I discuss the books I mentioned in the comments. They all deal with standard (theoretical) asset pricing (starting with one period utility maximisation and then branch off). Other books like Björk or Shreve focus more on time continuous models and derivatives pricing and I do not discuss them here.
- The most beautiful part of his book is how everything is framed using a SDF and the Euler equation $1=\mathbb{E}_t[R_{t+1}M_{t+1}]$
- Cochrane is arguably one of the best writers in finance, so it's great to read his work!
- Cochrane only deals with simple/standard asset pricing: SDF, risk-neutral pricing, factors and beta representation, mean variance and a bit on options and bonds; the rest of the book is about GMM, testing asset pricing models and empirical results. The book does not cover ``advanced'' asset pricing theories
- Because Cochrane combines empirical insights, tests with theory, the book is a great start and remains on the recommended reading list of most PhD asset pricing classes
- You find much information here
- Is more theoretical (mathematical) than Cochrane
- Deals appropriately with continuous time models and derivatives pricing (including some stochastic calculus and numerical methods)
- Reads at times a bit like financial economics emphasising equilibria etc. (I'm not saying that's bad at all!)
- Spends less time talking about the results (intuition) but is more rigorous
- Lacks, just like Cochrane, more advanced/newer models
- Discusses standard material (utility, arbitrage, state price deflator, the SDF here) and then covers a lot about consumption-based asset pricing models (simple CRRA log-normal consumption giving rise to the equity premium puzzle up to recursive utility and long run risk models (which resolve that puzzle again))
- Is however lacking any production-based asset pricing and does not cover options a lot (but covers the term structure)
- Uses more maths, but starts with a simple review of stochastic calculus and is great at explaining what the equations mean
- As always, starts with a detailed overview about utility, static pricing, CAPM and SDF.
- Covers most of the consumption side (from CRRA to long run risk, ambiguity aversion, Epstein-Zin, disaster risk,...) but also covers production-based asset pricing and a lot about heterogenous investors (the entire third part of the book!)
- This is actually a short book (400 odd pages)
- The author himself best summarises the book
- Begins with a detailed discussion of one-period models but then covers time-continuous models and option pricing
- Tries to keep the maths at a minimum
- Covers more advanced topics ($q$-theory, heterogenous beliefs and different preferences (ambiguity aversion for example)
- Does not cover how to empirically test asset pricing models (but refers to empirical findings: has an entire section about different models explaining the equity premium (recursive utility from EZ, Long run risk, external habits, rare disasters,...)
- Perhaps not related to what you're looking for but empirical asset pricing is equally important as theory
- Starts with some basic techniques (correlation, portfolio sorts, FM regressions) and then discusses various anomalies
- Explains how to reproduce the tables using CRSP/Compustat/OptionMetrics...
- Only focuses on stock returns (as indicated the title!), so nothing on bonds, options or the equity premium
- The Econometrics of Financial Markets (Campbell, Lo, MacKinley) is an earlier book on empirical asset pricing, Empirical Asset Pricing from Ferson (2019) is a more modern approach which begins with SDF theory (``$m$-talk'') and then discusses a lot econometrics, tests, GMM etc. He also provides an overview about theories.
Summary
So, to sum up, you should of course read all these books! :D But seriously, Cochrane is just great to read because of his writing style and how he combines theory and empirics. Duffie is more technical. Munk is a great compromise between the two. If you want to know more about newer models, Campbell and Back would be more useful. If you want to be updated on what we know empirically about the cross-section of stock returns, Bali et al. (2016) is a must-read.
There obviously exist many older books, Ingersoll (1987), Huang and Litzenberger (1988), Merton (1992), etc. But they had all been published before I was born and I haven't read them.
You can, of course, also find great material online. If you just google for lecture notes on the topic, you find many great summaries of asset pricing (also some poor ones). This one is actually forthcoming as a book.