Even more than Wilmott's book, C&S's book gets into the details of pricing derivatives. The choice of topics is truly excellent, and the copious source code included is a superb move. I am currently using this book (and others) to teach a class in Financial Programming.On the other hand, errors are frustratingly frequent. Not so much in the source code, but in the prose. It would be nice to see a floppy disk of code come with the book, a la Hull. There are no exercises in the text, which I consider to be an egregious error, because exercises are really the only way to learn the material.C&S try to make finite difference schemes seem less intimidating by expressing them in terms of probabilities (to stress the link between trees and more general lattices). This works OK for explicit schemes, but for the more important implicit and Crank Nicolson schemes is weird and unnatural. It fails to give the reader any clue as to how to do finite differencing on his own. (Their odd changes of variables don't help, either.) Wilmott's treatment of the subject of finite differencing is far superior.

This is a much needed resource for financial engineers which provides the step by step details with repeatable examples necessary to implement the models covered in the book. Far too many authors and academics show their arrogance and lack of interest in providing the level of information needed by their readers to actually implement the material covered in their books on derivatives models. This book is the exception.

Authors have succeeded remarkably well in providing studends and practitioners with a book on derivatives concentrating purely on numerical methods. The writing and notation is clear and free of unnecessary staff. Focus is never lost. Almost all aspects that are relevant are covered. However, for the next edition to make the book perfect, I suggest that authors add little more on newer term structure models; HJM, BGM, etc. Also a short chapter on zero estimation would be great, since the building block of term structure derivatives needs to be supplied before derivative price calculations start. Probably even credit derivatives, since that area is currently blossoming. Authors do a particularly outstanding job in presenting the more difficult term structure calculations and they give an excellent treatment of the forward algorithm. Well, what can I say ? In conclusion, an outstanding book, well worth the price.

An excellent applied look at how to value derivatives. The authors could not have done a better job. The extensive section on interest rate derivatives is much clearer than most other books. I would have liked to have seen more on alternatives to the lognormal model, however.