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Rating: 
Summary: Advanced treatment of the subject
Review: As stated in other reviews, this is indeed a text for advanced, mathematically - inclined practioners. The writing can be dense at times (to wit, the classic theorem / proof lay out), but it is well worth spending the effort. Using Hull's text along with a Graduate Text in Mathemtics (GTM) on SDE / PDE will provide ample secondary material for clarifying stickier points found in Duffie's.
Rating: 
Summary: Demanding but rewarding!
Review: First of all, this book is for people with advanced mathematical preparation. Courses in functional analysis, measure theory, stochastic calculus and vector space optimization are in my opinion required for a deep understanding of the material in the book. Fortunately, the appendices are very good and provide many things that can help someone to follow the book.
In the first four chapters the writer develops the discrete-time theory,in order to provide a better understanding of the underlying ideas which remain the same in the next chapters which deal with the continuous-time setting.
Although the book needs a lot of effort from the reader, it is unique in that can help you see beyond the mathematics. In other words it USES the mathematics and it isn't just a layout of theorems and proofs.
Of course it can't be compared with books like Hull as it isn't accessible to everyone. But someone with the mathematical preparation , who has read Hull , should buy this book and he will never regret it.
Rating:
Summary: best intro of finance for math guys
Review: I am taking a phd level course which uses this book. For math guys, SDE and MG theory covered in this book are fine, but it is still somekind of tricky to fill in some details of proof. As author said, the latter chapters are just repeating the first two chapters in a fancy math way. It is better to understand the first two chapters very well and then go further. For optimal portfolio and consumption part, I prefer Merton's notes and his CTF. Whatever, this book is great and very neat for integrating the whole theory.
Rating:
Summary: Demanding but rewarding!
Review: This book is a must-have for any person working with dynamic asset pricing models. It is not a undergraduate text book in my opinion since it is so very broad and difficult to digest without a very complete understanding of stochastic calculus. I recommend it for graduate students in the fieald of financial economics whom have completed at least one post-graduate course in finance.
Rating:
Summary: Good reference but a bit difficult
Review: This book is a must-have for any person working with dynamic asset pricing models. It is not a undergraduate text book in my opinion since it is so very broad and difficult to digest without a very complete understanding of stochastic calculus. I recommend it for graduate students in the fieald of financial economics whom have completed at least one post-graduate course in finance.
Rating:
Summary: A tricky book
Review: This book, whilst being very impressive i didn't really find helpful as a learning tool. A good knowledge of the subject is required otherwise it is almost impossible to follow. I'm studying a masters in finance, and would say it goes well beyond what we need to know for such a course. Maybe maths & finance students would cover things in this. I am amazed that people actually use such a comllicated book in practice!!
Rating:
Summary: Pricing for Traditional Products
Review: This is a good book for traditional products, but doesn't stay ahead of the curve for people who need to keep up with current capital markets products. Still, the basic tools are there for those who already understand the products. In the exponentially growing credit derivatives market, the market appears very inefficient. Information on documentation and pricing is not at all transparent, and information requires time and work to obtain. This was a nothing market 6 years ago, was a $2 trillion market in 2002, and is on a steep exponential growth curve just in credit default swaps. In a paradigm shift, it has become a very important product in a very short time, and the market in these products is inefficient. For product and performance descriptions I highly recommend Tavakoli's book: "Credit Derivatives" Second Edition.
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