This is my favorite book to asset prices. If you ask any professor on any ivy league university in the United States or in UK about the best book about asset pricing, you will get this book in answer for sure. The book is very condense review of a number of most significant results in asset pricing. It starts with discreet time settings and then moves to continous time analysis.
The book is less useful in practical setting than the book by Musiela and Rutkowski, but it is much better in developing the intuition behind the results. This is a top choice for any PhD researcher.
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