4 of 5 people found the following review helpful
Good book if you've got past Baxter and Rennie,
This review is from: Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) (Hardcover)
This is a good overview of some of the more complex interest rate models, however it does assume familiatrity with the fundamental theorem of finance and hence why martingales are important. It assumes the reader knows all about filtration, probability spaces and changes of measure (Radon Nikodym derivatives and the change of measure theorem). If you are not already familiar with all this then the book will not be helpful to you - read something more basic like Financial Calculus (Baxter and Rennie).
Aside to the technical content, I find many of the quotes at the beginning of each chapter (usually from DC comics) pointless and sometimes irritating.