What Is a Pronoun?
Pronouns are commonly used as alternatives to nouns in preventing unnecessary repetition of words. It will be strange to say; 
Mercy came to school. Mercy missed the last as Mercy left for home before closing hours. 
Instead, you'll fancy saying "Mercy came to school but missed the last class as she left for home before closing hours."

Personal Pronouns
There are many types of pronouns, with some not restricted to one category. He and him are called personal pronouns. Personal pronouns also include I, you, it and me as well as us they and them. 
However, there are many other pronoun types, and we'll be taking a look at them shortly. 

Antecedents are nouns or noun phrases that can be used when beginning a sentence and subsequently replaced with a pronoun. They are particularly important since a pronoun like "it" can mean different things including a car, emotion, pain, animal, etc.
In the example; 
The needle was too small to see it under the dim light. 
Here, the needle is the noun phrase or antecedent which is subsequently replaced by the pronoun "it" in order to prevent using the word "needle" again.
However, it's also possible to not explicitly mention the antecedent, especially when the context is explicit enough to be discerned by the next person. For example, the pronouns I, you and me need no clear antecedent since the person speaking is known.
While you could use a pronoun before mentioning the corresponding antecedent, you'll want to avoid that in relatively long sentences to prevent your message from being difficult to understand. For example, in the following sentence;
 He loves pets, but they could annoy him at times 
It's not unlikely for a reader to misconstrue the antecedent "pets" to be different from the corresponding pronoun "they" if they don't read the sentence carefully.

Relative Pronouns
Relative pronouns are used to connect independent and relative clauses. They usually provide additional information to an already mentioned thing in a sentence. Examples of relative pronouns are what, that, which, whom and who. Usually, who is used for people, and which, for things or animals. 
The boy who came today is his classmate
Who vs. Whom—Subject and Object Pronouns
There's a long-running confusion between relative pronouns "whom" and "who." A quick note is that while Whom is an object pronoun like me, her, him, them and us, Who is a subject pronoun like I, she, he, we, and they. Thus, you say;
Could you please pass the note to me? 
Not, could you please give it to I?
Is the gift for us?
Not, is the gift for we?
Since whom is used before the modifying verb, it's a slightly trickier pronoun. 
It's right to say;
With whom were you at the restaurant? Not, with who were you at the restaurant?
The girl, whom he saw earlier, is my cousin.
If you are unsure whether whom or who should be used, replace the pronoun in question with a personal pronoun and see which sounds better. For example, if you find him or her a better alternative to he/she, you'll want to go with whom and not who.
Another confusing scenario is in choosing an object or subject pronoun. 
Peter is coming to see Frank and I later today.
The pronoun I is wrong in this sentence and becomes obvious when we remove Frank from the picture, in which case it becomes; Peter is coming to see I later today.
The use of I is clearly wrong.  So, Peter is coming to see Frank and me later today is the correct sentence you want. 

Demonstrative Pronouns
Demonstrative pronouns include those, this, these and that and are used to replace noun or noun phrases in a sentence.
These and this are used for multiple and singular close items respectively, while that and those are respectively used for singular and multiple items that are relatively far away. 

Indefinite Pronouns
These pronouns include none, one, other, some, everybody, no one, and anybody. They are used when things don't need to be expressly identified. They additionally take singular verbs when they act as subjects of a clause or sentence. 

Reflexive and Intensive Pronouns
They are  –self and –selves that are used when both object and subject of a verb are related to the same thing or person. E.g., I told myself never to believe him again. 
Reflexive pronouns also resemble intensive pronouns. But unlike the former, intensive pronouns are used to lay emphasis. For example, "I did my assignment" is perfectly fine. But saying "I did my assignment myself" further intensifies that I did it by myself without external assistance.
It's not uncommon for many people to want to use myself where "me" would likely be a better fit because they see myself as fancier. But that's erroneous, and a "–self" pronoun should only be used when it fits the context above. 

Possessive Pronouns
These include your, its, my, our, her, whose and their which is used to inform the link to a previous antecedent. E.g., Take me to my house, pls. 
Absolute possessive pronouns include ours, his, hers, yours, mine and theirs and can substitute what belongs to the antecedent. E.g., Have you finished eating your food? Paul has finished his.
Interrogative Pronouns
Who, which, what and whose are examples of interrogative pronouns. Who is at the door? What model is your phone? Etc.

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