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
