Economic Fundamentals of Financial Markets

Bart Taub
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Bart Taub: University of Glasgow, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book develops the theory of interest rates for finance students, inclusive of risk considerations that are deeply relevant in their other finance courses that take account of modern macroeconomics and finance. The book starts with deterministic growth theory and the associated asset prices, then introduces stochastic elements, encompassing fundamental portfolio theory and the capital asset pricing model, and ends with tests of macroeconomic models using a state price approach. The entire book builds on tractable examples using a continuous time approach, enabling a unification of growth models with finance models.

Keywords: Finance; Financial Markets; Stochastic Control; Portfolio Management; Optimal Portfolio Management; Interest Rate; Risk Premium; Option Pricing; Black-Scholes Formula; Capital Asset Pricing Model; CAPM; Economic Growth; Firm Value; Equity Pricing; Risk-Neutral Measure; Equity Premium Puzzle; Risk-free Rate Puzzle (search for similar items in EconPapers)
JEL-codes: C61 C63 E44 G11 G12 (search for similar items in EconPapers)
Date: 2025
ISBN: 9789819814961
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