This course will present modern theories of financial markets and asset valuation. The first part of the course, taught by Georgy Chabakauri, will cover portfolio theory and the CAPM, expected utility and risk aversion, absence of arbitrage and state prices, linear factor models and the arbitrage pricing theory, and the consumption CAPM and the equity premium puzzle. The second part of the course, taught by Dimitri Vayanos, will build on this material and develop additional tools, including continuous-time finance, to explore the effects of frictions in financial markets, such as asymmetric information, costs of search and market participation, leverage constraints and delegated portfolio management.