Prof. Pierre Collin-Dufresne
SFI Senior Chair, Professor of Finance, EPFL
Pierre Collin-Dufresne is Professor of Finance at the École Polytechnique Fédérale de Lausanne. Previously, Professor Collin-Dufresne held professorships at Columbia University and Haas School of Business at the University of California, Berkeley, and worked as a senior portfolio manager in the Quantitative Strategies Group of Goldman Sachs Asset Management.
Expertise
Pierre Collin-Dufresne is an expert in asset pricing and allocation, risk management, and market microstructure. He consults to the European Central Bank as part of the Bank's Directorate of General Research, and formerly held a visiting appointment at the Federal Reserve Bank of New York.
In a recent Journal of Finance article, Professor Collin-Dufresne and co-authors Anders Trolle and Benjamin Junge propose a new model to value index options, such as credit default swaptions. They calibrate the model to credit (CDX) and equity (SPX) options and discuss the relative pricing of volatility implied from CDX and SPX markets. They show that a strategy of selling CDX volatility yields significantly higher excess returns than selling S&P 500 (SPX) volatility and discuss possible explanations. Professor Collin-Dufresne actively participates in SFI Knowledge Exchange activities on risk management.
Expertise Fields
- Financial Markets
- Information and Market Efficiency
- Portfolio Management and Asset Classes
- Asset Pricing
- Commodities
- Equities
- Fixed Income
- Foreign Exchange
- Options and Other Derivatives
- Portfolio Management
- Financial Institutions
- Rating Agencies