Financial Markets Theory
Subtitle: Equilibrium, Efficiency and Information
By: by Emilio Barucci
Series: Springer Finance, 1616-0533; Springer finance
Publisher: Springer London; Imprint; Springer
Published: 2003
Place of publication: London
Language: eng
Format: [electronic resource] :
Number of pages: 467
ISBN-13: 9781447100898
Subjects: Mathematics; Finance
Description: <STRONG>Financial Markets Theory</STRONG> presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aversion, fundamental asset pricing theorem, portfolio frontier, CAPM, CCAPM, APT, the Modigliani-Miller Theorem, no arbitrage/risk neutral evaluation and information in financial markets. Starting from an analysis of the empirical tests of the above theories, the author provides a discussion of the most recent literature, pointing out the main advancements within classical asset pricing theory and the new approaches designed to address open problems (e.g. behavioural finance). It is the only textbook to address the economic foundations of financial markets theory from a mathematically rigorous standpoint, and to offer a self-contained critical discussion, based on empirical results. <STRONG>Financial Markets Theory</STRONG> is an advanced book, well-suited for a first graduate course in financial markets, economics or financial mathematics. It is self-contained and introduces topics in a setting accessible to economists and practitioners equipped with a basic mathematical background. For those not acquainted with standard microeconomic theory, the tools needed to follow the analysis are presented early in the book. The approach makes this a vital handbook for practitioners in insurance, banking, investment funds and financial consultancy, as well as an excellent graduate-reference textbook.
Table of contents: title: Prerequisites; title: Choices under Risk; title: Stochastic Dominance, Mutual Funds Separation and Portfolio Frontier; title: General Equilibrium Theory and Risk Exchange; title: Risk Premium: Capital Asset Pricing Model and Asset Pricing Theory; title: Multiperiod Market Models; title: Information and Financial Markets; title: Uncertainty, Rationality, Heterogeneity; title: Financial Markets Microstructure; title: Corporate Finance; title: Intermediation and Regulation; title: References; title: Index.