In his retirement, Professor Jonathan Ingersoll is writing a new PhD level theory and model textbook titled, “Financial Models and Theories.” The textbook will be divided into three parts: Single Period Models, Multi-Period Models, and Models with Heterogeneous Information.
Professor Ingersoll’s 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.
Preliminary versions of some chapters are listed below with links to pdf files for part one on single period models. Please check Professor Ingersoll’s website for the latest versions of these chapters as well as updates.
“Financial Models and Theories” Part I: Single Period Models
Chapter 1: Utility Theory
Chapter 2: Risk
Chapter 3: Risk Aversion
Chapter 4: Arbitrage
Chapter 5: Complete Markets
Chapter 6: Mean-Variance Theory and the CAPM
Chapter 7: Extensions to the CAPM
Chapter 8: The Portfolio Problem
Chapter 9: Utility-Based Models
Chapter 10: Efficient Portfolios
Chapter 11: APT
Chapter 12: Mutual Fund Separation Theorems
Chapter 13: Probability Weighting
Chapter 14: Cumulative Prospect Theory
If you notice any errors or find portions in which you believe could use clarification, please let him know by email: firstname.lastname@example.org.