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Credit risk modeling with affine processes

Duffie, Darrell - In: Journal of banking & finance 29 (2005) 11, pp. 2751-2802

Persistent link: https://www.econbiz.de/10003121049

An econometric model of the term structure of interest rate swap yields

Duffie, Darrell; Singleton, Kenneth J. - 1995

Persistent link: https://www.econbiz.de/10000904139

A term structure model with preferences for the timing of resolution of uncertainty

Duffie, Darrell - In: Economic theory : official journal of the Society for … 9 (1997) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10001335757

Term structures of credit spreads with incomplete accounting information D. Duffie and D. Lando

Duffie, Darrell; Lando, David - 1999

Persistent link: https://www.econbiz.de/10001369621

An econometric model of the term structure of interest-rate swap yields

Duffie, Darrell - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1287-1321

Persistent link: https://www.econbiz.de/10001227656

A yield-factor model of interest rates

Duffie, Darrell - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 379-406

Persistent link: https://www.econbiz.de/10001208931

Reforming LIBOR and other financial-market benchmarks

Duffie, Darrell; Stein, Jeremy C. - 2014

We outline key steps necessary to reform the London Interbank Offered Rate (LIBOR) so as to improve its robustness to manipulation. We first discuss the role of financial benchmarks such as LIBOR in promoting over-the-counter market efficiency by improving transparency. We then describe how to...

Persistent link: https://www.econbiz.de/10011524552

Affine processes and applications in finance

Duffie, Darrell; Filipović, Damir; Schachermayer, Walter - 2002

Persistent link: https://www.econbiz.de/10001704101

Modeling term structures of defaultable bonds

Duffie, Darrell; Singleton, Kenneth J. - In: The review of financial studies 12 (1999) 4, pp. 687-720

Persistent link: https://www.econbiz.de/10001421853

Term structures of credit spreads with incomplete accounting information

Duffie, Darrell; Lando, David - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 3, pp. 633-664

Persistent link: https://www.econbiz.de/10001580789