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1、IntroductiontoFinancialEconomics1OverviewoftheCourseIntroduction-Financeanditsrootsineconomics-generalgeneralequilibriumtheory,microeconomicsandmacroeconomics.ContingentClaimEconomies-commodityspaces,preferences,generalequilibrium,representativeagents.AssetEconomies-financialassets,Radnereconom
2、ies,Arrow-Debreupricing,completeandincompletemarkets.RiskyDecisions-expectedutilityparadigm.StaticFinanceEconomy-risksharing,representativevNMagent,sdf’s,equilibriumpriceofriskandtime.DynamicFinanceEconomies-dynamictradingetc.TakingTheorytotheData:empiricalpapers.2SomeBackgroundIntroductiontoth
3、efoundationsofmodernfinancetheorylinkingittorootsinGEandeconomictheory.MathBackground:basicsofvectorspaces,statistics,maximizationsubjecttoconstraintsandcalculus(SimonandBlume,1994,MathematicsforEconomists,WWNorton)isthelevelrequired.OtherFinancetexts:LeroyandWerner,DanthineandDonaldson,Campbel
4、l,LoandMackinlay,Gollier,andCochrane.Classictexts:HuangandLitzenbergerandIngersoll.3WhatisFinancialEconomicsabout?Finance–Howpricesaredeterminedinfinancialmarkets?andHowriskandcapitalisallocatedacrossagentsandacrosstheeconomy?Individualagentstakedecisionsaboutsavingsandinvestmentswithregardtoth
5、erisktheycanbear.Ifmarketsworkwell,riskandcapitalwillbeallocatedtoprojectsthatgetthebestriskreturnprofile.Financetheoryalsousefulforpolicyanalysistoassesswelfaregainsandlosses.OriginsofFinance–drawsonGeneralEquilibriumTheory,MacroeconomicsandMicroeconomictheory.4WhatisGeneralEquilibriumabout?De
6、scribesthebehaviorofaneconomy-focusingattheoptimalbehaviorofeachmemberofthesetofagentsintheeconomyandlooksforapointofmutualcompatibility.Underlyingassumptions:Agentsdonotinteractwitheachotherdirectlybutthroughmarkets.Marketsareanonymous-onlyprices(or“exchangerates”fordifferentcommoditiesarepost
7、ed)Agentsaresmallrelativetothemarketi.e.thereisperfectcompetition.SuchmodelsarecalledWalrasianinhonourofLeonWalraswhowasthefirsttoformulatesuchamodel..5ModernGeneralEquilibriumtheoryModernGEtheory-followsArrowandDebreu-allowsforal
