Associate Professor of Finance
Evert McCabe Faculty Fellow
PhD, University of Chicago, 2000
MBA, University of Chicago, 2000
BSc, Eng. Instituto Tecnologico de Aeronautica (ITA), Brazil, 1991
Phone: |
206-543-1843 |
Mailing Address: |
Fax: |
206-543-7472 |
Michael G. Foster School of Business |
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267 Mackenzie Hall
jduarte@u.washington.edu
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Finance Department
Box 353200
Seattle, WA 98195-3200 |
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Specialties
Asset pricing, term structure models, derivatives pricing.
Positions Held
At the University of Washington since 2002
Associate at JP Morgan proprietary positioning group (2000-2002)
Senior systems analyst at the decision support group at CSFB-Garantia (1991-1995)
Selected Publications
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Information Asymmetry, Information Dissemination and the Effect of Regulation FD on the Cost of Capital
with Xi Han, Jarrad
Harford and Lance Young (accepted for publication at The Journal of Financial Economics)
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The Causal Effect of Mortgage Refinancing on Interest-Rate Volatility: Empirical Evidence and Theoretical Implications (accepted for publication at The Review of Financial Studies)
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Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller? with Francis Longstaff and Fan Yu (accepted for publication at The Review of Financial Studies)
- Evaluating An Alternative Risk Preference in Affine Term Structure Models,
The Review of Financial Studies, Vol. 17, No. 2, pp. 370-404.
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Nonparametric Option Pricing under Shape Restrictions, with
Yacine Aït-Sahalia,
Journal of Econometrics, 2003, 116, 9-47
Current Research
Asset pricing, fixed income.
Working Papers
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