This book covers the formulas describing the mathematics of derivatives, and is reminiscent of Paul Willmott's approach. It introduces the basic concepts in a fairly comprehensive. You may wish supplements on practical applications and descriptions of current products. For example, I bought and recommend "Credit Derivatives" by Tavakoli, since I was looking for material on this subject, and this book didn't give any description of the types of products. Schonbucher's book on "Credit Derivatives Pricing Models" is essential when you've moved beyond introductory books.

The limitations of the models in practical applications could be better discussed, but this is a solid reference book.

Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+.

John O'Brien, Executive Director MFE Program, U.C. Berkeley

This is an excellent introduction book on computational finance. It covers Monte Carlo simulation for pricing and scenario generations and finite difference methods very well. I really like the part on Monte Carlo simulation with various variance reduction techniques such as Brownian Bridge.

The author not only presents the methodologies, but he also tells the readers their limitations. This book is also a good resource for basics of stochastic processes most commonly needed in practice. I think the book is beneficial both to practitioners and students who really wants to consider financial engineering as a career.

Whether you're a practitioner or a student, this text is great. It is succinctly written, covering everything from fundamental theories then leading into practical applications. While it is not for the mentally flaccid, if your sharp enough, you'll find it very useful.