Press Release Announcing the Fourth Ross Prize

Foundation for the Advancement of Research in Financial Economics Awards Fourth $100,000 Academic Prize

Finance Scholars Darrell Duffie, Jun Pan and Kenneth Singleton

The Stephen A. Ross Prize in Financial Economics has been awarded to "Transform Analysis and Asset Pricing for Affine Jump-Diffusions" published in Econometrica in 2000, by Darrell Duffie of Stanford University, Jun Pan of the Massachusetts Institute of Technology, and Kenneth Singleton of Stanford University.

The prize committee chose this paper for its important methodological contribution to the influential literature of affine models. In particular this paper provides (i) an analytical treatment for general affine models where both the discount rate and payoffs are allowed to be affine jump-diffusions of the state variables, and (ii) shows that their analytical treatment permits them to identify an important jumps-in-volatility channel in option prices. These methods have influenced subsequent work in modeling the term-structure of interest rates, defaultable securities, contingent claim prices, and consumption-based asset pricing models. Their methods facilitates assessing the role of jump-diffusions in affine asset pricing models and ultimately help develop better empirical models for asset prices.

The prize committee members were Ravi Bansal, Mike Fishman, Robert Litzenberger, Jose Scheinkman, Antoinette Schoar, and Bilge Yilmaz with Paul Pfleiderer as chair.

The FARFE conference will be held on October 16–18, 2015 where participants can celebrate the prize and discuss related and other issues. The conference will have the same format and location as previous conferences, at Endicott house, with most events taking place through the day Saturday, October 17.

Thanks again to the prize committee. Congratulations to Darrell Duffie, Jun Pan and Kenneth Singleton.

Founded in 2006 by finance academics and practitioners, FARFE is committed to supporting research in financial economics and to facilitating productive interaction between research and practice in finance. For more details about FARFE, the Ross Prize, and the award-winning paper, see


Transform Analysis and Asset Pricing for Affine Jump-Diffusions
by Darrell Duffie, Jun Pan and Kenneth Singleton

Citation for Fourth Ross Prize

Past Winners

2012 Prize: To "“Private and Public Supply of Liquidity,” by Bengt Holmstrom and Jean Tirole.

2010 Prize: To "Credit Cycles," by Nobuhiro Kiyotaki and John Moore.

2008 Prize: To "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," by Hayne Leland.

The Stephen A. Ross Prize in Financial Economics

The initiative to establish FARFE came from academics and practitioners who were former students of Stephen A. Ross. To encourage research that exemplifies his focus on fundamental research, and to celebrate the influence he has had on financial economics and on the lives of his students, FARFE has established the Stephen A. Ross Prize in Financial Economics. This biennial award of $100,000 honors a paper in financial economics selected from all papers published over the prior 15 years in any finance or economics outlet. The winning paper must either develop or test a theory in financial economics. The inaugural prize was awarded in 2008 to Hayne Leland for his 1994 Journal of Finance paper "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure."   About Stephen A. Ross
History of the Stephen A. Ross Prize