Theoretical Foundations of Asset Pricing. This text significantly improves on my old book, both in terms of topics covered (for example, it now includes an introduction to continuous-time methods), and streamlined results and proofs. Additional explanations and (currently trivial) corrections are maintained here: Addenda and Errata.
Asset Pricing Theory. While largely superseded by my newer book, this older text still covers several topics that are not in the newer text.