Pricing Derivative Securities

Rating:
Summary: Detailed and Complete
Review: As a biased reviewer (I helped proof the text), I will try to give comments as helpful as possible. First, from the standpoint of content alone, the text is ahead of most other general textbooks on derivative securities. There's hardly a topic in mathematical finance left untouched. About the only topic that is skimmed over is the PDE approach, but even there, Epps has a chapter on solving PDEs numerically (along with C++ and Fortran code in the appendix). There's also a limited amount on interest rate derivatives (one chapter).
Epps provides more mathematical details than most texts. The background math is not relegated to a terse appendix, but is covered in detail in two large chapters at the beginning of the book. Two chapters in particular, "Models with Uncertain Volatility" and "Discontinuous Processes," have material that's hard to find in other books, and is presented very well. It's nice to see Ito's Lemma for Jump Diffusion processes explained, as well as an interesting section on pricing "inside" options (writing puts on a firm's own stock). Finally, there's a chapter on simulation and a huge amount of C++ and Fortran code, along with an exhaustive bibliography. I would recommend it without hesitation!

Rating:
Summary: this is good
Review: i learned rigorous finance for the first time via this book. and it has been my favorite enough to buy the book again as soon as i had lost it. mathematical introduction is the best part of this book.

Rating:
Summary: DON'T BUY THIS BOOK
Review: If I could give this book negative stars, I would. I have taken Epps's class and have had to use this book extensively. Not only was it useless at teaching me, it actually confused me about the concepts....