Lecture 9 of 26Lecture 9
Yield Curve Arbitrage
John Geanakoplos · Yale University
Credits and licence
- From
- Financial Theory, Yale University (at Open Yale Courses)
- Licence
- CC BY-NC-SA 3.0 US, as Open Yale Courses states it. Non-commercial use only.
- Attribution
- Open Yale Courses, Yale University. Licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 3.0 licence; third-party material in the lectures is not.
- Who can watch
- Tweens profiles and older. How courses are placed
All the lectures
- Why Finance?
- Utilities, Endowments, and Equilibrium
- Computing Equilibrium
- Efficiency, Assets, and Time
- Present Value Prices and the Real Rate of Interest
- Irving Fisher's Impatience Theory of Interest
- Shakespeare's Merchant of Venice and Collateral, Present Value and the Vocabulary of Finance
- How a Long-Lived Institution Figures an Annual Budget; Yield
- Yield Curve Arbitrage
- Dynamic Present Value
- Social Security
- Overlapping Generations Models of the Economy
- Demography and Asset Pricing: Will the Stock Market Decline when the Baby Boomers Retire?
- Quantifying Uncertainty and Risk
- Uncertainty and the Rational Expectations Hypothesis: Applications to Predicting Stock Prices, Default Probabilities, and Hyperbolic Discounting
- Backward Induction and Optimal Stopping Times
- Callable Bonds and the Mortgage Prepayment Option
- Modeling Mortgage Prepayments and Valuing Mortgages
- History of the Mortgage Market: A Personal Narrative
- Dynamic Hedging
- Dynamic Hedging and Average Life
- Risk Aversion and the Capital Asset Pricing Theorem
- The Mutual Fund Theorem and Covariance Pricing Theorems
- Risk, Return, and Social Security
- The Leverage Cycle and the Subprime Mortgage Crisis
- The Leverage Cycle and Crashes