ECON 251: Financial Theory
Syllabus
Professor:

John Geanakoplos, James Tobin Professor of Economics, Yale University

Description:

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.

Texts:

Bodie, Zvi, and Robert C. Merton. Finance, Upper Saddle River, New Jersey: Prentice Hall, 2000.

Chance, Don M. An Introduction to Derivatives, 3rd edition, Fort Worth, Texas: The Dryden Press, Harcourt Brace College Publishers, 1995.

DeGroot, Morris H. Probability and Statistics, Reading, Massachusetts: Addison-Wesley Publishing Co., 1975.

Elton, Edwin J. and Martin J. Gruber. Modern Portfolio Theory and Investment Analysis, 5th edition, New York: John Wiley & Sons, Inc., 1995.

Fabozzi, Frank. Handbook of Mortgage Backed Securities, 6th edition, New York: McGraw-Hill, 2001.

Fabozzi, Frank J. Handbook of Fixed Income Securities, 6th edition, New York: McGraw-Hill, 2000.

Hull, John C. Options, Futures, and Other Derivatives, 5th edition, Upper Saddle River, New Jersey: Prentice Hall, 2002.

Jarrow, Robert and Stuart Turnbull. Derivative Securities, 2nd edition, Cincinatti, Ohio: South-Western College Publishing, 2000.

Luenberger, David G. Investment Science, New York: Oxford University Press, 1998.

Malkiel, Burton. A Random Walk Down Wall Street, New York: W.W. Norton, 1999.

Pliska, Stanley R. Introduction to Mathematical Finance. Discrete Time Models, Malden, Massachusetts: Blackwell Publishers, 1997.

Ross, Stephen, Randolph Westerfield, and Jeffrey Jaffe. Corporate Finance, New York: Irwin, McGraw Hill, 1999.

Sharpe, William F., Gordon J. Alexander, and Jeffery V. Bailey. Investments, 6th edition, Upper Saddle River, NJ: Prentice Hall, 1999.

Swensen, David F. Pioneering Portfolio Management. An Unconventional Approach to Institutional Investment, New York: The Free Press, 2000.

Taggart, Jr, Robert A. Quantitative Analysis for Investment Management, Upper Saddle River, New Jersey: Prentice Hall, 1996.

Tobin, James with Stephen Golub. Money, Credit, and Capital, Boston: Irwin-McGraw Hill, 1998.

Course reading
The textbook readings are meant to clarify or elaborate material presented in class, or to give you an idea of alternative presentations of the same material. For example, we might discuss bonds, how they pay, and how to value them. The readings might cover the specifics of particular bond markets (local, state, different countries), how they are taxed etc. There is no official textbook. In the past I have used Corporate Finance, by former Yale professor Steve Ross and two co-authors, and two others, by Sharpe and Merton, both Nobel Prize winners in economics (for contributions to financial economics). Their books were regarded as insufficiently quantitative, but might be useful to browse in. Another very good book is by Luenberger, but it is a little too advanced for this course. I have listed a dozen or so good alternatives and supplements, to give you an idea of where you could read more if you become interested. None of these is required. You should be able to follow the course simply by attending the lectures, reading the web notes, and doing the problem sets.

Math in the course
Finance is a quantitative subject that can only be understood by solving concrete problems. But it uses mostly elementary mathematics. You need to be good at arithmetic (the distributive law is the basis for double entry bookkeeping), and be able to solve two or three simultaneous linear equations. You must also be able to differentiate three elementary functions: dxn/dx =nxn-1; d ln x/dx = 1/x; deax/dx= aeax. The functions a

Grading:

Problem sets: 20%
Midterm exam 1: 20%
Midterm exam 2: 20%
Final Exam: 40%

以下为资源：

首先当然是官网：http://oyc.yale.edu/economics/econ-251

然后给出视频资源：站内资源-https://bbs.pinggu.org/thread-2944672-1-1.html
网易公开课-http://v.163.com/special/opencourse/financialtheory.html（这个好像还可以下载）
优酷视频-http://www.youku.com/show_page/id_z9d10ee68140e11e1a046.html

书籍部分（由于大部分资源已经有人上传，所以只给出了传送门）：

本帖2楼的资源好像是这本书的第四版
DeGroot, Morris H. Probability and Statistics, Reading, Massachusetts: Addison-Wesley Publishing Co., 1975.
外部传送门：http://ishare.iask.sina.com.cn/f/20532658.html


Fabozzi, Frank. Handbook of Mortgage Backed Securities, 6th edition, New York: McGraw-Hill, 2001.
下面是这本书的第六版
传送门1：https://bbs.pinggu.org/thread-587646-1-1.html

Elton, Edwin J. and Martin J. Gruber. Modern Portfolio Theory and Investment Analysis, 5th edition, New York: John Wiley & Sons, Inc., 1995.
下面是这本书的第六版
传送门2：https://bbs.pinggu.org/thread-524840-1-1.html
下面是这本书的第九版
传送门10：https://bbs.pinggu.org/thread-2781618-1-1.html


Fabozzi, Frank J. Handbook of Fixed Income Securities, 6th edition, New York: McGraw-Hill, 2000.
下面是这本书的第七版
传送门3：https://bbs.pinggu.org/thread-468747-1-1.html


Hull, John C. Options, Futures, and Other Derivatives, 5th edition, Upper Saddle River, New Jersey: Prentice Hall, 2002.
下面分别是这本书的第七和第八版
传送门4：https://bbs.pinggu.org/thread-919658-1-1.html
https://bbs.pinggu.org/thread-1531438-1-1.html


Luenberger, David G. Investment Science, New York: Oxford University Press, 1998.
下面是这本书
传送门5：https://bbs.pinggu.org/thread-427135-1-1.html


Malkiel, Burton. A Random Walk Down Wall Street, New York: W.W. Norton, 1999.
下面是这本书的新版
传送门6：https://bbs.pinggu.org/thread-471893-1-1.html



Pliska, Stanley R. Introduction to Mathematical Finance. Discrete Time Models, Malden, Massachusetts: Blackwell Publishers, 1997.
下面是这本书
传送门7：https://bbs.pinggu.org/thread-577062-1-1.html

ROSS的经典之作，对应
Ross, Stephen, Randolph Westerfield, and Jeffrey Jaffe. Corporate Finance, New York: Irwin, McGraw Hill, 1999.
传送门8：https://bbs.pinggu.org/thread-1151228-1-1.html



Sharpe, William F., Gordon J. Alexander, and Jeffery V. Bailey. Investments, 6th edition, Upper Saddle River, NJ: Prentice Hall, 1999.
下面是这本书
传送门9：https://bbs.pinggu.org/thread-2143065-1-1.html

An Introduction to Derivatives, 3rd edition Author：Chance, Don M.
Publisher: Harcourt College Pub
Date published: 1994
ISBN-13: 9780030035883
ISBN: 0030035880
传送门11：https://bbs.pinggu.org/thread-1102992-1-1.html
https://bbs.pinggu.org/thread-589127-1-1.html


Swensen, David F. Pioneering Portfolio Management. An Unconventional Approach to Institutional Investment, New York: The Free Press, 2000.
人大中译本传送门：http://ishare.iask.sina.com.cn/download/explain.php?fileid=17932652


Tobin, James with Stephen Golub. Money, Credit, and Capital, Boston: Irwin-McGraw Hill, 1998.貌似是中译本的传送门12：https://bbs.pinggu.org/thread-967411-1-1.html