Financial Markets Theory

Emilio Barucci is full professor of financial mathematics at the Politecnico di Milano, Italy. He holds a Laurea degree from the University of Florence, Italy. His research interests include financial markets, portfolio optimization, and banking. He has extensive experience in working as an independent director in the financial sector.Claudio Fontana is assistant professor at Paris Diderot University (Paris VII), France. He holds a Master of Advanced Studies in Finance from the ETH Zurich and the University of Zurich, Switzerland, and a PhD in Mathematical Sciences from the University of Padua, Italy. His research focuses on mathematical finance as well as the applications of stochastic processes.

“The book concerns the most important and discussed issues of the modern financial markets theory. It provides a detailed and comprehensive review of theories, models, puzzles and open problems discussed in the literature concerning quantitative finance. … the book presents also a broad survey of empirical literature, including the most recent findings. The list of references contains more than one and half thousand positions.” (Paweł Kliber, zbMATH 1390.91001, 2018)

• Prerequisites.- Choices under Risk.- Portfolio, Insurance and Saving Decisions.- General Equilibrium Theory and No-arbitrage.- Factor Asset Pricing Models: CAPM and APT.- Multi-period Models: Portfolio Choice, Equilibrium and No-arbitrage.- Multi-period Models: Empirical Tests.- Information and Financial Markets.- Uncertainty, Rationality and Heterogeneity.- Financial Markets Microstructure.- Solutions of Selected Exercises.