Financial Markets Theory Equilibrium, Efficiency and Information
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 arbitr
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Editorial Board M. Avellaneda
G. Barone-Adesi M.Broadie M.H.A. Davis c. Klilppelberg E.Kopp W. Schachermayer
Springer-Verlag London Ltd.
Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
M. Amman, Credit Risk Valuation: Methods, Models, and Application (2001)
N.H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (1998)
T.R. Bielecki and M. Rutkowski, Credit Risk: Modeling, Valuation and Hedging (2001) D. Brigo amd F. Mercurio, Interest Rate Models: Theory and Practice (2001) R. Buff, Uncertain Volatility Models - Theory and Application (2002) G. Deboeck and T. Kohonen (Editors), Visual Explorations in Finance with SelfOrganizing Maps (1998)
R.I. Elliott and P.E. Kopp, Mathematics of Financial Markets (1999) H. Geman, D. Madan, S.R. Pliska and T. Vorst (Editors), Mathematical FinanceBachelier Congress 2000 (2001) Y.-K. Kwok, Mathematical Models of Financial Derivatives (1998) A. Pelsser, Efficient Methods for Valuing Interest Rate Derivatives (2000) M. Yor, Exponential Functionals of Brownian Motion and Related Processes (2001) R. Zagst, Interest-Rate Management (2002)
R.A. Dana and M. /eanblanc, Financial Markets in Continuous Time (2002)
Emilio Barucci
Financial Markets Theory Equilibrium, Efficiency and Information
With 14 Figures
,
Springer
Emilio Barucci Dipartimento di Statistica e matematica applicata all'economia Universita di Pisa Italy
British Library Cataloguing in Publication Data Barucci, Emilio Financial markets theory : equilibrium, efficiency and information. - (Springer finance) 1. Finance - Mathematical models I. Title 332'.015118 ISBN 978-1-4471-1093-4 ISBN 978-1-4471-0089-8 (eBook) DOI 10.1007/978-1-4471-0089-8 Library of Congress Cataloging-in-Publication Data A catalog record for this book is available from the Library of Congress Apart from any fair dealing for the purposes of research or private study, or criticism or review, as permitted under the Copyright, Designs and Patents Act 1988, this publication may only be reproduced, stored or transmitted, in any form or by any means, with the prior permission in writing of the publishers, or in the case of reprographic reproduction in accordance with the terms of licences issued by the Copyright Licensing Agency. Enquiries concerning reproduction outside those terms should be sent to the publishers. Springer Finance series ISSN 1616-0533 ISBN 978-1-4471-1093-4 http://www.springer.co.uk © Springer-Verlag London 2003
Originally published by Springer-Verlag London Limited in 2003
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