Fac Staff Detail

Prior to joining Columbia University in July 2008, Pierre 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 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 has served as a member of the NBER and of the Advisory Research Board of Moody's. He also served as associate editor for the Journal of Quantitative Financial Analysis, Finance and Stochastics, Mathematics and Financial Economics, and the Review of Financial Studies.

• Spring 2011
  (PhD) Models & Methods of Continuous Time Finance (PHD)
  Advanced Derivatives (MBA)
  
• Spring 2010
  (PhD) Models & Methods of Continuous Time Finance (PHD)
  Advanced Derivatives (MBA)
  
• Spring 2009
  (PhD) Models & Methods of Continuous Time Finance (PHD)
  Advanced Derivatives (MBA)
  

On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations In Journal of Finance (2012)
Author(s): Pierre Collin-Dufresne, Robert Goldstein, Fan Yang

Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash In Journal of Financial Economics (2011)
Author(s): Pierre Collin-Dufresne, Luca Benzoni, Robert Goldstein

The CDS-Bond Basis During the Financial Crisis of 2007–2009 Working Paper (2011)
Author(s): Jenny Bai, Pierre Collin-Dufresne

The Asset Pricing Implications of Priced Structural Parameter Uncertainty Working Paper (2011)
Author(s): Michael Johannes, Lars Lochstoer, Pierre Collin-Dufresne

Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs Working Paper No. 15733 (2010)
Author(s): Pierre Collin-Dufresne, Robert Goldstein, Jene Helwege

On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches Working Paper No. 15734 (2010)
Author(s): Pierre Collin-Dufresne, Robert Goldstein, Fan Yu