I used to work with Phil O’Connor. It has taken us several years to find someone who might be able to replace him: our finance graduates have gone downhill since he left.
Anyway, Phil co-authored a text. I’ve had it for years, but just got around to reading it — cover to cover.
It’s a small masterpiece. I found the book comprehensive, interesting, and at points, innovative.
There really are two books here.
In one, basic finance is laid out with a heavy use of options for insight. The options examples are not daunting, but they do require some basic exposure to options pricing to get much out of. Immersion in options at the start of the text is a fruitful way to go, although it does make the material a bit less accessible. Perhaps that's where the "advanced" in the title comes from.
In the second, there is a literature survey (a bit dated now). The book contains dozen (maybe hundreds) of excerpts from published papers. Essentially, the current research (as of publication in 2002), told in the words of the researchers themselves. Again, a very fruitful approach.
I am not sure about the usefulness of this book for a particular class, but as a general resource for any advanced program in finance, it's definitely worth considering. I strongly agree with the one reviewer who called it a "bottom of the drawer" book: one that will always be close at hand because of its utility.