Ranked #1
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
31 Mar 2011
•
1hr 12mins
Ranked #2
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
31 Mar 2011
•
1hr 12mins
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Ranked #3
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
31 Mar 2011
•
1hr 12mins
Ranked #4
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
31 Mar 2011
•
1hr 10mins
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The Joe Rogan Experience
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Ranked #5
09 - Yield Curve Arbitrage
09 - Yield Curve Arbitrage
Where can you find the market rates of interest (or equivalently the zero coupon bond prices) for every maturity? This l... Read more
29 Mar 2011
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1hr 15mins
Ranked #6
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
31 Mar 2011
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1hr 16mins
Ranked #7
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
31 Mar 2011
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1hr 16mins
Ranked #8
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
31 Mar 2011
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1hr 19mins
Ranked #9
15 - Uncertainty and the Rational Expectations Hypothesis
15 - Uncertainty and the Rational Expectations Hypothesis
According to the rational expectations hypothesis, traders know the probabilities of future events, and value uncertain ... Read more
31 Mar 2011
•
1hr 16mins
Ranked #10
10 - Dynamic Present Value
10 - Dynamic Present Value
In this lecture we move from present values to dynamic present values. If interest rates evolve along the forward curve,... Read more
29 Mar 2011
•
1hr 9mins
