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© 2017

Financial Markets Theory

Equilibrium, Efficiency and Information

Benefits

  • Provides an accessible and rigorous introduction to classical and advanced financial economics

  • Contains more than two hundred exercises, many of which with full solutions

  • Presents the theory as well as an analysis of the empirical results

  • Discusses advanced asset pricing models in detail

  • A separate solutions manual is available for course instructors

Textbook

Part of the Springer Finance book series (FINANCE)

Also part of the Springer Finance Textbooks book sub series (SFTEXT)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Emilio Barucci, Claudio Fontana
    Pages 1-14
  3. Emilio Barucci, Claudio Fontana
    Pages 15-54
  4. Emilio Barucci, Claudio Fontana
    Pages 55-121
  5. Emilio Barucci, Claudio Fontana
    Pages 123-200
  6. Emilio Barucci, Claudio Fontana
    Pages 201-253
  7. Emilio Barucci, Claudio Fontana
    Pages 255-345
  8. Emilio Barucci, Claudio Fontana
    Pages 347-395
  9. Emilio Barucci, Claudio Fontana
    Pages 397-477
  10. Emilio Barucci, Claudio Fontana
    Pages 479-581
  11. Emilio Barucci, Claudio Fontana
    Pages 583-659
  12. Emilio Barucci, Claudio Fontana
    Pages 661-763
  13. Back Matter
    Pages 765-836

About this book

Introduction

This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises.

Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure.

This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained.

Keywords

asset pricing portfolio selection market microstructure market efficiency market equilibrium risk factors absence of arbitrage capital asset pricing model information in financial markets equity premium puzzle MSC (2010): 91B06, 91B08, 91B16, 91B24, 91B25, 91B30, 91B50

Authors and affiliations

  1. 1.Dipartimento di MatematicaPolitecnico di MilanoMilanoItaly
  2. 2.Laboratoire de Probabilités et Modèles AléatoiresUniversité Paris Diderot (Paris 7)ParisFrance

About the authors

Emilio Barucci is full professor of financial mathematics at the Politecnico di Milano, Italy. He holds a Laurea degree from the University of Florence, Italy. His research interests include financial markets, portfolio optimization, and banking. He has extensive experience in working as an independent director in the financial sector.


Claudio Fontana is assistant professor at Paris Diderot University (Paris VII), France. He holds a Master of Advanced Studies in Finance from the ETH Zurich and the University of Zurich, Switzerland, and a PhD in Mathematical Sciences from the University of Padua, Italy. His research focuses on mathematical finance as well as the applications of stochastic processes.

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

“The book concerns the most important and discussed issues of the modern financial markets theory. It provides a detailed and comprehensive review of theories, models, puzzles and open problems discussed in the literature concerning quantitative finance. … the book presents also a broad survey of empirical literature, including the most recent findings. The list of references contains more than one and half thousand positions.” (Paweł Kliber, zbMATH 1390.91001, 2018)