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Rating: 
Summary: Be Careful
Review: Although I have never heard of Peter Laurence or read any of his work, I have followed Marco Avellaneda's work for many years. For this reason, I consider this book to be a disappointment. It lacks quality and focus. It is not a practical book and is full of mistakes.
Rating: 
Summary: This book is good and worth reading
Review: As a mathematics graduate student seeking a quant position I have found this book very useful. My study of it has focused on chapters 7-13. The book requires a basic knowledge of probability and it would be beneficial to know the very basics of stochastic processes. However, the stochastics is included in the book in two short chapters. For a mathematician this book is nice due to its rigor, i.e., it proves most of the results. Also the mathematics involved is presented well with the exception of some typographical errors. However, most of these are not very serious, and for anyone who intends to really learn the material, i.e. study very carefully, this should not be a problem, except possibly for people who are struggling with the mathematics involved. For a mathematician/scientist who wants to learn both the mathematical and practical parts of finance, this book is good due to its rigor and it offers a near-perfect supplement to some very basic (nonmathematical) book in finance. The people with nonscientific background might be required to just accept certain mathematical results instead of understanding them, unless they are willing to put some effort into making sure that they understand basic probability and stochastics. My favorite parts of the book are the treatment of arbitrage pricing theory, and derivation of Black Scholes from it, and the chapters on fixed income and Heath-Jarrow-Morton model . I recommend this book, it has been the most useful book in math finance for me.
Rating:
Summary: This book is good and worth reading
Review: As a mathematics graduate student seeking a quant position I have found this book very useful. My study of it has focused on chapters 7-13. The book requires a basic knowledge of probability and it would be beneficial to know the very basics of stochastic processes. However, the stochastics is included in the book in two short chapters. For a mathematician this book is nice due to its rigor, i.e., it proves most of the results. Also the mathematics involved is presented well with the exception of some typographical errors. However, most of these are not very serious, and for anyone who intends to really learn the material, i.e. study very carefully, this should not be a problem, except possibly for people who are struggling with the mathematics involved. For a mathematician/scientist who wants to learn both the mathematical and practical parts of finance, this book is good due to its rigor and it offers a near-perfect supplement to some very basic (nonmathematical) book in finance. The people with nonscientific background might be required to just accept certain mathematical results instead of understanding them, unless they are willing to put some effort into making sure that they understand basic probability and stochastics. My favorite parts of the book are the treatment of arbitrage pricing theory, and derivation of Black Scholes from it, and the chapters on fixed income and Heath-Jarrow-Morton model . I recommend this book, it has been the most useful book in math finance for me.
Rating: 
Summary: A book on Practical Financial Modeling that is worth reading
Review: As a young Wall Street Quant without a math PHD, I really had a hard time getting beyond the textbook by Hull(which was very useful to me). Looking for other textbooks, I found thatthey were either too elementary or too mathematical. This book helped me understand practical financial modeling without cutting corners. The chapters on interest rate modeling are concrete and useful. No fancy martingales. just what the doctor ordered!
Rating:
Summary: Objective Review
Review: I have been working as a quantitative strategist in fixed-income at Goldman for the last two years. I read quant. books at a pace of a book a week so one may say I have a broad perspective. Unfortunately, I have to agree with the bad reviews written about this book. Not that the content is bad, there are just too many mistakes (bad editing, lazy authors! ) which will confuse all new comers. Having this said, try to purchase a better book. Yours, Jack-
Rating:
Summary: I wish I could send the book back.
Review: Obviously I followed the wrong review. Those who feel that thetypos are immaterial are misleading. I lost many hours trying tounderstand what the book was doing in many places only to realize that the book was just wrong. So, if you don't have a lot of spare time, and don't wish to be an editor, please do yourself a favor and skip this book. END
Rating:
Summary: A useful introduction to modeling of derivatives
Review: This book is no doubt written in haste and typos are galore. I have read this book in its entirety and I highly recommend it. Concepts well covered include Binomial trees, Brownian motion and stochastic calculus, APT, HJM formulation, etc. It is a great stepping stone to get to Duffy's book. A second edition would be a great idea.
Rating:
Summary: A useful introduction to modeling of derivatives
Review: This book is written by the two well-known applied mathematicians - Marco Avellaneda of the Courant Institute and Peter Laurence of the University of Rome. Avellaneda has been involved in financial mathematics for a number of years, while Laurence's interest in this subject is more recent. The book can serve as a useful introduction to the quantitative analysis in financial markets. As such, it covers a lot of ground stretching from an exposition of the standard Black-Scholes theory to an interesting description of the HJM framework. In addition to the standard material, it contains several original results developed by the authors themselves. The first printing had so many typos that its study was difficult for a novice. Most of these typos had been corrected in the second printing. In its present form, the book can be strongly recommended to a general reader with interest in the mathematical finance.
Rating:
Summary: Avellaneda's worse performance
Review: This is a surprisingly sloppy book written by a known academic in the financial engineering world. That is Marco Avellaneda. At first sight, this book is a good idea. It is suppose to bridge the gap between literature that are too simplified for quants and the high level books that are too mathematically rigorous for pratitioners. However this book is presented in such a sloopy manner that any profit driven company would sack these two authors. There are typo mistakes in almost every page and some fundamental errors. There are numerical examples there are completely wrong. On top of that, who writes a quant book without giving any exercises. The authors should comprehend that mistakes in quantitative books can be very misleading to the reader especially if the reader is trying to learn. If you don't have a Ph.D. in Math, don't read this book. It might do more harm than good.
Rating:
Summary: Wonderful Book
Review: With this wonderful book, the authors bridge the gap between Hull's fine introductory text: Options, Futures and Other Derivative Securities, and Duffie's excellent, though less accessible, Dynamic Asset Pricing Theory. The authors describe the full spectrum of important theoretical and practical ideas of Mathematical Finance with crystal clarity, striking a superb balance between rigor and appeal to the intuition. By keeping the ideas and intuition in sharp focus, the authors make important topics, such as Arbitrage Pricing Theory and the Fokker-Planck theory, which have heretofore been omitted or glossed over in many introductory texts, accessible to the vast majority of working quants. Moreover, this text is well balanced in other important ways: 1) the authors describe both Martingale methods and PDE methods as well as the relation between them, and 2) theory is motivated and supported by numerous practical examples. I am not aware of any other Derivative Security text that succeeds as well on all of these levels. This book does have typos, but their importance should not be blown out of proportion; they are at most an inconvenience. There is no other Derivative Security text that I would recommend as highly to a quant who wants to go beyond Hull, but cannot yet breeze through Duffie. I have a Ph.D. in Mathematics, with a thesis in Mathematical Finance from the Courant Institute, and have worked as a quant on Wall Street for 9 years.
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