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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486
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Dynamic asset pricing theory
Duffie, Darrell - 1992
Persistent link: https://www.econbiz.de/10000322723
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Optimal investment with undiversifiable income risk
Duffie, Darrell - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 135-148
Persistent link: https://www.econbiz.de/10001333349
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Hedging in incomplete markets with HARA utility
Duffie, Darrell (contributor) - In: Journal of economic dynamics & control 21 (1997) 4, pp. 753-782
Persistent link: https://www.econbiz.de/10001221215
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Transactions costs and portfolio choice in a discrete-continuous-time setting
Duffie, Darrell - In: Journal of economic dynamics & control 14 (1990) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10001085219
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Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - In: Finance and stochastics 8 (2004) 1, pp. 3-16
Persistent link: https://www.econbiz.de/10001910658
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Liquidation risk
Ziegler, Alexandre; Duffie, Darrell - 2001
Persistent link: https://www.econbiz.de/10001592003
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Large portfolio losses
Dembo, Amir; Deuschel, Jean-Dominique; Duffie, Darrell - 2002
Persistent link: https://www.econbiz.de/10001699426
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Dynamic asset pricing theory
Duffie, Darrell - 2001 - Third edition
Persistent link: https://www.econbiz.de/10001552032
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Security markets : stochastic models
Duffie, Darrell - 1988
Persistent link: https://www.econbiz.de/10008731013