Dynamic asset pricing theory D Duffie Princeton University Press, 2010 | 5396 | 2010 |
Transform analysis and asset pricing for affine jump‐diffusions D Duffie, J Pan, K Singleton Econometrica 68 (6), 1343-1376, 2000 | 4077 | 2000 |
Modeling term structures of defaultable bonds D Duffie, KJ Singleton The review of financial studies 12 (4), 687-720, 1999 | 3948 | 1999 |
A yield‐factor model of interest rates D Duffie, R Kan Mathematical finance 6 (4), 379-406, 1996 | 3332 | 1996 |
Credit risk: Pricing, measurement, and management KJ Singleton, D Duffie Princeton University Press, 2012 | 2089* | 2012 |
An overview of value at risk D Duffie, J Pan Journal of derivatives 4 (3), 7-49, 1997 | 2074 | 1997 |
Term structures of credit spreads with incomplete accounting information D Duffie, D Lando Econometrica 69 (3), 633-664, 2001 | 1808 | 2001 |
Asset pricing with heterogeneous consumers GM Constantinides, D Duffie Journal of Political economy 104 (2), 219-240, 1996 | 1608 | 1996 |
Over‐the‐counter markets D Duffie, N Gârleanu, LH Pedersen Econometrica 73 (6), 1815-1847, 2005 | 1535 | 2005 |
Stochastic differential utility D Duffie, LG Epstein Econometrica: Journal of the Econometric Society, 353-394, 1992 | 1494 | 1992 |
Multi-period corporate default prediction with stochastic covariates D Duffie, L Saita, K Wang Journal of financial economics 83 (3), 635-665, 2007 | 1361 | 2007 |
Simulated moments estimation of Markov models of asset prices D Duffie, KJ Singleton Econometrica 61, 929-952, 1993 | 1335 | 1993 |
Affine processes and applications in finance D Duffie, D Filipović, W Schachermayer The Annals of Applied Probability 13 (3), 984-1053, 2003 | 1282 | 2003 |
An econometric model of the term structure of interest‐rate swap yields D Duffie, KJ Singleton The Journal of Finance 52 (4), 1287-1321, 1997 | 1162 | 1997 |
Corporate incentives for hedging and hedge accounting PM DeMarzo, D Duffie The review of financial studies 8 (3), 743-771, 1995 | 1128 | 1995 |
Presidential address: Asset price dynamics with slow‐moving capital D Duffie The Journal of finance 65 (4), 1237-1267, 2010 | 999 | 2010 |
Credit swap valuation D Duffie Financial Analysts Journal 55 (1), 73-87, 1999 | 986 | 1999 |
A liquidity‐based model of security design P DeMarzo, D Duffie Econometrica 67 (1), 65-99, 1999 | 981 | 1999 |
Risk and valuation of collateralized debt obligations D Duffie, N Garleanu Financial analysts journal 57 (1), 41-59, 2001 | 868 | 2001 |
Securities lending, shorting, and pricing D Duffie, N Garleanu, LH Pedersen Journal of Financial Economics 66 (2-3), 307-339, 2002 | 860 | 2002 |