This text provides an advanced introduction to the modeling of competitive financial markets, encompassing arbitrage and equilibrium pricing of financial contracts, as well as optimal lifetime consumption and portfolio choice. Notable features include its coverage of recursive utility in discrete and continuous time and several results not previously available in book form. Each chapter concludes with a set of exercises, with solutions available to verified instructors. Ideal as a graduate-level course text, this book can also serve as a valuable reference for researchers and finance industry practitioners. Readers with a finance focus can use the text to build analytical foundations for a significant component of the economics of financial markets, while readers with a mathematics focus will find a well-motivated introduction to basic tools of stochastic analysis and convex analysis.

'In this exceptionally beautiful treatment of neoclassical asset pricing theory, Skiadas has achieved what many others have only attempted: clarity, rigor, depth, elegance, and a judicious selection of topics. This is the clear go-to reference for doctoral students and researchers.'

Darrell Duffie - Stanford University

'A clear, compact and in‐depth exposition of the basic tools and concepts of asset pricing theory. A must‐have for students seeking to master the tools and use them in applications.'

Dimitri Vayanos - London School of Economics