Douglas T. Breeden | Scholars@Duke

Douglas T. Breeden
William W. Priest, Jr., Distinguished Professor of Business Administration in the Fuqua School of Business

Douglas T. Breeden is the William W. Priest Professor of Finance and former Dean of Duke University’s Fuqua School of Business. He also served on faculties at Chicago Booth, Stanford and North Carolina, where he was the Dalton McMichael Professor of Finance. He was the Fischer Black Visiting Professor of Financial Economics at MIT’s Sloan School in 2011-2013 and won an ”Outstanding Teacher” award.

Breeden published seminal research on insurance prices implicit in option prices, the Consumption CAPM, and hedging mortgage securities. His current research (with Robert Litzenberger) is on “Central Bank Policy Impacts on the Distribution of Future Interest Rates,” which won a Roger Murray Prize from the Q-Group. He has presented this research to the New York and Minneapolis Federal Reserve Banks, the (central) Bank of England, the Bank of Italy and the Bank of France.

Breeden was Associate Editor of 5 top journals and Founding Editor and Editor for 10 years of the Journal of Fixed Income. He was elected to the Board of Directors of the American Finance Association and in 2010 elected a lifetime Fellow. The International Association for Quantitative Finance named Breeden “Financial Engineer of the Year 2013” for being an “industry pioneer.”

Breeden holds a Ph.D. in Finance from Stanford and an S.B. from M.I.T. He served on the MIT President’s Council, the Sloan School Visiting Committee and the Stanford Business School Advisory Council. Breeden is a Senior Research Consultant for Amundi Smith Breeden, a money management firm that he co-founded, and is on the Board of Trustees of Commonfund.

Current Appointments & Affiliations

William W. Priest, Jr., Distinguished Professor of Business Administration in the Fuqua School of Business, Fuqua School of Business, Duke University 2001
Professor of Business Administration, Fuqua School of Business, Duke University 2001

Contact Information

425W Fuqua Sch of Bus, 100 Fuqua Drive, Durham, NC 27708
Duke Box 90120, Durham, NC 27708-0120
doug.breeden@duke.edu (919) 660-2892
Fuqua Faculty Profile

Background
Education, Training, & Certifications
- Ph.D., Stanford University 1978
- M.A., Stanford University 1976
- D.B.A., Harvard University 1974
- B.S., Massachusetts Institute of Technology 1972
Duke Appointment History
- Dean, Fuqua School of Business, Fuqua School of Business, Duke University 2001 - 2007
- Research Professor, Fuqua School of Business, Duke University 1991 - 1995
- Professor with Tenure, Fuqua School of Business, Duke University 1990 - 1991
- Associate Professor with Tenure, Fuqua School of Business, Duke University 1985 - 1990
Recognition
In the News
- APR 22, 2015 CNBC
  
  Douglas Breeden: Markets react schizophrenically to Fed
Awards & Honors
- Fellows. American Finance Association. 2010
Research
External Relationships
- Amundi Pioneer Asset Management
- Commonfund
Publications & Artistic Works
Selected Publications
- Academic Articles
  - Breeden, D. T., and S. Viswanathan. “Why do firms hedge? An asymmetric information model.” Journal of Fixed Income 25, no. 3 (December 1, 2016): 7–25. https://doi.org/10.3905/jfi.2016.25.3.007.
    Full Text
  - Breeden, D. T. “Consumer signals.” Journal of Asset Management 17, no. 4 (July 1, 2016): 244–63. https://doi.org/10.1057/jam.2016.17.
    Full Text
  - Breeden, D. T., R. H. Litzenberger, and T. Jia. “Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters.” Annual Review of Financial Economics 7 (December 7, 2015): 85–131. https://doi.org/10.1146/annurev-financial-091115-014822.
    Full Text
  - Breeden, D. T., R. H. Litzenberger, and T. Jia. “Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues, and Limited Participation.” Annual Review of Financial Economics 7 (December 7, 2015): 35–83. https://doi.org/10.1146/annurev-financial-111914-041800.
    Full Text
  - Breeden, Douglas T. “The Use and Misuse of Models in Investment Management.” Cfa Institute Conference Proceedings Quarterly 26, no. 4 (December 2009): 36–45. https://doi.org/10.2469/cp.v26.n4.5.
    Full Text
  - Breeden, D. T. “Optimal dynamic trading strategies.” Economic Notes 33, no. 1 (January 1, 2004): 55–81. https://doi.org/10.1111/j.0391-5026.2004.00125.x.
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  - Breeden, Douglas T. “Convexity and Empirical Option Costs of Mortgage Securities.” The Journal of Fixed Income 6, no. 4 (March 31, 1997): 64–87. https://doi.org/10.3905/jfi.1997.408189.
    Full Text
  - Breeden, D. T., and J. H. Gilkeson. “A path-dependent approach to security valuation with application to interest rate contingent claims.” Journal of Banking and Finance 21, no. 4 (January 1, 1997): 541–62. https://doi.org/10.1016/S0378-4266(96)00062-3.
    Full Text
  - Breeden, Douglas T. “Risk, Return and Hedging of Fixed Rate Mortgages.” Journal of Fixed Income, no. 3 (August 13, 1991).
  - BREEDEN, D. T., M. R. GIBBONS, and R. H. LITZENBERGER. “Empirical Tests of the Consumption‐Oriented CAPM.” The Journal of Finance 44, no. 2 (January 1, 1989): 231–62. https://doi.org/10.1111/j.1540-6261.1989.tb05056.x.
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  - Breeden, D. T. “Consumption, production, inflation and interest rates. A synthesis.” Journal of Financial Economics 16, no. 1 (January 1, 1986): 3–39. https://doi.org/10.1016/0304-405X(86)90041-3.
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  - Breeden, D. T. “Futures markets and commodity options: Hedging and optimality in incomplete markets.” Journal of Economic Theory 32, no. 2 (January 1, 1984): 275–300. https://doi.org/10.1016/0022-0531(84)90055-3.
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  - BREEDEN, DOUGLAS T. “Consumption Risk in Futures Markets.” The Journal of Finance 35, no. 2 (May 1980): 503–20. https://doi.org/10.1111/j.1540-6261.1980.tb02182.x.
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  - BREEDEN, D. T. “Discussion.” The Journal of Finance 35, no. 2 (January 1, 1980): 435–38. https://doi.org/10.1111/j.1540-6261.1980.tb02173.x.
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  - Breeden, D. T. “An intertemporal asset pricing model with stochastic consumption and investment opportunities.” Journal of Financial Economics 7, no. 3 (January 1, 1979): 265–96. https://doi.org/10.1016/0304-405X(79)90016-3.
    Full Text
  - Breeden, Douglas T., and Robert H. Litzenberger. “Prices of State-Contingent Claims Implicit in Option Prices.” The Journal of Business 51, no. 4 (January 1978): 621–621. https://doi.org/10.1086/296025.
    Full Text
- Book Sections
  - Breeden, D. T. “An intertemporal asset pricing model with stochastic consumption and investment opportunities.” In Theory of Valuation, Second Edition, 53–84, 2005. https://doi.org/10.1142/9789812701022_0003.
    Full Text
  - Breeden, D. T., and M. G. Giarla. “An Introduction to Hedging Interest Rate Risks with Futures, Swaps and Options.” In The Handbook of Mortgage-Backed Securities, edited by F. Fabozzi, 889–986. Chicago, IL: Probus Publishing, 1991.
Teaching & Mentoring
Recent Courses
- FINANCE 648: Derivatives 2020
- FINANCE 653: Fixed Income Securities 2020
- FINANCE 656: Global Asset Allocation and Stock Selection 2020
- FINANCE 648: Derivatives 2019
- FINANCE 653: Fixed Income Securities 2019
- FINANCE 648: Derivatives 2018
- FINANCE 653: Fixed Income Securities 2018
- FINANCE 656: Global Asset Allocation and Stock Selection 2018
- FINANCE 899: Independent Study 2018

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Education, Training, & Certifications

Duke Appointment History

In the News

Awards & Honors

External Relationships

Selected Publications

Academic Articles

Book Sections

Recent Courses