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Financial Theory - Video

By John Geanakoplos

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Descrizione

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.

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1 Video13 - Demography and Asset Pricing: Will the Stock Market Decline when the Baby Boomers Retire? In this lecture, we use the overlapping generations model from the previous class to see, mathematically, how demographic changes can influence interest rates and asset prices. 31/3/2011 Gratis Vedi in iTunes

2 Video14 - Quantifying Uncertainty and Risk Until now, the models we've used in this course have focused on the case where everyone can perfectly forecast future economic conditions. 31/3/2011 Gratis Vedi in iTunes

3 Video12 - Overlapping Generations Models of the Economy In order for Social Security to work, people have to believe there's some possibility that the world will last forever, so that each old generation will have a young generation to support it. 31/3/2011 Gratis Vedi in iTunes

4 Video11 - Social Security This lecture continues the analysis of Social Security started at the end of the last class. 31/3/2011 Gratis Vedi in iTunes

5 Video25 - The Leverage Cycle and the Subprime Mortgage Crisis Standard financial theory left us woefully unprepared for the financial crisis of 2007-09. 31/3/2011 Gratis Vedi in iTunes

6 Video26 - The Leverage Cycle and Crashes In order to understand the precise predictions of the Leverage Cycle theory, in this last class we explicitly solve two mathematical examples of leverage cycles. 31/3/2011 Gratis Vedi in iTunes

7 Video23 - The Mutual Fund Theorem and Covariance Pricing Theorems This lecture continues the analysis of the Capital Asset Pricing Model, building up to two key results. 31/3/2011 Gratis Vedi in iTunes

8 Video24 - Risk, Return, and Social Security This lecture addresses some final points about the CAPM. 31/3/2011 Gratis Vedi in iTunes

9 Video22 - Risk Aversion and the Capital Asset Pricing Theorem Until now we have ignored risk aversion. The Bernoulli brothers were the first to suggest a tractable way of representing risk aversion. 31/3/2011 Gratis Vedi in iTunes

10 Video21 - Dynamic Hedging and Average Life This lecture reviews the intuition from the previous class, where the idea of dynamic hedging was introduced. 31/3/2011 Gratis Vedi in iTunes

11 Video19 - History of the Mortgage Market: A Personal Narrative I explain how, as a mathematical economist, I became interested in the practical world of mortgage securities, and how I became the Head of Fixed Income Securities at Kidder Peabody, and then one of six founding partners of Ellington Capital Management. 31/3/2011 Gratis Vedi in iTunes

12 Video20 - Dynamic Hedging Suppose you have a perfect model of contingent mortgage prepayments, like the one built in the previous lecture. 31/3/2011 Gratis Vedi in iTunes

13 Video18 - Modeling Mortgage Prepayments and Valuing Mortgages A mortgage involves making a promise, backing it with collateral, and defining a way to dissolve the promise at prearranged terms in case you want to end it by prepaying. 31/3/2011 Gratis Vedi in iTunes

14 Video17 - Callable Bonds and the Mortgage Prepayment Option This lecture is about optimal exercise strategies for callable bonds, which are bonds bundled with an option that allows the borrower to pay back the loan early, if she chooses. 31/3/2011 Gratis Vedi in iTunes

15 Video16 - Backward Induction and Optimal Stopping Times In the first part of the lecture we wrap up the previous discussion of implied default probabilities. 31/3/2011 Gratis Vedi in iTunes

16 Video15 - Uncertainty and the Rational Expectations Hypothesis According to the rational expectations hypothesis, traders know the probabilities of future events, and value uncertain future payoffs by discounting their expected value at the riskless rate of interest. 31/3/2011 Gratis Vedi in iTunes

17 Video09 - Yield Curve Arbitrage Where can you find the market rates of interest (or equivalently the zero coupon bond prices) for every maturity? 29/3/2011 Gratis Vedi in iTunes

18 Video10 - Dynamic Present Value In this lecture we move from present values to dynamic present values. 29/3/2011 Gratis Vedi in iTunes

19 Video08 - How a Long-Lived Institution Figures an Annual Budget. Yield In the 1990s, Yale discovered that it was faced with a deferred maintenance problem: the university hadn't properly planned for important renovations in many buildings. 29/3/2011 Gratis Vedi in iTunes

20 Video05 - Present Value Prices and the Real Rate of Interest Philosophers and theologians have railed against interest for thousands of years. 28/3/2011 Gratis Vedi in iTunes

21 Video04 - Efficiency, Assets, and Time Over time, economists' justifications for why free markets are a good thing have changed. 28/3/2011 Gratis Vedi in iTunes

22 Video03 - Computing Equilibrium Our understanding of the economy will be more tangible and vivid if we can in principle explain all the economic decisions of every agent in the economy. 28/3/2011 Gratis Vedi in iTunes

23 Video01 - Why Finance? This lecture gives a brief history of the young field of financial theory, which began in business schools quite separate from economics, and of my growing interest in the field and in Wall Street. 28/3/2011 Gratis Vedi in iTunes

24 Video02 - Utilities, Endowments, and Equilibrium This lecture explains what an economic model is, and why it allows for counterfactual reasoning and often yields paradoxical conclusions. 28/3/2011 Gratis Vedi in iTunes

25 Video07 - Shakespeare's Merchant of Venice, Collateral. Present Value and the Vocabulary of Finance While economists didn't have a good theory of interest until Irving Fisher came along, and didn't understand the role of collateral until even later, Shakespeare understood many of these things hundreds of years earlier. 28/3/2011 Gratis Vedi in iTunes

26 Video06 - Irving Fisher's Impatience Theory of Interest Building on the general equilibrium setup solved in the last week, this lecture looks in depth at the relationships between productivity, patience, prices, allocations, and nominal and real interest rates. 28/3/2011 Gratis Vedi in iTunes

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Gratuito
Categoria: Economia
Lingua: Inglese

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