via the updating of fragile beliefs, Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege, The Review of Financial Studies, 2015.
On bounding credit-event risk-premia, Jennie Bai, Pierre Collin-Dufresne, Robert S. Goldstein and Jean Helwege, The Review of Financial Studies, 2015.
Do prices reveal the presence of informed trading?, Pierre Collin-Dufresne and Vyacheslav Fos, The journal of Finance, 2015.
Dividend dynamics and the term structure of dividend strips, Frederico Belo, Pierre Collin-Dufresne, and Robert S. Goldstein, The Journal of Finance, 2015.
Even risk, contingent claims and the temporal resolution of uncertaincy, Pierre Collin-Dufresne and Julien Hugonnier, Mathematics and Financial Economics, 2014.
On the relative pricing of long maturity index options and collateralized debt obligations, Pierre Collin-Dufresne, Robert S. Goldstein and Fan Yang, The Journal of Finance, 2012.
Explaining asset pricing puzzles associated with the 1987 Market Crash, Luca Benzoni, Pierre Collin-Dufresne, and Robert S. Goldstein, The Journal of Financial Economics, 2011.
A short introduction to correlation markets, Pierre Collin-Dufresne, The Journal of Financial Econometrics, 2009.
Can interest rate volatility be extracted from the cross section of bond yields?, Pierre Collin-Dufresne, Robert S. Goldstein and Chris Jones, The Journal of Financial Economics, 2009.
On the relation between credit spread puzzles and the equity premium puzzle, Long Chen, Pierre Collin-Dufresne, and Robert S. Goldstein, The Review of Financial Studies, 2009.
Identification of maximal affine term structure models, Pierre Collin-Dufresne, Robert S. Goldstein and Chris Jones, The Journal of Finance, 2008.
Portfolio choice over the life-cycle when the stock and labor markets are cointegrated, Luca Benzoni, Pierre Collin-Dufresne, and Robert S. Goldstein, The Journal of Finance, 2007.
Pricing and hedging in the presence of extraneous risk, Pierre Collin-Dufresne and Julien Hugonnier, Stochastic Processes and their Applications, 2007.
Convenience yields implied from interest rates and commodity futures, Jaime Casassus and Pierre Collin-Dufresne, The Journal of Finance, 2005.
Unspanned stochastic volatiltiy and fixed income derivative pricing, Jaime Casassus, Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Banking and Finance, 2005.
A general formula for pricing defaultable claims, Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier, Econometrica, 2004.
Pricing swaptions within an affine framework, Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Derivatives, 2002.
Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility, Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Finance, 2002.
The determinants of credit spreads changes, Pierre Collin-Dufresne, Robert S. Goldstein and Spencer J. Martin, The Journal of Finance, 2001.
Do credit spreads reflect stationary leverage ratios?, Pierre Collin-Dufresne and Robert S. Goldstein, The Journal of Finance, 2001.
On the term structure of default premia in the swap and libor market, Pierre Collin-Dufresne and Bruno Solnik, The Journal of Finance, 2001.
Closed form formula for valuing mortgages, Pierre Collin-Dufresne and John Harding, The Journal of Real Estate Finance and Economics, 1999.
Articles in refereed conference proceedings
Applying the HJM approach when volatility is stochastic, 1998, Jesper Andreasen, Pierre Collin-Dufresne and Wei Shi, in proceedings of the AFFI Grenoble, 1997.
Articles in edited books
Martingale pricing, in equity derivatives: Applications in risk management and investment, 1997, pp. 223-233, Pierre Collin-Dufresne, William Keirstead and Michael Ross, Risk Publications.
“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