Financial Markets Theory

Equilibrium, Efficiency and Information

Emilio Barucci

480 pages, parution le 09/04/2003

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Résumé

Financial Markets Theory 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.

Financial Markets Theory 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.

Contents

Prerequisites
Choices under Risk
Stochastic Dominance, Mutual Funds Separation and Portfolio Frontier
General Equilibrium Theory and Risk Exchange
Risk Premium: Capital Asset Pricing Model and Asset Pricing Theory
Multiperiod Market Models
Information and Financial Markets
Uncertainty, Rationality, Heterogeneity
Financial Markets Microstructure
Corporate Finance
Intermediation and Regulation

References
Index

L'auteur - Emilio Barucci

Universita di Pisa, Italy

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Emilio Barucci
Parution	09/04/2003
Nb. de pages	480
Format	16 x 24
Couverture	Relié
Poids	915g
Intérieur	Noir et Blanc
EAN13	9781852334697
ISBN13	978-1-85233-469-7