The Complete Guide to Option Pricing Formulas (ISBN 0071389970)

Every desk should have a copy: by a practitioner for practitioners:
If you want to cook, buy the paperback edition of "The Joy of Cooking" (JoC) and low and behold, your cooking will improve. JoC is a recipe book, but as you work through it you learn principals for cooking that are widely applicable. If you want to be in quantfin you need to buy The Complete Book of Option Pricing Formulas: it is the "Joy of Cooking" for options. As you work through the collection, the formulas, and look at the code (on a wonderful CDROM) low and behold you'll get better at all principals, concepts, and conceptions on how code works for option pricing formulas. A word about errors in the previous edition: even critical editions of long-dead authors have errors in them, just look at the "errata" sheets from The Library of America critical editions. For the first edition Espen Haug put his errata sheet immediately up on his website, and it also is widely available with a simple GOOGLE search (lots of people have copies on the various quant fin discussion boards). 10 seconds extra work versus whining away about how something isn't perfect? Oh, grow up. You rationally will be spending that much extra time on learning this code and digesting material in this book anyway. Excellent in every way.

Very nice book:
This is a great reference book to have, spanning a wide spectrum of topics. It begins covering anaylitical solutions for a variety of common equity/FX/commodities options (the 'lognormal' family) to then move into numerical methods (namely trees, including implied, and montecarlo). It also covers some fixed income products as well as useful miscellanea such as various formulas for interpolation, volatility estimation and derivations of BlackScholes greeks if one's chainrule is rusty. What I particularly like are the many examples, which often help crystallize the formulas, as well as some nice simple VBA code implementations (beware of some small typos though, i have the 1998 edition and in page 141 on the Montecarlo code, "nStep" is defined in the declaration but nStepS (extra "s") is used on the code). Again, great and useful reference to have around.

A must-read that is quickly becoming a classic:
I have to agree with the majority of the reviewers: this is a great book, period. The amount of material is simply staggering, and the author's nickname of the "Collector" is well-deserved. It's a great reference book, and it's one of my favorites on the subject. Good explanations, easy to read, instructive examples, great layout, files are on the CD... it has nearly everything I need. I like it a lot.

A must-have for all quantitative-finance students and practitioners:
Simply put, Haug's book is a must-have for all students and practitioners in quantitative finance. The book has grown to over 500 pages in its second edition and contains a wealth of practical information related to option pricing formulae making this book a worthwhile purchase even if you already have the first edition. It is useful to anyone needing to implement, validate, or value financial derivatives in today's trading, market or credit risk management environment. My guess is that it will help you with a good 80% of the quantitative finance models you needs to implement or validate. It is written in a reference manual style which means the text is sparse and to the point. At the back it contains an excellent bibliography cross-referenced throughout the book just in case you need to consult a relevant academic paper with a higher verbosity level. In fact, for students the bibliography alone is well worth buying this book. The included CDROM contains VBA implementations of most of the formulas referenced in the book which is useful to fast-track your understanding of the practical implementation of the mathematics. As anything in life the book is not perfect. The title of the book suggesting it is the Complete Guide, by Haug's own admission is a bit ambitious. The major asset classes covered is still equities with a bit of commodity, energy and interest rates derivatives. Surprisingly, no credit derivatives are covered, which is probably for the best given the prominent role this asset class have played in the 2008 global financial meltdown. The inclusion of VBA-code printouts in the text seems a bit superfluous as the code is available on the CDROM. This results in the book being a bit thicker than it should be, so maybe a next edition will be more kind to the environment! A solid five star effort.

The Ultimate Book on Option Prices:
In this book the author, Haug, shares with us his lifetime collection of option formulae. The book can be used as a reference book or read from cover to cover. I read the book from cover to cover. The commentary is excellent. I have to confess that I didn't understand all the information in the book because I'm only a novice and I think some parts of the book were really intended for " financial engineers ". Even though I was a little bit out of my depth I was still able to understand the authors perspective and sequence of thought. Anyway on page 497 the author states: "This book contains a large collection of option pricing formulas. To ease the use of the formulas, the book includes a CD with ready to use Excel spreadsheets." and "To start pricing options, only a minimum knowledge of using a spreadsheet is required. All that is required is typing in the input variables for the relevant formula. The computer will do the rest."