Author: Günter BambergPublisher: Springer Science & Business Media
ISBN: 3642709958
Category : Business & Economics
Languages : en
Pages : 233
Book Description
Capital Market Equilibria
Author: Günter BambergPublisher: Springer Science & Business Media
ISBN: 3642709958
Category : Business & Economics
Languages : en
Pages : 233
Book Description
Capital Market Equilibria
Author: Gunter BambergPublisher:
ISBN: 9783642709968
Category : Capital market
Languages : en
Pages : 242
Book Description
Capital Market Equilibrium and Corporate Financial Decisions
Author: Richard C. StapletonPublisher: JAI Press
ISBN:
Category : Capital market
Languages : en
Pages : 194
Book Description
Financial Markets Theory
Author: Emilio BarucciPublisher: Springer
ISBN: 1447173228
Category : Mathematics
Languages : en
Pages : 836
Book Description
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
Capital Market Equilibrium and Efficiency
Author: James L. BickslerPublisher: Free Press
ISBN:
Category : Business & Economics
Languages : en
Pages : 664
Book Description
Partial- Vs. General-equilibrium Models of the International Capital Market
Author: Bernard DumasPublisher:
ISBN:
Category : Capital market
Languages : en
Pages : 72
Book Description
In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide an explanation for, or take into account, a number of stylized facts of international finance: UIRP deviations, home-equity preference, PPP deviations and their persistence, consumption behavior in relation to wealth. In addition, I ask which approach is more likely in future research to help us identify the relevant state variables of the economy. None of the models satisfactorily explains the stylized facts but the CAPM approach affords the most productive avenue for empirical research in the immediate future.
Financial Markets Theory
Author: Emilio BarucciPublisher: Springer Science & Business Media
ISBN: 1447100891
Category : Business & Economics
Languages : en
Pages : 473
Book Description
A presentation of classical asset pricing theory, this textbook is the only one 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. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
Two-Person Dynamic Equilibrium
Author: Bernard DumasPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
When several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly between them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors' portfolio choice and the equilibrium in the capital market. Although every financial economist is aware of this difficulty, to our knowledge, this issue has never been analyzed in detail. The current paper features two investors, with the same degree of impatience, one of them being logarithmic and the other having an isoelastic utility function. They face one risky constant-return-to-scale stationary production opportunity and they can borrow and lend to and from each other. The behavior of the allocation of wealth is characterized, along with the behavior of the rate of interest and that of the security market line. The two main results are: (1) investors in equilibrium do revise their portfolios over time so that some trading takes place, (2) provided some conditions are satisfied, the allocation of wealth admits a steady-state distribution at an interior point; this is in contrast to the certainty case, where one investor in the long run holds all the wealth. The existence of trading opens the way to a theory of capital flows and market trading volume
Financial Securities
Author: Blaise Allaz Bernard DumasPublisher: Springer
ISBN: 1489971165
Category : Business & Economics
Languages : en
Pages : 385
Book Description
Finance is an area of business practice that has been deeply influenced by theoretical developments. This book provides the basic theoretical foundations necessary to understand how three broad classes of assets - stocks, options and bonds - are valued on financial markets, while developing the crucial concepts of market equilibrium and arbitrage. The analysis is rigorous, yet successfully bridges the gap between mathematical and non-mathematical approaches to provide a book which will be of interest to both academics and practitioners.
Author: