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Is Clewlow and Strickland the book that shows algorithms in more detail (pseudo-code), or there is some new book out there in a similar style ?

Yep, that's the one. Personally, I don't know others which go over things in the same style. I'd be glad to hear of others that do. Haug goes over lots of code too, so that may be a good bet too.

Yes, Haug is also very well documented. Is this then a style in which no other writer is interested ?

Implementing Derivatives Models and Derivatives: Models on Models are both available from the Wilmott Bookshop.

I'm in favour of code in books and certainly Clewlow and Strickland had some unique material when it was written - the only trouble with pseudo-code is that it's easier for mistakes to creep into the pseudo-code since readers can't just test the published codeThe virtue of Haug's book is that readers can easily check that the VBA functions work just by calling them from Excel

QuoteOriginally posted by: spursfanI'm in favour of code in books and certainly Clewlow and Strickland had some unique material when it was written - the only trouble with pseudo-code is that it's easier for mistakes to creep into the pseudo-code since readers can't just test the published codeThe virtue of Haug's book is that readers can easily check that the VBA functions work just by calling them from ExcelTrue, although I usually try to implement the code in Mathematica and check it with other examples.

Does anyone have an errata (or know where to download it from) of "Implementing Derivatives Models".CheersTiago

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