Pierre Collin-Dufresne

Pierre Collin-Dufresne is Professor of Finance at the Ecole Polytechnique Fédérale de Lausanne. Previously, Professor Collin-Dufresne held the Carson Family Chair of Business at Columbia University and worked in the Quantitative Strategies Group of Goldman Sachs Asset Management.

Expertise

Professor Collin-Dufresne is investigating how integrated the bond and equity markets actually 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 based on selling stock index option volatility. Professor Collin-Dufresne actively participates in SFI Knowledge Exchange activities that focus on the topic of factor-based asset allocation and risk management.