PROJECT: New finance lecture series — finance.quantecon.org (next after lecture-dp)

[mmcky]

Important

FOR DISCUSSION AFTER dp.quantecon.org PROJECT

Summary

Propose a new course-shaped lecture series on Finance, published at finance.quantecon.org, as the next series to follow lecture-dp / dp.quantecon.org.

The idea is from @HumphreyYang; @jstac is supportive. This issue is a home to scope it out and track the work.

Background

We are moving away from the old difficulty-organised monolith (lecture-python-intro / lecture-python.myst / lecture-python-advanced.myst) and the briefly-trialled topic-based split (see the retired lecture-stats / lecture-eqm / lecture-dynamics / lecture-tools-techniques / lecture-dps / lecture-dle), in favour of a series of course-shaped
publications — each one a curated, sequenced curriculum with its own URL.

lecture-dp (#258) is the first of these. Finance is a natural second target because:

• @thomassargent30 and @HumphreyYang have contributed a substantial body
  of new finance-focused material in lecture-python.myst over the last
  ~12 months that is currently scattered across the intermediate series.
• Several long-standing finance lectures (Lucas asset pricing, Black–Litterman,
  the BCG complete/incomplete-markets pair, asset pricing with Lucas–Prescott–Hansen
  preferences) live in lecture-python-advanced.myst and would slot
  naturally into a sequenced finance curriculum.
• There is no existing QuantEcon publication that presents finance as a
  coherent course, so the addition is additive rather than reorganisational.

Candidate lectures

Recent contributions from @thomassargent30 and @HumphreyYang (in lecture-python.myst)

Lecture	Topic	Introduced
affine_risk_prices	Affine models of asset prices	2026-03
hansen_singleton_1982	GMM estimation of Euler equations (Hansen–Singleton 1982)	2026-02
hansen_singleton_1983	Stochastic consumption, risk aversion and asset returns (Hansen–Singleton 1983)	2026-02
ross_recovery	Ross's Recovery Theorem	2026-04
misspecified_recovery	Misspecified recovery	2026-04
information_market_equilibrium	Information and market equilibrium	2026-04
survival_recursive_preferences	Survival and long-run dynamics under recursive preferences	2026-04
harrison_kreps	Speculative pricing under heterogeneous beliefs (substantively extended Oct 2025)	(2020, major rewrite 2025)

Existing finance lectures that could be pulled in

From lecture-python.myst:

• markov_asset — Markov asset pricing
• ge_arrow — General equilibrium with Arrow securities

From lecture-python-advanced.myst:

• asset_pricing_lph — asset pricing with Lucas–Prescott–Hansen preferences
• black_litterman — Black–Litterman portfolio construction
• BCG_complete_mkts, BCG_incomplete_mkts — the BCG markets pair
• orth_proj — orthogonal projection (prerequisite material)
• lucas_model — Lucas tree
• lucas_asset_pricing_dles — Lucas pricing in dynamic linear economies

(The retired lecture-dynamics topic site grouped most of these under its Asset Pricing & Finance section, which is essentially a sketch of the curriculum proposed here. See topics-series-work/lecture-dynamics.md for the historical mapping.)

Open questions for @thomassargent30 / @HumphreyYang / @jstac

• Curriculum order. What is the natural pedagogical sequence? A plausible
  arc: state-pricing foundations → Markov / Lucas-tree pricing → recursive
  preferences and long-run risk → Hansen–Singleton estimation → recovery
  theorems → heterogeneous beliefs (Harrison–Kreps) → portfolio choice
  (Black–Litterman) → market-incompleteness (BCG). Confirm or amend.
• Prerequisites. Is the prerequisite the lecture-dp series, the
  intermediate lecture-python.myst, or a brief in-series primer?
• Scope of inclusion. Pull from lecture-python-advanced.myst too,
  or finance-only with intermediate-level entry point?
• URL. finance.quantecon.org — confirm no clash and reserve.
• Repo name. lecture-finance (matching lecture-dp)?
• Any unpublished finance material in the pipeline that should be
  written into this series rather than retrofitted later?

Tasks (to be expanded once scope is agreed)

• Confirm curriculum and ordering with @thomassargent30 / @HumphreyYang / @jstac
• Reserve finance.quantecon.org subdomain
• Create QuantEcon/lecture-finance repo (mirror lecture-dp setup)
• Migrate / cross-reference candidate lectures
• GitHub Actions + gh-pages artifact deployment
• Add to the course-series index on quantecon.org
• Set up source-lecture redirects (as done for lecture-dp)

Related

• Create new DP lecture series #258 — Create new DP lecture series (the first course-shaped series; template for this work)
• PROJECT: Custom Course Builder — bespoke lecture packs (book + syllabus) #310 — PROJECT: Custom Course Builder (the longer-term productisation of this pattern)
• Plan: Publish DP books as website + prepare for AI training discoverability #301 — Plan: Publish DP books as website
• Retired topic-series mapping (for historical context):
  https://gist.github.com/mmcky/01aa8a0bff146ab89e6af760640fc0df

[HumphreyYang]

Many thanks @mmcky,

There is one more lecture in the pipeline at the moment on Long-term Risk: An Operator Approach (long_run_risk_operator.md) that should go into the finance series (in bray_kreps branch of lecture-python.myst).

I am aiming to get it merged this week.

[jstac]

A classic paper! Ye might be willing to take a look at it for us. She is very familiar with the contents.

[HumphreyYang]

A classic paper! Ye might be willing to take a look at it for us. She is very familiar with the contents.

Thanks @jstac, that's also what I thought! I told Tom that you and Ye will like it.

Perhaps we can add you and Ye's paper as a sequel once it is out.