This book is a textbook at the Ph.D. or Masters in Quantitative Finance level. It covers single-period, discrete-time, and continuous-time financial models. It provides introductions to many current research topics, and each chapter contains exercises.

• I. SINGLE-PERIOD MODELS


• 1. Utility and Risk Aversion


• 2. Portfolio Choice


• 3. Stochastic Discount Factors


• 4. Equilibrium and Efficiency


• 5. Mean-Variance Analysis


• 6. Factor Models


• 7. Representative Investors


• II. DYNAMIC MODELS


• 8. Dynamic Securities Markets


• 9. Dynamic Portfolio Choice


• 10. Dynamic Asset Pricing


• 11. Explaining Puzzles


• 12. Brownian Motion and Stochastic Calculus


• 13. Continuous-Time Markets


• 14. Continuous-Time Portfolio Choice and Pricing


• 15. Continuous-Time Topics


• III. DERIVATIVE SECURITIES


• 16. Option Pricing


• 17. Forwards, Futures, and More Option Pricing


• 18. Term Structure Models


• 19. Perpetual Options and the Leland Model


• 20. Real Options and q Theory


• IV. BELIEFS, INFORMATION, AND PREFERENCES


• 21. Heterogeneous Beliefs


• 22. Rational Expectations Equilibria


• 23. Learning


• 24. Information, Strategic Trading, and Liquidity


• 25. Alternative Preferences

Kerry Back is the J. Howard Creekmore Professor of Finance at Rice University's Jones Graduate School of Business and a Professor of Economics in the Rice University School of Social Sciences. He previously served on the faculties of Northwestern University, Indiana University, Washington University in St. Louis, and Texas A&M University. At Washington University in St. Louis, he served as the Associate Dean for Academic Affairs of the Olin School of Business and was named a University Distinguished Faculty Member. He received faculty research awards at Texas A&M and at Rice University. Currently, he teaches introductory and advanced asset pricing theory to PhD students in the Jones School and in the Department of Economics. His research interests are in the areas of investments and market design, and he has served as an editor of the Review of Financial Studies, a co-editor of Finance & Stochastics, and an associate editor of the Journal of Finance and other journals.