Spring 2009
B9311-008: (PhD) Models & Methods of Continuous Time Finance
W - Full Term, 01:00PM to 04:00PM
Instructor: pierre collin-dufresne
Course Catalog
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Carson Family Professor of Business
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.