Implementing Derivative Models by Les Clewlow How realistic is this book?Is the pseudo code easily translated into C++?What level of math is needed : PDE's , SDE's , Numerical Methods...?How does "Implementing Derivative Models" compare to"The Complete Guide to Option Pricing Formulas" by Espen Gaarder Haug?

It's allright, really. If you want a guide to building models, this is pretty decent.The code is easy to understand. I think if you can do basic PDEs and SDEs you're fine.It compares to "Option Pricing Formulas" as... well... "option pricing formulas" is really just a collection of formulas.Hope this helps.

Two completely diffrent books...Haug gives u a ready to use collection of (mostly closed) formulae for many exotic options...Clelow-Strickland was (and maybe is) one of my favourite book ever, the real breakthrough book which has shown how derivatives models can be implemented in practice by fitting them to real market data and so forth...the part on trees is really good and the part on short rate models, although not very complte from a theoretical point of view, is a wonderfull source to get a flavour of all the issues involved in costructing interest rate trees and valuing european and american derivatives..A must buy...i think a book comparable to Clelow-Strickland is Brandimarte's "Numerical Methods in Finance"..another nice book, more general then CS and more focused on the underlyng engine (Montecarlo, PDE numerical schemes, optimization..). Haug is then comparable to Zhang..Zhang is a good book, but unfortunately still plenty of typos and without spreadsheets...Haug's book comes with nice spreadsheets, which can help you learning VBA.hope it helps,S

In my opinion its one of the best quant programming books available.There arent many books out there that demonstrate how to express monte carlo and finite difference models into code (including 2 factor I think). They have gone with a "pseudo" code but its easy to convert upto VB or C++. You may not find the title very easily on amazon - last time i looked they still had it listed as "Information derivatives models"?!!

Patch22I agree - Amazon is the wrong place to look Better is the Wilmott Booshop:Implementing Derivatives ModelsPhilip