Darrell Duffie
James Darrell Duffie (born May 23, 1954 ) is a Canadian economist and financial mathematician .
Duffie graduated from the University of New Brunswick with a bachelor's degree in civil engineering in 1975 and the University of New England with a master's degree in economics (business statistics) in 1980. He received his doctorate in economics from Stanford University in 1984 . He is the Dean Witter Distinguished Professor of Public Finance at the Stanford Graduate School of Business.
Among other things, he deals with option prices, credit risks, and dynamic securities price models.
In 2007 he became a Fellow of the American Academy of Arts and Sciences . In 2009 he was President of the American Finance Association . In 2003 he was named Financial Engineer of the Year .
In 1992 he was invited speaker at the European Congress of Mathematicians in Paris (Martingales, arbitrage and portfolio choice). He is on the Financial Advisory Round Table for the Federal Reserve Bank . He is Research Associate of the National Bureau of Economic Research and Fellow of the Econometric Society and on its council.
Fonts (selection)
- Security Markets: Stochastic Models, Academic Press 1988
- Futures Market, Prentice Hall 1989 (also translated into Japanese and Chinese)
- with Kenneth J. Singleton : Credit Risk: Pricing, Measurement and Management, Princeton University Press 2003
- Dynamic Asset Pricing Theory, Princeton University Press 1992, 3rd edition 2001 (also translated into French, Japanese and Italian)
- How big banks fail - and what to do about it, Princeton University Press 2010
- Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press, 2012
Web links
| personal data | |
|---|---|
| SURNAME | Duffie, Darrell |
| ALTERNATIVE NAMES | Duffie, James Darrell |
| BRIEF DESCRIPTION | Canadian economist |
| DATE OF BIRTH | May 23, 1954 |