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Curriculum Vitae of DARRELL DUFFIE Home …
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Curriculum Vitae of DARRELL DUFFIE
Home Office
650-326-2597 Graduate School of Business
fax: 650-329-9513 Stanford University
Stanford CA 94305-5015
tel: 650-723-1976
fax: 650-725-7979
e-mail: duffie@stanford.edu
webpage: http://www.stanford.edu/ duffie/
University Stanford University, Ph. D. (Engineering Economic Systems) (1984)
Education
University of New England (Australia), Master of Economics (Economic
Statistics) (1980)
University of New Brunswick (Canada), Bachelors of Science in Engineer-
ing (Civil Engineering) (1975)
Awards 1985-86 NSF Research Fellowship
and 1988-89 Batterymarch Fellowship
Honors 1990-92 NSF Research Grant
1992-93 Catalyst Institute Research Grant
1994-95 Q Group Research Award
1994-96 NSF Research Grant
Fellow, Econometric Society
1997, Smith-Breeden Distinguished Paper Prize, Journal of Finance
Senior Research Associate, National Bureau of Economic Research
2001, Graham and Dodd Award, Financial Analysts Journal
2002, NYSE Prize for equity research, Western Finance Association
2003, Distinguished teacher award, Doctoral Program, Graduate School of
Business, Stanford University
2003, Financial Engineer of the Year, International Association of Financial
Engineering
2004, Clarendon Lectures in Finance, Oxford University.
2007, Princeton Lectures in Finance.
2007, Elected Fellow of American Academy of Arts and Sciences.
Employment 1984-present: Graduate School of Business, Stanford University
Experience Current Position: Dean Witter Distinguished Professor of Finance
On leave: Mathematical Sciences Research Institute, University of Cal-
ifornia, Berkeley; September, 1985 - March, 1986; Universit´ de Paris,
e
Dauphine; January 1998 - July, 1998.
1981-1983: Systems Control Technology Incorporated, Palo Alto, CA
Engineer - Decision Systems
Responsibilities: economic modeling for U.S. Department of Energy and
various industrial clients, including research on futures markets, descrip-
tor variable models; and algorithms for micro-economic and forecasting
problems in physical distribution systems.
1978-1979: Dept. of Civil Engineering, University of New Brunswick
Lecturer: February, 1978 - June, 1979
Assistant Professor: June, 1979 - June, 1984 (on leave)
Responsibilities: lecturing in statistics, cost estimating, and engineering
economics.
1975-1978: Bell Telephone Company of Canada Limited
Junior Engineer, Facilities: May, 1975 - February, 1976
Responsibilities: planning, design, and approval of facilities.
Leave of Absence: February, 1976 - February, 1977
Junior Engineer - Special Assignment: February, 1977 - February, 1978
Responsibilities: capital budgeting.
Research Incomplete security markets; derivative security markets; market and credit
Interests risk management of banks and other financial institutions; asset pricing
theory; preference theory under uncertainty, financial market innovation
and security design; interest-rate modeling and fixed-income security pric-
ing; options and other derivative security markets; credit risk; over-the-
counter markets.
Books Security Markets: Stochastic Models, Boston: Academic Press, 1988.
Futures Markets, Englewood Cliffs, New Jersey: Prentice-Hall, 1989. Japanese
translation, Kinzai Publishing Company, 1994; Chinese translation, 1996.
Dynamic Asset Pricing Theory, Princeton University Press, 1992; Third
Edition, 2001; French Translation, Model`s Dynamiques d' Evaluation,
e
Paris: Presse Universitaire Fran¸aise, 1993; Japanese Translation, Shinbun
c
Press, 1998; portions appearing in Italian translation in Il Principio di
Arbitraggio, edited by M. de Felice and E. F. Moriconi, Societ´ Editrice
a
Il Mulino, Bologna, 1996.
Credit Risk: Pricing, Measurement, and Management, with Kenneth J.
Singleton, Princeton University Press, 2003.
Research "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few
Publications Long-Lived Securities," (with Chi-fu Huang), Econometrica, vol. 53 (1985),
pp. 1337-1356, forthcoming in reprinted form in Continuous-Time Fi-
nance, edited by Stephen Schaefer, London: Edward Elgar, 2000.
"Competitive Equilibria in General Choice Spaces," Journal of Mathemat-
ical Economics, vol. 14 (1986), pp. 1-23.
"Stochastic Equilibria: Existence, Spanning Number, and the `No Expected
Financial Gains From Trade' Hypothesis," Econometrica, vol. 54 (1986),
pp. 1161-1184.
"Predictable Representation of Martingale Spaces and Changes of Proba-
bility Measure,"S´minaires de Probabilit´ XIX, edited by J. Az´ma and M.
e e e
Yor, Lecture Notes in Mathematics Number 1123, (1985) Springer-Verlag:
Berin, pp. 278-285.
"Multiperiod Security Markets with Differential Information: Martingales
and Resolution Times" (with Chi-fu Huang), Journal of Mathematical
Economics, vol. 15 (1986), pp. 283-303.
2
"Stochastic Equilibria with Incomplete Financial Markets", Journal of Eco-
nomic Theory, vol. 41 (1987), pp. 405-416. Corrigendum, vol. 49 (1989),
p. 384.
"Equilibrium in Incomplete Markets: I. A Basic Model of Generic Exis-
tence" (with Wayne Shafer), Journal of Mathematical Economics, vol. 13
(1985), pp. 285-300, forthcoming in reprinted form in General Equilibrium
Theory, edited by G´rard Debreu, Edward Elgar Publishing, Cheltenham,
e
England.
"Equilibrium in Incomplete Markets: II. Generic Existence in Stochastic
Economies" (with Wayne Shafer) Journal of Mathematical Economics,
vol. 15 (1986), pp. 199-216, forthcoming in reprinted form in General
Equilibrium Theory, edited by G´rard Debreu, Edward Elgar Publishing,
e
Cheltenham, England.
"Intertemporal Arbitrage and the Markov Valuation of Securities" (with
Mark Garman), Cuadernos Economicos de ICE, vol. 49 (1991), pp. 37-60.
"An Extension of the Black-Scholes Model of Security Valuation," Journal
of Economic Theory, Vol. 46 (1988), 194-204.
"Optimal Hedging and Equilibrium in a Dynamic Futures Market" (with
Matthew O. Jackson), Journal of Economic Dynamics and Control, Vol.
14 (1990), 21-33.
"Optimal Innovation of Futures Contracts" (with Matthew O. Jackson)
Review of Financial Studies, Vol. 2 (1989), pp. 275-296.
"Money in General Equilibrium Theory," Chapter 3, Handbook of Monetary
Economics, Volume 1 (1990), edited by B. M. Friedman and F. H. Hahn,
Elsevier Science Publishers, Amsterdam, pp. 81-100.
"The Consumption-Based Capital Asset Pricing Model" (with Bill Zame),
Econometrica, Vol. 57 (1989), pp. 1279-1298.
"Transactions Costs and Portfolio Choice in a Discrete-Continuous Time
Setting" (with Tong-Sheng Sun), Journal of Economic Dynamics and
Control, Vol. 14 (1990), 35-51.
"The Risk-Neutral Value of the Early Arbitrage Option", Advances in Fu-
tures and Options Research, vol. 4 (1990), pp. 107-110.
"Corporate Financial Hedging with Proprietary Information" (with Peter
Demarzo), Journal of Economic Theory, Vol. 53 (1991), pp. 261-286.
"From Discrete to Continuous Time Finance: Weak Convergence of the
Financial Gain Process" (with Philip Protter), Mathematical Finance,
Vol. 2 (1992), pp. 1-16.
"Mean-Variance Hedging in Continuous Time" (with Henry Richardson),
Annals of Applied Probability, Vol. 1 (1991), 1-15.
3
"Pricing Continuously Resettled Contingent Claims" (with Richard Stan-
ton), Journal of Economic Dynamics and Control, Vol. 16 (1992), pp.
561-574.
"Stochastic Differential Utility," (with Larry Epstein), Econometrica, Vol.
60 (1992), pp. 353-394.
"PDE Solutions of Stochastic Differential Utility" (with P.-L. Lions) Jour-
nal of Mathematical Economics, Vol. 21 (1992). 577-606.
"Asset Pricing with Stochastic Differential Utility" (with Larry Epstein),
Review of Financial Studies, Vol. 5 (1992), pp. 411-436.
"Simulated Moments Estimation of Markov Models of Asset Prices" (with
Ken Singleton), Econometrica, Vol. 61 (1993), pp. 929-952.
"Optimal Investment with Undiversifiable Income Risk" (with Thaleia Za-
riphopoulou), Mathematical Finance, Vol. 3 (1993), pp. 135-148.
"Arbitrage Pricing of Russian Options and Perpetual Lookback Options"
(with J. Michael Harrison), Annals of Applied Probability, Vol. 3 (1993),
641-651.
"Asset Pricing in Incomplete Markets," Hitotsubashi Journal of Economics,
Vol. 34 (1993), 139-148.
"Continuous-Time Security Pricing: A Utility Gradient Approach" (with
Costis Skiadas), Journal of Mathematical Economics, Vol. 23 (1994), 107-
132.
"Efficient and Equilibrium Allocations with Stochastic Differential Utility,"
(with Pierre-Yves Geoffard and Costis Skiadas), Journal of Mathematical
Economics, Vol. 23 (1994), 133-146.
"Stationary Markov Equilibria" (with John Geanakoplos, Andreu Mas-
Colell, and Andy McLennan), Econometrica, Vol. 62 (1994), 745-782.
"Volatility in Energy Prices," with S. Gray and P. Hoang, in Managing
Energy Price Risk, edited by Lou Pai and Peter Field, Risk Publications,
1995, revised for second edition, 1999, pp. 273-290.
"Black's Consol Rate Conjecture" (with Jin Ma and Jiongmin Yong), An-
nals of Applied Probability, Vol. 5 (1995), pp. 356-382.
"Hedging in Incomplete Markets with HARA Utility" (with Wendell Flem-
ing, Mete Soner, and Thaleia Zariphopoulou), Journal of Economic Dy-
namics and Control Vol. 21 (1997), pp. 753-782.
"Efficient Monte Carlo Estimation of Security Prices" (with Peter Glynn),
Annals of Applied Probability Vol. 5 (1996), pp. 897-905.
"Corporate Incentives for Hedging and Hedge Accounting" (with Peter
DeMarzo), Review of Financial Studies, Vol. 8 (1995), 743-772.
4
"Special Repo Rates," Journal of Finance, Vol. 51, (1996) 493-526.
"Asset Pricing with Heterogeneous Consumers" (with George Constan-
tinides), Journal of Political Economy, Vol. 104 (1996), pp. 219-240.
"A Term Structure Model with Preferences for the Timing of the Resolu-
tion of Uncertainty" (with Mark Schroder and Costis Skiadas), Economic
Theory, Vol. 9 (1997), pp. 3-22.
"A Yield-Factor Model of Interest Rates" (with Rui Kan), Mathematical
Finance Volume 6 (1996) pp. 379-406, reprinted in The New Interest Rate
Models, London: Risk Books, 2000; and in Options Markets, edited by G.
Constantinides and A. Malliaris, London: Edward Elgar, forthcoming.
"Swap Rates and Credit Quality" (with Ming Huang), Journal of Finance,
Volume 51 (1996) pp. 921-950.
"Recursive Valuation of Defaultable Securities and the Timing of the Res-
olution of Uncertainty" (with Mark Schroder and Costis Skiadas), Annals
of Applied Probability, Vol. 6 (1996) pp. 1075-1090.
"An Econometric Model of the Term Structure of Interest Rate Swap
Yields" (with Ken Singleton), Journal of Finance, Vol. 52, pp. 1287-1321,
forthcoming in reprinted form in Options Markets, edited by G. Constan-
tinides and A. Malliaris, London: Edward Elgar, 2000.
"A Liquidity-Based Model of Security Design" (with Peter DeMarzo),
Econometrica, Vol. 67 (1999), pp. 65-99.
"Modeling Term Structures of Defaultable Bonds" (with Ken Singleton),
Review of Financial Studies, Vol. 12 (1999), 687-720.
"Credit Swap Valuation," Financial Analysts Journal, January-February,
1999, pp. 73-87, reprinted in Credit Risk: Models and Management, edited
by David Shimko, London: Risk Books, 1999, pp. 245-258, and to be
reprinted in International Securities, edited by George Philippatos and
Gregory Koutmos, The International Library of Critical Writings in Fi-
nancial Economics, Senior Editor, Richard Roll, Edward Elgar Publishing,
2000.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions," (with
Jun Pan and Ken Singleton), Econometrica, Vol. 68 (2000), pp. 1343-1376.
"Floating-Fixed Credit Spreads," (with Jun Liu), Financial Analysts Jour-
nal, May-June, 2001, pp. 76-87.
"Term Structures of Credit Spreads with Incomplete Accounting Informa-
tion," (with David Lando), Econometrica, Vol. 69 (2001), pp. 633-664.
"Analytical Value-at-Risk with Jumps and Credit Risk," (with Jun Pan),
Finance and Stochastics, Vol. 5 (2001), pp. 155-180.
"Risk and Valuation of Collateralized Debt Obligations," (with Nicolae
G^rleanu), Financial Analysts Journal, January-February, 2001, pp. 41-
a
62, winner, Graham and Dodd Scroll Award.
5
"Universal State Prices and Asymmetric Information," (with Rui Kan),
Journal of Mathematical Economics, Vol. 38 (2002), pp. 191-196.
"Securities Lending, Shorting, and Pricing," (with Nicolae G^rleanu and
a
Lasse Pedersen), Journal of Financial Economics, Vol. 66 (2002), pp. 307-
339. (NYSE Award, Best Paper, Equity Analysis)
"Liquidation Risk," (with Alexandre Ziegler), Financial Analysts Journal,
May-June 2003, pp 42-51.
"Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," (with
Lasse Pedersen and Ken Singleton), Journal of Finance, Vol. 58 (2003),
pp. 119-159.
"Affine Processes and Applications in Finance," (with Damir Filipovic and
Walter Schachermayer), Annals of Applied Probability, Vol. 13 (2003),
984-1053.
"Market Pricing of Deposit Insurance," (with Robert Jarrow, Amiyatosh
Purnanandam, and Wei Yang) Journal of Financial Services Research,
Vol. 24 (2003), 93-119.
"Large Portfolio Losses," (with Amir Dembo and Jean-Dominique Deuschel),
Finance and Stochastics, Vol. 8 (2004), pp. 3-16.
"Estimation of Continuous-Time Markov Processes Sampled at Random
Times," (with Peter Glynn), Econometrica Vol. 72 (2004), pp. 1773-1808.
"Over-The-Counter Markets," (with Nicolae G^rleanu and Lasse Peder-
a
sen), Econometrica, Volume 73 (2005), pages 1815-1847.
"Multi-Period Corporate Default Prediction with Stochastic Covariates,"
(with Leandro Saita and Ke Wang), Journal of Financial Economics,
Volume, 83 (2007), 635-665.
"Common Failings: How Corporate Defaults are Correlated," (with Sanjiv
Das, Nikunj Kapadia, and Leandro Saita), Journal of Finance, Volume
62 (2007), 93-117.
"The Existence of Independent Random Matching," (with Yeneng Sun),
Annals of Applied Probability, Volume 17 (2007), 386-419.
"Valuation in Over-The-Counter Markets," (with Nicolae G^rleanu and
a
Lasse Pedersen), Review of Financial Studies, 2007, Vol. 20, pp.1865-1900.
"Information Percolation in Large Markets," (with Gustavo Manso), Amer-
ican Economic Review, Papers and Proceedings, 2007, Vol. 97, pp. 203-209.
"Systemic Dynamics in the Federal Funds Market," (with Adam Ashcraft),
American Economic Review, Papers and Proceedings, 2007, Vol. 97, pp.
221-225.
"Frailty Correlated Default," (with Andreas Eckner, Guillaume Horel, and
Leandro Saita), Working Paper, Graduate School of Business, Stanford
University, January, 2008, forthcoming, Journal of Finance.
6
Other "Money in General Equilibrium Theory," Chapter 3, Handbook of Monetary
Articles Economics, Volume 1 (1990), edited by B. M. Friedman and F. H. Hahn,
Elsevier Science Publishers, Amsterdam, pp. 81-100.
"Arrow and General Equilibrium Theory" (with Hugo Sonnenschein), Jour-
nal of Economic Literature, Vol. 27 (1989), pp. 565-598.
"The Theory of Value in Security Markets," The Handbook of Mathematical
Economics, Volume IV, Chapter 31, edited by Werner Hildenbrand and
Hugo Sonnenschein, North-Holland (1991), 1615-1682.
" `Frontiers of Modern Financial Theory, Volume 1, Theory of Valuation,'
A Review," Review of Financial Studies, Vol. 2 (1989), pp. 267-272.
"The Nature of Incomplete Security Markets," Advances in Economic The-
ory, Volume 2, edited by Jean-Jacques Laffont, Cambridge University
Press (1992), pp. 214-262.
"Intertemporal General Equilibrium: Comment," Value and Capital, Fifty
Years Later, edited by Lionel McKenzie and Stefano Zamagni, London:
Macmillan (1991), 461-468.
"Spanning in Security Markets" in The New Palgrave Dictionary of Money
and Finance, (1992) edited by P. Newman, M. Milgate, and J. Eatwell,
London: The Macmillan Press.
"The Modigliani-Miller Theorem," in The New Palgrave Dictionary of
Money and Finance, (1992) edited by P. Newman, M. Milgate, and J.
Eatwell, London: The Macmillan Press.
"Martingales, Arbitrage, and Portfolio Choice," Proceedings of The Euro-
pean Congress of Mathematics, Volume II, Invited Lectures, edited by A.
Joeseph and R. Rentschler, Boston: Birkh¨user Press, 1994, pages 3-21.
a
"Asset Pricing in Incomplete Markets," Hitotsubashi Journal of Economics,
Vol. 34 (1993), 139-148.
"Debt Management and Interest Rate Risk," Risk Management: Challenges
and Solutions, ed. W. Beaver and G. Parker, McGraw-Hill Publishing
Company, 1994.
"Incomplete Security Markets with Infinitely Many States: An Introduc-
tion" Journal of Mathematical Economics, Vol. 26 (1995), 1-8.
"Multi-Factor Interest Rate Models," with Rui Kan, Philosophical Trans-
actions of The Royal Society, Series A, Volume 347 (1993), pp. 577-586,
reprinted in Mathematical Models in Finance, Chapman and Hall, 1995.
"Financial Market Innovation and Security Design" (with Rohit Rahi),
Journal of Economic Theory, Vol. 65 (1995), pp. 1-42.
7
"State-Space Models of the Term Structure of Interest Rates," in H.
¨ u
K¨rezlioglu, B. Ĝksendal, and A. Ust¨nel, editors, Stochastic Analysis and
o
Related Topics V: The Silivri Workshop, 1994, Boston: Birkh¨user, 1996,
a
republished in Vasicek and Beyond, edited by Lane Hughston (RISK: Lon-
don, 1997).
"An Overview of Value at Risk," (with Jun Pan), Journal of Derivatives,
April, 1997, pp. 7-49, forthcoming in reprinted form in Options Markets,
edited by G. Constantinides and A. G. Malliaris, London: Edward Elgar,
2000.
"Black, Merton, and Scholes -- Their Central Contributions to Eco-
nomics," Scandinavian Journal of Economics, Vol. 11 (1998), pp. 411-424.
"Measuring and Marking Counterparty Risk," (with Eduardo Canabarro),
in, ALM of Financial Institutions, edited by Leo Tilman, Institutional
Investor Books (2004), Chapter 9.
"Intertemporal Asset Pricing Theory," in Handbook of Financial Eco-
nomics, edited by George Constantinides, Milt Harris, and Ren´ Stulz,
e
Amsterdam, North-Holland Elsevier (2004), Chapter 11, pp. 639-742.
"Credit Risk Modeling with Affine Processes," Journal of Banking and
Finance, Vol. 29 (2005), 2751-2802.
"A Review of 'Stochastic Calculus for Finance' by Steven E. Shreve, forth-
coming, Bulletin of the American Mathematical Society, 2008.
Working "Diffusion Approximation in Arrow's Model of Exhaustible Resources,"
Papers (with Michael Taksar) Technical Report Number 416, Stanford Institute
for Mathematical Studies in The Social Sciences (Economics Series), Stan-
ford University, August, 1983.
"Price Operators: Extensions, Potentials, and the Markov Valuation of Se-
curities", Research Paper No. 813, Graduate School of Business, Stanford
University, July, 1985.
"Stochastic Production-Exchange Equilibria" (with Chi-Fu Huang), Re-
search Paper, Graduate School of Business, Stanford University, May
1986.
"Equilibrium and The Role of the Firm in Incomplete Markets" (with
Wayne Shafer), Graduate School of Business, Stanford University, August,
1986.
"A Liquidity-Based Model of Asset-Backed Security Design" (with Pe-
ter DeMarzo), Working Paper, Kellogg Graduate School of Management,
Northwestern University, November, 1993.
"Asymptotic Efficiency of Hansen-Scheinkman and Resolvent Estimators
of Ornstein-Uhlenbeck Processes," (with Qiang Dai and Peter Glynn),
Working Paper, Graduate School of Business, Stanford University, 1997.
8
"First-to-Default Valuation," Working Paper, Universit´ de Paris, Dauphine,
e
and Graduate School of Business, Stanford University, 1998.
"Defaultable Term Structure Models with Fractional Recovery of Par,"
Working Paper, Graduate School of Business, Stanford University, 1998.
"Simulating Correlated Defaults," (with Ken Singleton), Working Paper,
Graduate School of Business, Stanford University, 1998.
"The Exact Law of Large Numbers for Independent Random Matching,"
(with Yeneng Sun), Working Paper, Graduate School of Business, Stan-
ford University, July, 2004.
"Information Percolation," (with Gaston Giroux and Gustavo Manso),
Working Paper, Graduate School of Business, Stanford University, March,
2008.
"Information Percolation with Equilibrium Search Dynamics," (with Se-
myon Malamud and Gustavo Manso), Working Paper, Graduate School
of Business, Stanford University, May, 2008.
Editorial Management Science, May 1986 to March, 1989.
Journal of Mathematical Economics, July, 1988 to February, 1996.
Boards Advances in Futures and Options Research, May, 1989 to May 1991.
Annals of Applied Probability, September, 1989 to May, 1994.
Economic Theory, December, 1989 to February, 1996.
Journal of Economic Theory, 1986 to 1999.
Mathematical Finance, October, 1989 to January, 2001.
Econometrica, July, 1990 to present.
Asia Pacific Financial Markets, August 1993 to 2006.
The Review of Derivatives Research, December, 1993 to present.
Finance and Stochastics, 1995 to 2002 (co-editor, 1998-2002).
Review of Finance, July, 1995 to present.
Journal of Computational Finance, February, 1997 to present.
Advances in Mathematical Economics, August, 1998 to present.
Stochastic Processes and Their Applications, July, 1999 to April, 2006.
Journal of Financial Economics. November, 2001 to present.
Journal of Bond Trading and Management. 2002 to 2003.
Journal of Banking and Finance. November, 2005, to 2008.
Mathematics and Financial Economics. April, 2007, to present.
AEJ: Microeconomics. May, 2007, to present.
Professional Council, Bachelier Society, 1996 to 1999.
International Association of Financial Engineers, Governing Board (1997
to 2000), Senior Fellow from 2005.
Service External Advisory Board, Institute for Computational Finance, University
of Texas, Austin, 1996 to 2005.
Co-Director and Co-Developer, Stanford University Graduate School of
Business Executive Education Courses on Market and Credit Risk for
Financial Institutions, 1996 to 2005.
International Advisory Board, Centre for Financial Engineering, National
University of Singapore.
9
Advisory Board, Financial Strategies Group, Graduate School of Interna-
tional Business Strategy, Hitotsubashi University, Tokyo, Japan.
Fellow, Econometric Society.
Senior Research Associate, National Bureau of Economic Research.
International Examinations Committee, The Association of Certified In-
ternational Investment Analysts, Japan.
NCCR FinRisk, International Scientific Council, Switzerland.
Organizing Committee, Quantitative Developments in Finance, Newton
Institute, Cambridge University, 2005.
American Finance Association, Board of Directors, 2000-2003; Execu-
tive Committee, 2007-present; Vice-President, 2007-2008; President-Elect,
2008-2009.
Banff International Research Station, Scientific Advisory Board, 2005 to
present.
The Chicago Mercantile Exchange-Mathematical Sciences Research Insti-
tute Prize Committee, 2005 to present.
The Federal Reserve Bank of New York, Financial Advisory Roundtable,
2006 to present.
Financial Economists Roundtable, 2007 to present.
Outside Shell Oil Development Company, Houston, Texas (oil and related product
price risk measurement, valuation of derivative instruments, and hedging).
Compensated Vestek Systems, San Francisco (equity and fixed income valuation, risk
management, and portfolio management systems design).
Activities Merck and Company, Rahway, New Jersey (exchange rate risk management
consulting and system design, derivative security valuation, and interest
rate risk management).
U.S. Treasury Department, Office of Thrift Supervision, Washington, D.C.;
Federal Deposit Insurance Corporation and Resolution Trust Corporation,
U.S. Department of Justice, Washington D.C. (consulting and expert wit-
ness testimony on mortgage-related security valuation and interest rate
risk management).
Caisse Autonome de Refinancement (Caisse de Depots), Paris (consulting
on fixed-income collateralized obligations).
Cadwalader, Wickersham, and Taft, New York, (consulting on U.S. Trea-
sury markets).
Mobil Corporation, Fairfax, Virginia (interest rate risk management).
Catalyst Institute, Chicago (U. S. Treasury Market Project).
Hewlett-Packard Corporation, Palo Alto, California (executive compensa-
tion, option valuation).
Enron Corporation, Houston (risk management and energy derivatives
modeling).
J.P. Morgan and Co., New York (valuation of government assets).
Morgan Stanley, New York (fixed-income modeling, credit risk, and risk
management).
Bank of America Corporation, San Francisco (interest rate and credit risk
management).
Susquehanna Investment Group, Philadelphia (equity derivatives models).
Nikko Securities, Tokyo (risk management and fixed-income modeling).
VEBA, Dusseldorf (risk management).
Royal Bank of Canada, Toronto (risk management and credit derivatives).
10
Lehman Brothers, New York (risk management).
Federal Reserve Board of Governors, Washington, D.C. (interest rates and
credit risk).
Gifford Fong Associates, San Francisco (derivatives modeling).
Paribas Capital Markets, London (credit and interest rate risk).
U.S. Department of Justice, Washington D.C. (consulting and expert wit-
ness testimony, banking and risk management).
Goldman Sachs, New York (risk management).
Caxton Corporation, New York (review of trading strategies).
PriceWaterhouseCoopers, New York (member of Risk Institute).
Fenwick and West, Palo Alto (valuation of equities and warrants).
Longitude, Incorporated, New York (financial e-commerce).
Fannie Mae, Washington, D.C. (credit risk analysis).
Hummingbird Capital Management, Philapdelphia (development of trad-
ing strategies).
Bank One and U.S. Internal Revenue Service, Chicago (expert testimony,
valuation of swaps).
Board of Directors, Affinium Fund, London.
International Monetary Fund, Washington, D.C. (credit risk).
Citigroup, New York (economic capital).
Merrill Lynch, New York (risk management).
Paloma Partners, Greenwich CT (risk management).
Ixis, Paris (credit markets).
Schering-Plough, Kenilworth NJ (asset valuation).
MBIA, New York (credit risk management).
Bombardier, Toronto (corporate debt valuation).
Moodys, Academic Research and Advisory Committee (New York).
Credit Suisse, New York (financial markets and risk management).
Quinn Emanuel, New York, (expert witness testimony, credit risk and cor-
porate debt valuation).
New York State Tax Authority, (repurchase agreements), New York.
Cantor Fitzgerald, (inter-dealer broker markets), New York.
Independent Health Care Trust for UAW Retirees of General Motors Cor-
poration, (exercise of equity options), Detroit.
Independent Health Care Trust for UAW Retirees of Ford Motor Corpora-
tion, (exercise of equity options), Detroit.
PayNet Inc. (estimation of default probabilities), Chicago.
iShares Funds and Trusts (Boards of Directors), San Francisco.
This curriculum vitae is current as of July 1, 2008.
11