We are grateful for useful discussions with members of the Market Participants Group on Reference Rate Reform (MPG). We have had particularly useful conversations with Matteo Aquilina, Terry Belton, David Bowman, Finbarr Hutchison, Paul Milgrom, Anthony Murphy, Holger Neuhaus, PierMario Satta, Roberto Schiavi, David Skeie, Andy Skrzypacz, Tom Steffen, Jeremy Stein, Kevin Stiroh, James Vickery, Zhe Wang, Victor Westrupp, and Haoxiang Zhu. The results and opinions expressed in this paper are not necessarily those of the Market Participants Group on Reference Rate Reform, a committee chaired by Duffie that was established by the Financial Stability Board and that published its final report in 2014, nor do they necessarily reflect the views of the National Bureau of Economic Research.
Darrell Duffie
Current Editorial Board Service
Econometrica, 1990 to present.
Review of Finance, 1995 to present.
Journal of Computational Finance, 1997 to present.
Advances in Mathematical Economics, 1998 to present.
Journal of Financial Economics, 2001 to present.
Mathematics and Financial Economics, 2007 to present.
AEJ: Microeconomics, 2007 to present.
International Journal of Central Banking, 2009 to present.
Stochastic Systems, 2009 to present.
Review of Asset Pricing Studies, 2010 to present.
Other Current Professional Positions
American Academy of Arts and Sciences, Fellow.
Econometric Society, Fellow and Member of Council.
National Bureau of Economic Research, Research Associate.
NCCR FinRisk, International Scientific Council, Switzerland.
American Finance Association, Board of Directors.
Chicago Mercantile Exchange-Mathematical Sciences Research Institute, Prize Committee.
Federal Reserve Bank of New York, Financial Advisory Roundtable.
Financial Economists Roundtable.
Pacific Institute of Mathematical Sciences, Board of Directors.
Working Group on Global Markets, Stanford University.
Squam Lake Group, Member.
Stanford Institute of Economic Policy Research (SIEPR), Senior Fellow.
Society of Financial Econometrics (SoFiE), Council.
Hausdorff Research Institute for Mathematics, University of Bonn, Stochastic Dynamics in Economics and Finance, Advisory Board.
Swiss Finance Institute, Scientific Council.
Current Business Activities
Lehman Estate (New York), Consulting and Expert Witness.
Matterhorn Investment Management (hedge fund), Consultation.
Kepos Capital (hedge fund), Academic Advisory Board.
Cantor Fitzgerald (interdealer brokerage), Expert Witness.
Moody's Corporation, Board of Directors.
