If you are trying to learn financial engineering and are getting bogged down in all the Ito-martingale-filtration theory, grab a copy of this book. It cuts through the theory and gets you implementing practical models, including Heston's (1993) stochastic volatility model. A lot of advanced math and theory is alluded to with little explanation, so you will want to be comfortable consulting original papers. But nothing beats trying to interpret an original paper than having detailed VBA code to consult. Yes it is cook-bookish, but no other book will get you implementing advanced models as soon as this one ...