In the last forty years, the theory of financial markets has become a growing field of interest for academics as well as for practitioners. We present here an overview of the main topics.

In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the effect of uncertainty on the...

In this paper, a novel approach is implemented to quantify the effects on poverty and inequality of the financial crisis that hit Indonesia in 1997. It relies on the combination of a microsimulation model and a standard CGE model. These two models are used in a sequential fashion in order to...

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and...

The objective of this paper is to investigate empirically whether there is any evidence that Foreign Direct investment (fdi) has had a positive impact on productivity in Middle East and North African (meda-9) countries. To this end, a panel data set over the period 1960-2004 was used. Our...

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...