耶鲁大学金融理论（上）公开课13讲

This Yale College course, taught on campus twice per week for 75 minutes, was recorded for Open Yale Courses in Fall 2009.

【教授简介】 约翰-扬纳科普洛斯
扬纳科普洛斯(John Geanakoplos)教授是耶鲁大学经济学托宾教授，1980年在哈佛大学获得经济学博士学位，曾担任考尔斯经济研究基金会的负责人、耶鲁希腊研究项目负责人之一、圣塔菲研究所科学指导委员会主席、基德-皮博迪公司固定收入研究部执行总监。其所获奖项包括1999年萨缪尔森奖、1994年波多撒基经济学奖(Bodossaki Prize)。他是美国艺术与科学院院士(1999至今)，及加州伯克利大学数理研究院、剑桥大学丘吉尔学院、宾夕法尼亚大学、哈佛大学、斯坦佛大学、麻省理工大学客座教授。他曾与其他5位伙伴，共同创立了艾灵顿资本管理公司(Ellington Capital Management)，目前他仍然是合伙人。他目前的研究主题是"杠杆周期"。

About Professor John Geanakoplos

John Geanakoplos is James Tobin Professor of Economics at Yale University. He received his Ph.D. in Economics from Harvard University in 1980. He has been Director of the Cowles Foundation for Research in Economics, co-Director of Hellenic Studies Program at Yale, chairman of the science steering committee at the Santa Fe Institute and Managing Director of Fixed Income Research at Kidder, Peabody & Co. Prizes he received include the Samuelson Prize (1999), and the Bodossaki Prize in economics (1994). He is a member of the American Academy of Arts and Sciences (since 1999) and was visiting professor at MSRI in the UC Berkeley, Churchill College, Cambridge, the University of Pennsylvania, Harvard, Stanford, and MIT. He was one of the founding partners of Ellington Capital Management, where he remains a partner. One of his current research topics is the leverage cycle.


课程目录：

1. Why Finance?
2. Utilities, Endowments, and Equilibrium
3. Computing Equilibrium
4. Efficiency, Assets, and Time
5. Present Value Prices and the Real Rate of Interest
6. Irving Fisher's Impatience Theory of Interest
7. Shakespeare's Merchant of Venice, Collateral. Present Value and the Vocabulary of Finance
8. How a Long-Lived Institution Figures an Annual Budget. Yield
9. Yield Curve Arbitrage
10. Dynamic Present Value
11. Social Security
12. Overlapping Generations Models of the Economy
13. Demography and Asset Pricing: Will the Stock Market Decline when the Baby Boomers Retire?
14. Quantifying Uncertainty and Risk
15. Uncertainty and the Rational Expectations Hypothesis, with Applications to Predicting Stock Prices...
16. Backward Induction and Optimal Stopping Times
17. Callable Bonds and the Mortgage Prepayment Option
18. Modeling Mortgage Prepayments and Valuing Mortgages
19. History of the Mortgage Market: A Personal Narrative
20. Dynamic Hedging
21. Dynamic Hedging and Average Life
22. Risk Aversion and the Capital Asset Pricing Theorem
23. The Mutual Fund Theorem and Covariance Pricing Theorems
24. Risk, Return, and Social Security
25. The Leverage Cycle and the Subprime Mortgage Crisis
26. The Leverage Cycle and Crashes

1 为何金融
2 效用、禀赋和均衡
3 均衡计算
4 效率、资产和时间
5 现值价格和实际利率
6 费雪利息不耐理论
7 莎士比亚《威尼斯商人》、抵押品；现值和金融学词汇
8 基业长青机构该如何年度预算；收益率
9 收益率曲线套利
10 动态现值
11 社会保障
12 经济世代交迭模型
13 人口统计和资产定价：婴儿潮这一代退休后股市会下跌吗
14 量化不确定性和风险及其应用
15 不确定性和理性预期假设
16 逆向归纳法和最优停时
17 可赎回债券和抵押贷款提前支付期权
18 抵押贷款提前支付建模和抵押贷款估值
19 抵押贷款市场的历史
20 动态对冲
21 动态对冲和平均寿命
22 风险规避和资本资产定价模型
23 共同基金定理和协方差定价定理
24 风险、回报和社会保障
25 杠杆周期和次贷危机
26 杠杆周期和金融危机