在网上看到的LSE新生代学者，个人觉得这是一份非常前沿的讲义，包含了金融经济学理论，实证的各个方面，并且融合作者的前沿研究成果。
包括经典CAPM,一般均衡CAPM，连续时间金融等金融基础，极大似然估计，gMM等实证方法，还有实证中的puzzle，市场波动率，市场不完全，
期权，利率，信用衍生品定价。作者主页：
http://personal.lse.ac.uk/mele/
作者本人最近在JFE，RFS发表论文多篇。
Published work "Information Linkages and Correlated Trading," Review of Financial Studies 23, 203-246 (2010) (with P. Colla)
"Simulated Nonparametric Estimation of Dynamic Models," Review of Economic Studies 76, 413-450 (2009) (with F. Altissimo)
"Asymmetric Stock Market Volatility and the Cyclical Behavior of Expected Returns," Journal of Financial Economics 86, 446-478 (2007)
"Approximating Volatility Diffusions with CEV-ARCH Models," Journal of Economic Dynamics and Control 30, 931-966 (2006) (with F. Fornari)
"Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies 16, 679-716 (2003) "Recovering the Probability Density Function of Asset Prices using GARCH Models as Diffusion Approximations," Journal of Empirical Finance 8, 83-110 (2001) (with F. Fornari)
Antonio Mele
London School of Economics & Political Science
June 2010
The present Lecture Notes in Financial Economics are based on my teaching notes for advanced
undergraduate and graduate courses in financial economics, macroeconomic dynamics, financial
econometrics and financial engineering. Part I, “Foundations,” develops the fundamentals tools
of analysis used in Part II and Part III. These tools span such disparate topics as classical
portfolio selection, dynamic consumption- and production- based asset pricing, in both discrete
and continuous-time, the intricacies underlying incomplete markets and some other market
imperfections and, finally, econometric tools comprising maximum likelihood, methods of moments,
and the relatively more modern simulation-based inference methods. Part II, “Asset
pricing and reality,” is about identifying the main empirical facts in finance and the challenges
they pose to financial economists: from excess price volatility and countercyclical stock market
volatility, to cross-sectional puzzles such as the value premium. This second part reviews the
main models aiming to take these puzzles on board. Part III, “Applied asset pricing theory,”
aims just to this: to use the main tools in Part I and cope with the main challenges occurring
in actual capital markets, arising from option pricing and trading, interest rate modeling and
credit risk and their associated derivatives. In a sense, Part II is about the big puzzles we face
in fundamental research, while Part III is about how to live within our current and certainly
unsatisfactory paradigms, so as to cope with demand for intellectual expertise
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