I am in the process of writing a new PhD level textbook, Financial Models and Theories. It will be in four parts, Single Period Models, Multi-Period Models, Derivatives, and Models with Heterogeneous Information. Preliminary versions of some chapters are listed below with links to pdf files.  Areas highlighted in yellow contain material I wish to check and/or update.

My philosophy in writing this book is to temper rigor with clarity.  Proofs are not the most general but are provided to give the proper intuition. For example, proofs may assume discrete spaces or differentiable functions when Theorems are are true more generally.  Many examples and illustrations are also provided as I’ve found the best way I can understand complicated ideas is to see how they work in specific case.

Feel free to give copies of the pdf files to others.

If you find any errors, particularly in the math or proofs, please let me know.

Part I Single Period Models

• I-01 Utility Theory
• I-02 Risk
• I-03 Risk Aversion
• I-04 Arbitrage
• I-05 Complete Markets
• I-06 Mean-Variance Theory and the CAPM
• I-07 Extensions to the CAPM
• I-08 The Portfolio Problem
• I-09 Utility-Based Models
• I-10 Efficient Portfolios
• I-11 APT
• I-12 Mutual Fund Separation Theorems
• I-13 Probability Weighting
• I-14 Cumulative Prospect Theory