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Financial Markets Theory

Equilibrium, Efficiency and Information

  • Textbook
  • © 2003

Overview

Authors:
  1. Emilio Barucci

    1. Dipartimento di Statistica e matematica applicata all’economia, Università di Pisa, Italy

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  • Provides up-to-date economic perspective
  • The only book to assess the how the empirical testing of financial markets has motivated research
  • Ideal as a graduate textbook, with examples and exercises
  • Also suitable as a handbook for practitioners
  • Self-contained – tools for understanding the economic analysis are provided and mathematical models presented in discrete time/finite state space for simplicity

Part of the book series: Springer Finance (FINANCE)

Part of the book sub series: Springer Finance Textbooks (SFTEXT)

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Table of contents (11 chapters)

  1. Front Matter

    Pages i-xii
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  2. Prerequisites

    • Emilio Barucci
    Pages 1-11

  3. Choices under Risk

    • Emilio Barucci
    Pages 13-42

  4. Stochastic Dominance, Mutual Funds Separation and Portfolio Frontier

    • Emilio Barucci
    Pages 43-70

  5. General Equilibrium Theory and Risk Exchange

    • Emilio Barucci
    Pages 71-110

  6. Risk Premium: Capital Asset Pricing Model and Asset Pricing Theory

    • Emilio Barucci
    Pages 111-141

  7. Multiperiod Market Models

    • Emilio Barucci
    Pages 143-216

  8. Information and Financial Markets

    • Emilio Barucci
    Pages 217-251

  9. Uncertainty, Rationality and Heterogeneity

    • Emilio Barucci
    Pages 253-307

  10. Financial Markets Microstructure

    • Emilio Barucci
    Pages 309-330

  11. Corporate Finance

    • Emilio Barucci
    Pages 331-355

  12. Intermediation and Regulation

    • Emilio Barucci
    Pages 357-390

  13. Back Matter

    Pages 391-467
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Keywords

About this book

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.

Authors and Affiliations

  • Dipartimento di Statistica e matematica applicata all’economia, Università di Pisa, Italy

    Emilio Barucci

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