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Financial Theory

This course attempts to explain the role and the importance of the financial system in the global economy. Rather than separating off the financial world from the rest of the economy, financial equilibrium is studied as an extension of economic equilibrium. The course also gives a picture of the kind of thinking and analysis done by hedge funds. (from oyc.yale.edu )

Instructor

Professor John Geanakoplos.

Economics

2011

Lecture 01 - Why Finance?

Lecture 02 - Utilities, Endowments, and Equilibrium

Lecture 03 - Computing Equilibrium

Lecture 04 - Efficiency, Assets, and Time

Lecture 05 - Present Value Prices and the Real Rate of Interest

Lecture 06 - Irving Fisher's Impatience Theory of Interest

Lecture 07 - Shakespeare's Merchant of Venice and Collateral, Present Value and the Vocabulary of Finance

Lecture 08 - How a Long-Lived Institution Figures an Annual Budget; Yield

Lecture 09 - Yield Curve Arbitrage

Lecture 10 - Dynamic Present Value

Lecture 11 - Social Security

Lecture 12 - Overlapping Generations Models of the Economy

Lecture 13 - Demography and Asset Pricing: Will the Stock Market Decline when the Baby Boomers Retire?

Lecture 14 - Quantifying Uncertainty and Risk

Lecture 15 - Uncertainty and the Rational Expectations Hypothesis

Lecture 16 - Backward Induction and Optimal Stopping Times

Lecture 17 - Callable Bonds and the Mortgage Prepayment Option

Lecture 18 - Modeling Mortgage Prepayments and Valuing Mortgages

Lecture 19 - History of the Mortgage Market: A Personal Narrative

Lecture 20 - Dynamic Hedging

Lecture 21 - Dynamic Hedging and Average Life

Lecture 22 - Risk Aversion and the Capital Asset Pricing Theorem

Lecture 23 - The Mutual Fund Theorem and Covariance Pricing Theorems

Lecture 24 - Risk, Return, and Social Security

Lecture 25 - The Leverage Cycle and the Subprime Mortgage Crisis

Lecture 26 - The Leverage Cycle and Crashes