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1、金融经济学 王江 中国人民大学出版社 2006 1 2 Qiang Liu School of Finance SWUFE Chengdu China 金融课程体系 高级微观经济学 计量经济学 金融经济学金融经济学 资本市场理论 实证公司金融 实证金融 公司金融 1 3 Qiang Liu School of Finance SWUFE Chengdu China ManKiw s Principles of Economics 1 People face tradeoffs 2 The cost of something is what you give up to get it 3 Rat
2、ional people think at the margin 4 People responds to incentives 5 Trade can make everyone better off 6 Markets are usually a good way to organize economic activity 7 Government can sometimes improve market outcomes 8 A country s standard of living depends on its ability to produce goods and service
3、s 9 Prices rise when the government prints too much money 10 Society faces a short run tradeoff between inflation and unemployment 1 4 Qiang Liu School of Finance SWUFE Chengdu China Liu s Principles of Finance 1 People prefer more to less to a point 2 Rational people are risk averse 3 People accept
4、 fair games 4 Risk neutral prices all 5 Uncertainty means risk variation volatility 6 High risk possible high reward 7 Diversification reduces risk 8 Extremely hard to beat markets 9 Arbitrage is highly unlikely 10 Cash flow discount 1 5 Qiang Liu School of Finance SWUFE Chengdu China Financial Econ
5、omics 用经济学的一般原理和方法分析 金融所涉及的基本经济问题 假设 公理 逻辑与数学 经济科学 1 6 Qiang Liu School of Finance SWUFE Chengdu China Finance study of how to allocate scarce resources over time Bodie Osborne 价格百 分比变化随机 1965 Samuelson 信息随机 1 22 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 1973年年期权定价期权定价 Black Scholes 1
6、973 The Pricing of Options and Corporate Liabilities Journal of Political Economy Merton 1973 Theory of rational option pricing Bell J Econ Mgmt Sci Nobel 1997 1 23 Qiang Liu School of Finance SWUFE Chengdu China Fischer Black 1938 1995 Black model approximation Black Derman Toy model Black Litterma
7、n model The CAPM man MM funds only Cox Fischer is the only real genius I ve ever met in finance 1 24 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 1973年 Intertemporal CAPM Merton 1973 An Intertemporal Capital Asset Pricing model Econometrica 1979年 partial equilibrium资产定价 Breeden 1979 An I
8、ntertemporal Asset Pricing model with stochastic consumption Journal of financial economics 1978年 离散时间general equilibrium资产定价 Lucas 1978 Asset Prices in an exchange economy Econometrica 1 25 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 1976年 Risk neutral pricing Cox Ross 1976 A survey of
9、 some new results in financial options pricing theory Journal of Finance Cox Ross 1976 The valuation of options for alternative stochastic processes Journal of Financial Economics 1979年 鞅表示理论 Harrison Kreps 1979 Martingales and Arbitrage in Multiperiod Securities Markets Journal of Economic Theory 1
10、 26 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 1976年 APT Ross 1976 The Arbitrage Theory of Capital Asset Pricing Journal of Economic Theory 1979年 二叉树期权定价 Cox Ross Rubinstein 1979 Option Pricing A Simplified Approach Journal of Financial Economics 1 27 Qiang Liu School of Finance SWUFE
11、Chengdu China 现代金融理论 续 1982年ARCH Engle 1982 Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of UK Inflation Econometrica Nobel 2003 1 28 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 1987 89年 完全市场动态随机优化控制 静态状态空 间表示等型 Cox Huang 1989 Optimal consumption and port
12、folio policies when asset prices follow a diffusion process Journal of Economic Theory Karatzas Lehoczky Shreve 1987 Optimal portfolio and consumption decisions for a small investor on a finite horizon SIAM J Control Optimization 1985年 连续交易下的效率 Duffie Chi fu Huang 1985 Implementing Arrow Debreu Equi
13、libria by Continous Trading of Few Long Lived Securities Econometrica 1 29 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 Vasicek 1977 利率模型 Ho Lee 1986 1992 HJM Bond Pricing and the Term Structure of Interest Rates A New Methodology for Contingent Claims Valuation Econometrica Duffie Singl
14、eton 1999 Modeling Term Structure of Defaultable Bonds Review of Financial Studies BGM 1997 LIBOR 市场模型 Longstaff Schwartz 2001 Valuing American options by simulation A simple least squares approach Review of Financial Studies 1 30 Qiang Liu School of Finance SWUFE Chengdu China 现代金融理论 续 1979 1990年代
15、非对称信息分析方法的运 用及公司财务理论的发展 1990年代 行为金融理论的发展 1 31 Qiang Liu School of Finance SWUFE Chengdu China Informational Asymmetries Akerlof Spence Stiglitz Nobel 2001 Adverse selection ex ante hidden type Moral hazard interim hidden action Costly state verification ex post 1 32 Qiang Liu School of Finance SWUFE
16、 Chengdu China Behavioral Economics Kahneman Smith Nobel 2002 prospect theory Kahneman Tversky 1979 experimental Smith Allais paradox Nobel 1988 Ellsberg paradox 1 33 Qiang Liu School of Finance SWUFE Chengdu China 群星灿烂 26 US Jewish Nobel Norbert Wiener John von Neumann George Akerlof Kenneth Arrow Robert Aumann Gary Becker Robert Fogel Milton Friedman John Harsanyi Daniel Kahneman Leonid Kantorovich Lawrence Klein Paul Krugman Simon Kuznets Wassily Leontief Harry Markowitz Eric Maskin Robert Me
