It is not very readable and it is poorly edited, but is still worth a brief effort to overlook those things. It begins by broadly looking at interest rate risk, gives very clear instructions of how to build an interest rate tree and then moves into a variety of valuation models. I enjoyed the fact that each valuation methodology was described using the same basic examples that made it simple to compare the merits of each. Contrary to this luxury, the text does little to describe how real-life professionals use these measures and what they think the pros and cons are. I was quickly won over again by the discussion of duration and convexity.
Convexity is equally well defined and the few paragraphs on their conjunctive use are helpful.
After this, it begins to take a somewhat confusing turn, making it hard to understand the author's direction. Chapter 5 takes the reader back to Statistics 101 by describing the rudimentary details surrounding standard deviation. But, the next chapters left me feeling equally confused. By the time the author returns to exchange traded options with a section on duration, it is hard for the reader to keep hopeful that the book will deliver what it has promised. The good news is - it does.