25 - The Leverage Cycle and the Subprime Mortgage Crisis
25 - The Leverage Cycle and the Subprime Mortgage Crisis
Standard financial theory left us woefully unprepared for the financial crisis of 2007-09. Something is missing in the t... Read more
28 Mar 2011
•
1hr 16mins
26 - The Leverage Cycle and Crashes
26 - 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 ... Read more
28 Mar 2011
•
1hr 10mins
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Financial Theory - Video
24 - Risk, Return, and Social Security
24 - Risk, Return, and Social Security
This lecture addresses some final points about the CAPM. How would one test the theory? Given the theory, what's the rig... Read more
28 Mar 2011
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1hr 14mins
23 - The Mutual Fund Theorem and Covariance Pricing Theorems
23 - 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. One, the Mutual ... Read more
28 Mar 2011
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1hr 16mins
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22 - Risk Aversion and the Capital Asset Pricing Theorem
22 - 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 representin... Read more
28 Mar 2011
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1hr 16mins
21 - Dynamic Hedging and Average Life
21 - Dynamic Hedging and Average Life
This lecture reviews the intuition from the previous class, where the idea of dynamic hedging was introduced. We learn w... Read more
28 Mar 2011
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20 - Dynamic Hedging
20 - Dynamic Hedging
Suppose you have a perfect model of contingent mortgage prepayments, like the one built in the previous lecture. You are... Read more
28 Mar 2011
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1hr 12mins
19 - History of the Mortgage Market: A Personal Narrative
19 - 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... Read more
28 Mar 2011
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1hr 19mins
18 - Modeling Mortgage Prepayments and Valuing Mortgages
18 - 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 prearran... Read more
28 Mar 2011
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1hr 12mins
17 - Callable Bonds and the Mortgage Prepayment Option
17 - 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... Read more
28 Mar 2011
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