Pierre Collin-Dufresne
Carson Family Professor of Business
PhD, HEC School of Management, 1998
Year joined: 2008
E-mail: pc2415@columbia.edu
Journal articles
"On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations"
Journal of Finance
(2012)
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"Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash "
Journal of Financial Economics
(2011)
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Working papers
"The CDS-Bond Basis During the Financial Crisis of 2007–2009"
Working Paper
(2011)
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"The Asset Pricing Implications of Priced Structural Parameter Uncertainty"
Working Paper
(2011)
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"Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs"
Working Paper No. 15733
(2010)
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"On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches"
Working Paper No. 15734
(2010)
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