Rating: 
Summary: A good book for implementation issues.
Review: This book provides a comprehensive discussion of the popular term structure models and their applications to derivatives pricing. The mathematics is quite heavy, but is well explained, and throughout the author describes the practical issues of implemention, as well as empirical studies of the various models performance. Overall, a well balanced book spanning both theory and practice. Unfortunately, as other reviewers have pointed out, the book is full of typos (it seems almost one a page) so that the reader has to spend time figuring out what the author really means. For example, in the section describing the pricing of discount bonds using the forward measure, there naturally arise three time parameters (current time, maturity, forward time). These parameters are arbitrarily interchanged in the text, making reading almost impossible. A worse mistake is in the authors description of the Cox-Ingersoll-Ross model where the author simultaneously assumes a zero market price of risk in the SDE but then introduces a non-zero market price of risk in the PDE. This leads to a strange bond price formula which is not preference free. All in all, a good book, but severely handicapped by typos.
Rating:
Summary: Excellent exposition and depth of detail
Review: This book requires a strong background in mathematical finance and tremendous amount of patience. I used this book for an advanced independent study course at SUNY Buffalo. The exposition in the first five chapters is clear and the tone is very authoritative. The only problem is that the author does everything not to duplicate well-known and well-written ideas that appear in the classic work of Miron and Swannel, "Pricing and Hedging Swaps", to name one source. In addition, the author could have used practical modelling examples that incorporate market data. This is the main weakness of the book. See Miron and Swanell, for comparison purposes.The book is suitable for people whose lives are about fixed income securities. You have to love interest rate products to enjoy this book. But all in all, this is one book that is worth reading and using as a reference.
Rating: 
Summary: a book with good material, though not easy to read
Review: This is a book with good material and the author really knows the area well. This second edition has significant improvement over the first edition in two areas: (1) new usefule material and (2) the way things are presented. However, I am still very frustrated by countless paragraphs, and graphs that I have no clue even after I read, stared at them over and over. It's not a book that I enjoyed reading. Nevertheless, you will get reasonably enough out of it to justify spending the bucks.
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