the econometrics of financial markets

for a finance theory background of the subject:

Dynamic Asset Pricing Theory by Darell Duffe is a doctoral level book on the theory of asset pricing. In the book the asset pricing reslts are based on three increasingly restrictive assumptions, namely absense of arbitrage, single agent optimality and equillibrium. hey are unified under martingales and state price vetors.

They are applicable to term structure models, derivative pricing, etc.