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
Professor Collin-Dufresne investigates how integrated the bond and equity markets are. To do so, he revisits the classical theory that views bonds and equity as contingent claims on the same firm, but from the perspective of credit options and equity options. When the model is tested on the US market, data reveals that the credit and equity markets are not fully integrated. Financial investors can benefit from these results, which show that investment strategies based on selling credit index option volatility obtain significantly higher average excess returns and Sharpe ratios than those founded on selling stock index option volatility. 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