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. Advance praise for the second edition:
"Financial Markets Theory is comprehensive, rigorous, and yet
highly accessible. With their second edition, Barucci and Fontana
have set an even higher standard!"Darrell Duffie, Dean Witter
Distinguished Professor of Finance, Graduate School of Business,
Stanford University "This comprehensive book is a great
self-contained source for studying most major theoretical aspects
of financial economics. What makes the book particularly useful is
that it provides a lot of intuition, detailed discussions of
empirical implications, a very thorough survey of the related
literature, and many completely solved exercises. The second
edition covers more ground and provides many more proofs, and it
will be a handy addition to the library of every student or
researcher in the field."Jaksa Cvitanic, Richard N. Merkin
Professor of Mathematical Finance, Caltech "The second edition of
Financial Markets Theory by Barucci and Fontana is a superb
achievement that knits together all aspects of modern finance
theory, including financial markets microstructure, in a consistent
and self-contained framework. Many exercises, together with their
detailed solutions, make this book indispensable for serious
students in finance."Michel Crouhy, Head of Research and
Development, NATIXIS
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