Financial Engineering and Computation: Corrigenda

Corrigenda for

Financial Engineering and Computation

by Yuh-Dauh Lyuu

Cambridge University Press, 2002


Preamble | Preface | Chapter 1 | Chapter 2 | Chapter 3 | Chapter 4 | Chapter 5 | Chapter 6 | Chapter 7 | Chapter 8 | Chapter 9 | Chapter 10 | Chapter 11 | Chapter 12 | Chapter 13 | Chapter 14 | Chapter 15 | Chapter 16 | Chapter 17 | Chapter 18 | Chapter 19 | Chapter 20 | Chapter 21 | Chapter 22 | Chapter 23 | Chapter 24 | Chapter 25 | Chapter 26 | Chapter 27 | Chapter 28 | Chapter 29 | Chapter 30 | Chapter 31 | Chapter 32 | Chapter 33 | Bibliography | Index | Back cover | Acknowledgments

Substantial errors are colored red below.

Preamble

  1. 1st paragraph, line -3: ``, in keeping with'' should be ``to keep up with''
  2. 3rd paragraph: delete the last sentence, ``Each instrument is treated in a short, self-contained chapter for ready reference use''
  3. 4th paragraph, 1st sentence: ``coded in Java'' should be ``coded in Java or JavaScript''

Preface

  1. p. xiv, 2nd paragraph, line 2: ``the more challenging'' should be ``some of the more challenging''
  2. p. xv, line -12: ``time-series models'' should be ``time series models''
  3. p. xvii: ``CIR Cox-Ingersoll-Ross'' should be ``CIR Cox-Ingersoll-Ross (model)''
  4. p. xviii: ``HJM Heath-Jarrow-Morton'' should be ``HJM Heath-Jarrow-Morton (model)''
  5. p. xviii: ``RS Ritchken-Sankarasubramanian'' should be ``RS Ritchken-Sankarasubramanian (model)''

Chapter 1

  1. p. 1, Section 1.1, line -2: ``[ahead ... years]'' should be ``(ahead ... years)''
  2. p. 3, Figure 1.1, caption, line -1: ``mortgage-backed security'' should be bold-faced
  3. p. 4, line 4: ``, and leases'' should be ``, leases, and even future ticket sales of movies''
  4. p. 5, table in 2nd paragraph: the font for heading ``Attribute Null? Type'' is inconsistent with that in other tables such as Figure 23.17 on p. 343

Chapter 2

  1. p. 7, line -1: ``take them into account'' should be ``take all into account''

Chapter 3

  1. p. 12, EXAMPLE 3.1.1, line 2: ``1 year'' should be ``one year''
  2. p. 12, Exercise 3.1.3: ``~300,000'' should be ``approximately 300,000''
  3. p. 12, Exercise 3.1.3: ``~500,000'' should be ``approximately 500,000''
  4. p. 16, EXAMPLE 3.3.2, line -2: delete the extra space before ``Interest ...''
  5. p. 21, algorithm in Figure 3.4: Add ``c := a;\\'' after ``length := b - a;''
  6. p. 21, Figure 3.4, caption, line -1: add ``Statement'' before the sentence
  7. p. 26, line -3: add 2 sentences, ``Bonds selling at a premium are called premium bonds. Bonds selling at a discount are called discount bonds''
  8. p. 28, 1 line above Subsection 3.5.4: add sentence ``Other possibilities exist, however.'' after ``... the above formula.''
  9. p. 29, 4 lines above EXAMPLE 3.5.3: ``the PV'' should be ``PV''
  10. p. 30, EXAMPLE 3.5.4, line 2: ``The term'' should be ``The maturity''
  11. p. 31, EXAMPLE 3.5.5, line 6: ``12.767'' should be ``11.31''
  12. p. 31, Exercise 3.5.9, line 1: ``exactly'' should be ``exactly the period yield''
  13. p. 31, NOTE 1: ''PV'' should be ``present value''
  14. p. 31, NOTE 3: the 1st and the 2nd comma should not be bold-faced
  15. p. 31, NOTE 5: the 1st and the 2nd comma should not be bold-faced

Chapter 4

  1. p. 34, 1st paragraph, line -3: ``Macaulay duration'' should be ``MD''
  2. p. 34, 2nd paragraph, line -2: ``Exercise 4.1.3, Part (2)'' should be ``Exercise 4.1.3(2)''
  3. p. 34, 2nd paragraph, line -1: ``may decrease'' should be ``should decrease by definition''
  4. p. 35, middle of 1st paragraph: ``is Eq. (4.1)'' should be ``was shown in Eq. (4.1)''
  5. p. 36, 1 line above Exercise 4.2.1: delete ``[55]''
  6. p. 36, Exercise 4.2.2, line -1: ``equals modified duration'' should be ``equals the modified duration''
  7. p. 38, Figure 4.5, caption, line -1: ``the rate moves'' should be ``the yield moves''
  8. p. 39, 3rd paragraph, line -4 and line -3: ``Interest rates will fluctuate during the holding period, but it was assumed that ...'' should be simplified to ``Recall that it was assumed that ...''
  9. p. 39, 4th paragraph, line -2: ``certificates of deposit'' and ''CDs'' should be bold-faced
  10. p. 39, Exercise 4.2.8, line -1: ``falls short of'' should be ''is less than''
  11. p. 40, Eq. (4.12): ``MD'' should be ''D''
  12. p. 40, 1 line below Eq. (4.12): ``MD denotes ...'' should be ''D denotes ...''

Chapter 5

  1. p. 46, Section 5.2, 1st paragraph, line -1: ``exactly that'' should be ``exactly that, as we will see shortly''
  2. p. 47, Exercise 5.2.1, line -3: ``rate y'' should be ``yield y''
  3. p. 47, Exercise 5.2.1, line -1: ``of the cash flow.'' should be ``of the corresponding cash flow.''
  4. p. 48, 1st paragraph after EXAMPLE 5.3.1, line 4: ``step 3'' should be ``statement 3''
  5. p. 48, 1st paragraph after EXAMPLE 5.3.1, line 6: ``Step 1'' should be ``Statement 1''
  6. p. 48, 2nd paragraph after EXAMPLE 5.3.1, line 1: ``step 1'' should be ``statement 1''
  7. p. 48, 2nd paragraph after EXAMPLE 5.3.1, line 2: ``-1 and'' should be ``-1, and''
  8. p. 48, 2nd paragraph after EXAMPLE 5.3.1, line 3: ``step 3'' should be ``statement 3''
  9. p. 48, Figure 5.4, caption, line -2: ``longest maturity bond'' should be ``longest-maturity bond''
  10. p. 49, 2nd line from bottom of page: ``5%'' should be ''8%''
  11. p. 50, Section 5.5, 1st paragraph, line 4: ``Exercise 5.5.1, statement (1)'' should be ``Exercise 5.5.1(1)''
  12. p. 50, Section 5.5, 1st paragraph, line -2: ``Exercise 5.5.1, statement (2)'' should be ``Exercise 5.5.1(2)''
  13. p. 50, Section 5.5, 3rd paragraph, line -5: ``However, when'' should be ``When''
  14. p. 51, line 8: delete ``implied'' from ``implied forward rate''
  15. p. 52, EXAMPLE 5.6.1, 3rd paragraph, line -5: ``1.708'' should be ``1.708 dollars''
  16. p. 53, Subsection 5.6.1, 1st paragraph, line 3: ``m-year'' should be ``m-period''
  17. p. 55, algorithm in Figure 5.9, line -3: replace it with p[i] := p[i-1]+(1-p[i-1]) * f[i];
  18. p. 56, Exercise 5.6.11, line 1: ``this spot rate curve'' should be ``these spot rates''
  19. p. 56, Subsection 5.6.4, 1st paragraph, line -3: ``(i-j)'' should be ``(j-i)''
  20. p. 58, 1 line above Exercise 5.7.3: ``time-independent'' should be ``time independent''
  21. p. 59, line -5: ``A horizon'' should be ``A person with a horizon''
  22. p. 60, Subsection 5.8.1, line 7: ``relation between duration and MD (4.4)'' should be ``relation (4.4) between duration and MD''
  23. p. 60, Subsection 5.8.1, 1st paragraph, line -3: ``(5.17):'' should be ``(5.17), then''
  24. p. 60, Subsection 5.8.1, 1st paragraph, line -1: ``This measure'' should be ``This duration measure''
  25. p. 60, Subsection 5.8.1, 2nd paragraph, line 2: ``often'' should be ``sometimes''
  26. p. 60, line -3: delete ``Ho's''
  27. p. 60, line -2: ``durations have'' should be ``duration has''
  28. p. 61, Exercise 5.8.2: ``duration (5.17)'' should be ``duration formula (5.17)''
  29. p. 61, 1 line below ``5.8.2 Immunization'': ``The Case of NO Rate Changes'' should be ``The Case of No Rate Changes''
  30. p. 61, 1st paragraph below The Case of NO Rate Changes, line 1: ``Recall that in ...'' should be ``In ...''
  31. p. 61, line -3: 2nd summand should be braced with {...}
  32. p. 61, line -2: 2nd summand should be braced with {...}
  33. p. 62, line 8: ``We are'' should be ``We will be''
  34. p. 63, Additional Reading, line 2: ``spread.'' should be ``spreads.''

Chapter 6

  1. p. 64, line -1: ``unbiased one'' should be ``the standard deviation''
  2. p. 65, 1st paragraph, line -1: delete the extra Sj
  3. p. 65, lines 5--6: ``Call X and Y uncorrelated random variables'' should be ``Call random variables X and Y uncorrelated''
  4. p. 65, line -4: ``transpose'' should be bold-faced
  5. p. 66, Subsection 6.1.2, line 1: ``have normal distribution'' should be ``have a normal distribution''
  6. p. 66, Subsection 6.1.2, 2nd paragraph, line -2: replace the sentence ``Then ... is normally distributed with mean ... and variance ... [343].'' with this sentence, ``Suppose furthermore that every linear combination Si=1 ti Xi is normally distributed with mean Si=1 ti mi and variance Si Sj ti tj Cov[Xi,Xj] [764].
  7. p. 67, line 6: delete ``the'' from ``the X's''
  8. p. 67, line -3: ``uniformly distributed'' should be bold-faced
  9. p. 71, line 3: ``definedas'' should be ``defined as''
  10. p. 72, Subsection 6.4.1, 1st paragraph, line -2: ``of (6.13)'' should be ``of expression (6.13)''
  11. p. 73, Subsection 6.4.2, 1st paragraph, line -4: delete ``product'' from ``function product''
  12. p. 73, Subsection 6.4.2, 1st paragraph, line -3: add ``, '' between ``xi'' and ``when''
  13. p. 73, Subsection 6.4.2, 1st paragraph, line -2: ``qm'' should be ``qn''
  14. p. 73, EXAMPLE 6.4.2, line -2: ``(yi - m)'' should be ``(xi - m)2''
  15. p. 74, Subsection 6.4.3, 1st paragraph, line -1: ``where the moments'' should be ``where the population moments''
  16. p. 74, Subsection 6.4.3, 2nd paragraph, line 1: delete ``name'' from ``the name''

Chapter 7

  1. p. 75, Section 7.1, 1st paragraph, line 5: ``by paying a'' should be ``for a''
  2. p. 76, 2nd paragraph: merge the paragraph ``It is easier ...'' with the previous paragraph
  3. p. 76, 2nd paragraph, last sentence: move the sentence ``For derivatives ... [60].'' to the end of p. 78's last paragraph before Section 7.4
  4. p. 77, Figure 7.2, caption: ``Payoff'' should be ``Payoffs''
  5. p. 77, 1st paragraph, line 6: ``S>X'' should be ``S< X''
  6. p. 77, 1st paragraph, lines -4 and -3: Move the sentence ``Surprisingly, ... [340].'' to NOTES
  7. p. 77, 1st paragraph, line -1: ``before expiration.'' should be ``before expiration as functions of the stock price.''
  8. p. 78, 3rd paragraph, line -4: delete ``only'' from ``is only m/n''
  9. p. 81, Subsection 7.4.2, 2nd paragraph, line 3: ``CH - CL.'' should be ``CL - CH.''
  10. p. 83, Figure 7.11, caption, line -3: ``is set up'' should be ``is initially set up''

Chapter 8

  1. p. 84, Section 8.1, 2nd paragraph, line 2: ``PV'' should be ``value''
  2. p. 85, Figure 8.1, caption, line 1: ``Price of fixed cash flow'' should be ``Price of a fixed cash flow''
  3. p. 85, LEMMA 8.2.1, Proof, line 2: ``a net cash flow'' should be ``a positive net cash flow''
  4. p. 86, LEMMA 8.2.4, Proof, last sentence: add the sentence ``Review Exercise 7.4.2.''
  5. p. 86, Exercise 8.2.1, line 3: ``present value'' should be ``PV''
  6. p. 87, 3rd line below LEMMA 8.3.1: delete comma from ``, as follows''
  7. p. 88, Section 8.4, 1st paragraph, line -4: ``stock price once'' should be ``stock price declines once''
  8. p. 89, 2nd paragraph, line 2: delete ``, S = 0''
  9. p. 89, 2nd paragraph, line 3: ``a put ... tendered'' should be ``a put and a share of stock ... tendered for the stock''
  10. p. 91, 2 lines below THEOREM 8.6.1, equation: ``>='' should be ``<=''

Chapter 9

  1. p. 94, 2nd paragraph, line -2: ``Again,'' should be ``So again,''
  2. p. 94, Subsection 9.2.2, line 3: ``risk preferences'' should not be bold-faced
  3. p. 95, 2nd paragraph, line -3: delete ``the FV''
  4. p. 97, line 1: ``>'' should be ``>=''
  5. p. 97, line 2: ``>'' should be ``>=''
  6. p. 100, 1 line above Subsection 9.2.4: ``12'' should be ``1.2''
  7. p. 99, 1st paragraph below ``A Numerical Example'', line -3: ``the PV of the expected'' should be ``the discounted expected''
  8. p. 99, 2nd paragraph below ``A Numerical Example'', line 3: ``by delta'' should be ``by the delta''
  9. p. 100, line -6: ``Step 1'' should be ``statement 1''
  10. p. 100, line -2: ``step 1'' should be ``statement 1''
  11. p. 101, algorithm in Figure 9.6, line -3: ``2.1.'' should be ``2.''
  12. p. 101, line 1: ``Step 2.1'' should be ``statement 2''
  13. p. 101, Figure 9.7, caption, line -4: ``step 1'' should be ``statement 1''
  14. p. 103, algorithm in Figure 9.9, line 8: add ``{n choose a}'' between ``b:='' and ``pa''
  15. p. 104, 1st paragraph, line -2: ``If'' should be ``Because''
  16. p. 105, line 3: ``the period continuously'' should be ``the per-period continuously''
  17. p. 105, 2nd paragraph, line 2: ``stock's true'' should be ``stock's empirical''
  18. p. 105, 2nd paragraph, line -7: ``Eqs. (9.15),'' should be ``Eqs. (9.15), indeed,''
  19. p. 105, 2nd paragraph, line -1: ``problems disappear'' should be ``problem disappears''
  20. p. 105, equation on line -1: ``n'' should be ``sqrt(n)''
  21. p. 106, line 2, equation: ``n'' should be within the square root
  22. p. 106, 2nd paragraph, line 1: ``of a stock price'' should be ``of the stock price''
  23. p. 106, Comment 9.3.2, line 1: ``between Eq. (9.13) and convergence (9.16)'' should be ``between limits (9.13) and (9.16)''
  24. p. 107, 1st paragraph, equation on line -2: ``n'' should be ``sqrt(n)''
  25. p. 107, THEOREM 9.3.4, line 1: delete ``The'' from ``The Black-Scholes Formula''
  26. p. 108, 3 lines above Exercise 9.3.3: ``as a function'' should be ``as functions''
  27. p. 108, Exercise 9.3.4: ``convergence (9.17)'' should be ``limit (9.17)''
  28. p. 111, Subsection 9.4.1, line 5: ``exp[...]'' should be ``exp(...)''
  29. p. 111, line -1: ``m'' should be ``m (t/n)''
  30. p. 111, line -1: ``s2'' should be ``s2(t/n)''
  31. p. 114, Section 9.6, section title: ``that'' should be capitalized
  32. p. 114, Subsection 9.6.1, subsection title: ``that'' should be capitalized
  33. p. 114, Figure 9.15: ``30'' should be ``15.052''
  34. p. 115, Subsection 9.6.2, subsection title: ``that'' should be capitalized
  35. p. 115, Subsection 9.6.2, 1st paragraph, line 4: ``Then'' should be ``Then in the single-period case''
  36. p. 116, Subsection 9.6.3, subsection title: ``that'' should be capitalized
  37. p. 116, Subsection 9.6.3, 1st paragraph, line -1: delete ``and memory''
  38. p. 117, 1st paragraph, line 2: ``present value'' should be ``PV''
  39. p. 117, 1st paragraph, line 5: ``during the life of the option'' should be ``before the option expires''
  40. p. 117, 1st paragraph, line 6: ``equal'' should be ``set''
  41. p. 117, 1st paragraph, line 7: ``equal'' should be ``set''
  42. p. 117, 1st paragraph, lines -4 and -3: ``can be used'' should be ``gives the correct answer''
  43. p. 117, 2nd paragraph, line 4: ``European'' should be ``American''
  44. p. 117, 2nd paragraph, lines -2 and -1: ``As for American options, ... need to'' should be ``Needless to say, the algorithm should''
  45. p. 117, Subsection 9.6.4, subsection title: ``that'' should be capitalized
  46. p. 118, line 3: ``dividends Other'' should be ``dividends. Other''
  47. p. 118, Exercise 9.6.7, line -1: ``algorithm'' should be ``setup''
  48. p. 119, Figure 9.21, caption, line -3: ``indicated'' should be ``indicated as such''
  49. p. 119, Figure 9.21, caption, line - 2: the parentheses in ``(optimal)'' should not be bold-faced
  50. p. 119, Figure 9.21, caption, line - 1: append the sentence ``It is not required that ud = 1.''
  51. p. 120, 1st paragraph, line 6: ``This idea'' should be ``The whole idea''
  52. p. 121, Additional Reading, 1st paragraph, line 6: ``options formulas'' should be ``option formulas''
  53. p. 121, Additional Reading, 1st paragraph, line -7: `` "smile" '' should be ``smile''
  54. p. 121, Additional Reading, 1st paragraph, lines -3 and -2: delete sentence "Implied binomial ... [770].''
  55. p. 122, NOTES 3, line 2: ``his reasoning'' should be ``the rationale''

Chapter 10

  1. p. 123, quote: delete ``(1623--1662)''
  2. p. 123, Subsection 10.1.1, 1st paragraph, line -2: delete ``an'' from ``for an illustration''
  3. p. 124, line -1: delete ``an'' from ``for an illustration''
  4. p. 125, Subsection 10.1.3, line -1: delete ``an'' from ``for an illustration''
  5. p. 126, 1st paragraph, line -1: delete ``an'' from ``for an illustration''
  6. p. 126, Subsection 10.1.5, line 4: delete ``an'' from ``for an illustration''
  7. p. 127, Section 10.2, 1st paragraph, line -2: ``numerical differentiation'' should be ``numerical-differentiation''
  8. p. 128, 1 line above Subsection 10.2.1: delete ``L and''
  9. p. 128, Subsection 10.2.1, subsection title: ``Why Numerical Differentiation Fails'' should be ``Why Numerical Differentiation Fails for the Numerical Gamma''
  10. p. 129, 1st paragraph, line 1: ``gamma computed'' should be ``the gamma computed''
  11. p. 129, 1st paragraph, line 6: ``10.2.1'' should be ``10.7''
  12. p. 129, Exercise 10.2.1, line 1: ``definition (10.2)'' should be ``formula (10.2)''

Chapter 11

  1. p. 131, 1st paragraph, line 2: ``nontrivial'' should be ``complex''
  2. p. 131, Section 11.1, 1st paragraph, line 1: ``interpretated'' should be ``interpreted''
  3. p. 132, 1st paragraph, lines -2 and -1: ``expected PV'' should be ``discounted expected value''
  4. p. 132, lines -4: ``are equivalent'' should be ``are also equivalent''
  5. p. 134, 1st paragraph, line -2: ``watch their value'' should be ``see their bond value''
  6. p. 134, 2nd paragraph, line 1: ``Bondholders'' should be ``The bondholders''
  7. p. 134, line -2: ``from the corporation'' should be ``from a corporation''
  8. p. 135, Subsection 11.1.4, 1st paragraph, line 1: the parentheses in ``(CB)'' should not be bold-faced
  9. p. 136, line 4: ``stockholders'' should be ``the stockholders''
  10. p. 137, Section 11.2, 1st paragraph, line 5: ``X'' should be ``S''
  11. p. 137, Section 11.2, 1st paragraph, line 6: ``X'' should be ``S''
  12. p. 137, Section 11.2, 1st paragraph, line 8: ``X'' should be ``S''
  13. p. 137, Section 11.2, 1st paragraph, line -2: ``X'' should be ``S''
  14. p. 137, Equation (11.4): ``S >= H'' should be ``X >= H''
  15. p. 138, line 3: ``S <= H'' should be ``X <= H''
  16. p. 138, line 3: ``call'' should be ``put''
  17. p. 138, line 4: ``Exercise 11.2.1, part(2)'' should be ``Exercise 11.2.1(2)''
  18. p. 138, lines 4-5: ``See [660] or Exercise 17.1.6 for proofs'' should be ``See Exercise 17.1.6 for a proof''
  19. p. 138, Exercise 11.2.2: ``American-style options'' should be ``American barrier options''
  20. p. 138, algorithm in Figure 11.4, line 2: delete ``(H < X, H < S)''
  21. p. 139, Figure 11.5: a clearer plot
  22. p. 139, Subsection 11.2.1, line -1: delete ``a'' from ``with a strike price''
  23. p. 140, Subsection 11.2.3, line 4: ``for a particular'' should be ``for at least a particular''
  24. p. 140, Exercise 11.2.6, line -2: ``knocks out'' should be ``is knocked out''
  25. p. 141, 3rd paragraph, line 2: ``notional principal'' should be bold-faced
  26. p. 142, Figure 11.7, caption, lines 1 and 2: ``evident if we compare'' should be ``evident by comparing''
  27. p. 142, 1st paragraph, line -1: ``Fig. 11.7.'' should be ``Fig. 11.7 for a sampling.''
  28. p. 145, 2nd paragraph, line 3: ``identical:'' should be ``identical in the following sense:''
  29. p. 146, Exercise 11.5.1, equation: add ``,'' after ``0'', ``S - XH'', and ``S - XL''
  30. p. 146, Exercise 11.5.2, equation: add ``,'' after ``S - X - p'' and ``- p''
  31. p. 146, Exercise 11.5.3, equation: add ``,'' after ``S - X'' and ``alpha (S - X)''
  32. p. 146, Subsection 11.5.1, 1st paragraph, lines 3 and 4: ``the owner of foreign currencies'' should be ``its owner''
  33. p. 146, Subsection 11.5.1, 1st paragraph, line 4: delete ``the'' from ``r in the foreign currency''
  34. p. 147, Exercise 11.5.7: ``(Put-Call Parity)'' should be ``(Put-Call Parity).'' with ``.'' bold-faced
  35. p. 148, Exercise 11.6.3, line 3: ``Describe the binomial tree algorithm for this option.'' should be ``Describe a binomial tree algorithm for pricing this option.''
  36. p. 152, Figure 11.14, caption, line 2: ``reduce computation time'' should be ``reduce the computation time for European arithmetic average-rate options''
  37. p. 152, Figure 11.14, caption, line 3: add the sentence ``This algorithm overestimates the option value [250].'' after ``... [555].''
  38. p. 152, Exercise 11.7.5, line 2: ``the average-rate'' should be ``the European average-rate''
  39. p. 152, line -4: ``S0, S1, ..., Sk'' should be parenthesized: ``(S0, S1, ..., Sk)''
  40. p. 152, Exercise 11.7.5, line -3: ``the average-rate'' should be ``the European average-rate''
  41. p. 153, Additional Reading, lines 3 and 4: ``An O(...)-time approximation algorithm'' should be ``Other O(...)-time approximation algorithms''

Chapter 12

  1. p. 155, Section 12.1, 2nd paragraph, line 4: ``financial instrument'' should be ``financial instruments''
  2. p. 156, line -2: ``default on'' should be ``defaulted on''
  3. p. 157, line -2: ``result from'' should be ``be secured by''
  4. p. 157, line -1: ``result from'' should be ``be secured by''
  5. p. 158, line 2: ``check that'' should be ``check that the parity becomes''
  6. p. 158, Exercise 12.2.3, line 4: ``, where'' should be ``by setting''
  7. p. 158, line -6: delete ``[510]''
  8. p. 160, 4 lines and 3 lines above The Underlying Asset Pays a Continuous Dividend Yield: ``a sufficient fund'' should be ``sufficient funds''
  9. p. 160, line -5: ``There is a sufficient fund'' should be ``There are sufficient funds''
  10. p. 161, Section 12.3, 1st paragraph, line -3: ``gain or loss'' should be ``gains or losses''
  11. p. 162, line 5: ``food processor'' should be ``clearinghouse''
  12. p. 162, 3rd paragraph, lines 4 and 5: ``options on stock index'' should be ``stock index options''
  13. p. 163, line -1: ``how'' should be ``how the amount''
  14. p. 164, Subsection 12.3.2, 2nd paragraph, line -2: ``end of day zero'' should be ``beginning of day one''
  15. p. 166, lines -6 and -5: ``cash flows generated by the asset D'' should be ``the cash flow D generated by the asset''
  16. p. 169, EXAMPLE 12.4.3, line 1: ``a call'' should be ``an American call''
  17. p. 169, EXAMPLE 12.4.3, line 1: ``with strike'' should be ``with strike price''
  18. p. 169, EXAMPLE 12.4.3, line -2: ``September'' should be ``December''
  19. p. 170, 1 line above (12.14): delete ``when they are exercised''
  20. p. 170, Equation (12.14): add ``,'' at the end
  21. p. 170, Equation (12.15): add ``.'' at the end
  22. p. 170, Subsection 12.4.1, 2nd paragraph, line 3: ``futures/forward prices'' should be ``futures or forward price''
  23. p. 171, line 2: ``PV'' should be ``discounted value''
  24. p. 171, line 2: ``max(F - X, 0)'' should be ``(F - X)''
  25. p. 171, Subsection 12.4.2, lines 1 and 4: move ``[81]'' to follow ``1976''
  26. p. 171, Subsection 12.4.2, line 6: ``Formulas (12.16)'' should be ``the above formulas''
  27. p. 171, Subsection 12.4.2, 2nd paragraph, line 3: add ``)'' after ``or T.''
  28. p. 171, Subsection 12.4.2, 2nd paragraph, line 3: delete ``then''
  29. p. 171, Subsection 12.4.2, 2nd paragraph, line 4: ``The delta for the call'' should be ``The deltas''
  30. p. 171, Subsection 12.4.2, 2nd paragraph, line 5: ``spot price:'' should be ``spot price; for example:''
  31. p. 172, Subsection 12.4.3, 1st paragraph, line -3: ``(12.15)'' should be ``formula (12.15)''
  32. p. 172, Subsection 12.4.3, 3rd paragraph, line 3: ``To set up an'' should be ``An''
  33. p. 172, Subsection 12.4.3, 3rd paragraph, line 5: ``, we set up'' should be ``satisfies''
  34. p. 173, Section 12.5, 1st paragraph, line -1: ``forward-rate agreement'' should be ``forward rate agreement''
  35. p. 175, Subsection 12.5.2, 1st paragraph, line 1: ``of currency'' should be ``of a currency''
  36. p. 175, EXAMPLE 12.5.2, line 1: ``2-year'' should be ``3-year''

Chapter 13

  1. p. 179, Section 13.2, 1st paragraph, line 5: ``says'' should be ``says that''
  2. p. 180, Exercise 13.2.2, line 3: ``6.4.3, part (2)'' should be ``6.4.3(2)''
  3. p. 181, Exercise 13.2.8, line 5: ``11.5.4, part (1)'' should be ``11.5.4(1)''
  4. p. 182, Subsection 13.2.2, 1st paragraph, line 1: ``Futures prices form'' should be ``The futures price is''
  5. p. 182, Subsection 13.2.3, 1st paragraph, line 4: ``times,'' should be ``times and does not pay dividends,''
  6. p. 182, Subsection 13.2.3, 1st paragraph, line 4: ``says'' should be ``says that''
  7. p. 182, Subsection 13.2.3, 1st paragraph, line -2: add ``in other words, '' after ``;''
  8. p. 183, Exercise 13.2.12, line 3: ``the binomial option pricing model'' should be ``the BOPM''
  9. p. 183, Exercise 13.2.13, line 1: delete ``risk-neutral''
  10. p. 185, Exercise 13.3.4, line 4: delete ``,'' from ``, and''
  11. p. 185, Subsection 13.3.1, line -9: ``(...)/2'' should be ``[ ... ]/2''
  12. p. 185, Subsection 13.3.1, line -7: ``(...)/2'' should be ``[ ... ]/2''
  13. p. 186, Exercise 13.3.7, line 1: add ``,'' after "}"
  14. p. 188, Section 13.4, line 1: ``process'' in ``Brownian bridge process'' should be bold-faced
  15. p. 188, Section 13.4, line 1: ``Brownian motion'' in ``tied-down Brownian motion'' should be bold-faced
  16. p. 188, Additional Reading, line 2: Add `` (1910--2004)'' after ``Doob''

Chapter 14

  1. p. 191, 2nd paragraph, lines -6 and -5: ``, written as'' should be ``:''
  2. p. 191, 2nd paragraph, line -2: ``says'' should be ``says that''
  3. p. 191, 2nd paragraph, line -1: ``, and a'' should be ``. One''
  4. p. 192, Exercise 14.1.2, line -1: ``(...)/2'' should be ``[ ... ]/2''
  5. p. 192, Comment 14.1.2, line 3: ``point ... point'' should be ``points ... points''
  6. p. 193, Section 14.2, 1st paragraph, line 6: ``Langevin's work'' should be ``Langevin''
  7. p. 193, Section 14.2, 1st paragraph, line 9: delete ``an'' from ``an instantaneous''
  8. p. 193, Section 14.2, 1st paragraph, line 10: delete ``of'' from ``drift of''
  9. p. 193, Section 14.2, 1st paragraph, line 10: delete ``an'' from ``an instantaneous''
  10. p. 193, Section 14.2, 1st paragraph, line 10: delete ``of'' from ``variance of''
  11. p. 193, Section 14.2, 1st paragraph, line 12: ``mean zero and variance dt'' should be ``zero mean and a variance of dt''
  12. p. 193, line -1: delete ``an'' from ``an illustration''
  13. p. 194, 2nd paragraph, line 5: ``The'' should be ``A''
  14. p. 194, Equation (14.7): ``a[...] ... b[...]'' should be ``a(...) ... b(...)''
  15. p. 194, Subsection 14.2.2, 1st paragraph, line 1: ``Consider an'' should be ``Consider the''
  16. p. 196, THEOREM 14.2.2: ``(Higher-Dimensional Ito's Lemma)'' should be ``(Higher-Dimensional Ito's Lemma).'' with ``.'' bold-faced
  17. p. 198, Exercise 14.3.6: there should be an extra ``+g2dt'' term
  18. p. 199, Figure 14.4, caption, line 3: add extra space after ``0.3''
  19. p. 199, 2nd paragraph, line 1: ``property'' in ``mean-reversion property'' should be bold-faced
  20. p. 199, line -2: ``structure'' should be ``structures''
  21. p. 199, line -1: ``volatility'' should be ``volatilities''
  22. p. 199, line -1: ``return'' should be ``returns''
  23. p. 200, Exercise 14.3.10, line -2: ``price'' should be ``prices''
  24. p. 200, Subsection 14.3.2, line -1: ``for an illustration'' should be ``for illustration''
  25. p. 200, Subsection 14.4.1, line -2: add ``an'' before ``European''
  26. p. 202, 4 lines above Exercise 14.4.2: ``with longer'' should be ``with a longer''
  27. p. 202, line -3: delete ``be''
  28. p. 203, 3 lines above Exercise 14.4.2: ``interest'' should be ``short''
  29. p. 203, Exercise 14.4.2, line 2: ``interest'' should be ``short''
  30. p. 204, 1 line above Exercise 14.4.5: delete ``('' and ``)''
  31. p. 204, Exercise 14.4.8, line 4: delete the extra space between ``sigma^2'' and ``T'' in 2 places
  32. p. 204, line -8: add ``,'' after ``u''
  33. p. 204, line -7: add ``,'' after ``d''
  34. p. 205, NOTE: delete ``all''

Chapter 15

  1. p. 206, 1st paragraph, line 3: ``to derivatives'' should be ``to many derivatives''
  2. p. 207, 1st paragraph, line 3: the parentheses in ``(heat)'' should not be bold-faced
  3. p. 207, 1st paragraph, line -3: ``to generalized forms'' should be ``to a generalized form''
  4. p. 207, Section 15.2, 1st paragraph, line -2: ``and forces'' should be ``, forcing''
  5. p. 207, Section 15.2, 2nd paragraph, line 2: ``motion'' should be ``motion process''
  6. p. 207, Section 15.2, 2nd paragraph, lines -2 and -1: delete ``(in years)''
  7. p. 207, Subsection 15.2.1, line 1: replace ``on S'' with ``whose payff depends only on S(T)''
  8. p. 211, Subsection 15.2.3, 1st paragraph, line -4: ``The accuracy is even better if'' should be ``For numerical reasons,''
  9. p. 211, Subsection 15.2.3, 1st paragraph, line -3: ``is'' should be ``may be''
  10. p. 211, Subsection 15.2.3, equations, line 1: add ``,'' after ``X - S''
  11. p. 211, Subsection 15.2.3, equations, line 2: add ``,'' after ``X - S''
  12. p. 211, Subsection 15.2.3, equations, line 3: add ``,'' after ``X - S''
  13. p. 211, Subsection 15.2.3, equations, line 4: add ``,'' after ``0''
  14. p. 212, 2nd paragraph, equations, line 1: add ``,'' after ``S - X''
  15. p. 212, 2nd paragraph, equations, line 2: add ``,'' after ``S - X''
  16. p. 212, 2nd paragraph, equations, line 3: add ``,'' after ``S - X''
  17. p. 212, 2nd paragraph, equations, line 4: add ``,'' after ``0''
  18. p. 215, 1st paragraph, equations: move label ``(15.7)'' to line 1 of equation
  19. p. 215, Exercise 15.3.6: ``(Euler's Theorem).'' should be ``(Euler's Theorem).'' with ``.'' bold-faced
  20. p. 215, Exercise 15.3.9: ``(Put-Call Parity).'' should be ``(Put-Call Parity).'' with ``.'' bold-faced
  21. p. 215, Subsection 15.3.6, 2nd paragraph, line 2: ``that foreign currency'' should be ``that a foreign currency''
  22. p. 217, 1st paragraph below Cross-Currency Options, line -1: add ``from the earlier ones'' after ``different''
  23. p. 217, 3 lines above Exercise 15.3.14: there should be an extra ``+s 2Cdt'' term
  24. p. 218, line -4: delete the extra space before ``In fact''
  25. p. 219, line -16: delete ``and'' from ``and relation''
  26. p. 219, line -13: add ``if'' before ``1000 x''
  27. p. 219, line -12: add ``if'' before ``V(T)<=''

Chapter 16

  1. p. 225, Subsection 16.2.2, 1st paragraph, line 6: delete ``cash market''
  2. p. 225, Subsection 16.2.2, 1st paragraph, line -2: delete ``cash''
  3. p. 226, Subsection 16.2.3, 1st paragraph, line -2: ``if'' should be ``when''
  4. p. 229, 3 lines above (16.3): delete ``net'' from ``dollars net''
  5. p. 229, line -11: ``~68%'' should be ``approximately 68%''
  6. p. 229, line -9: delete ``to'' from ``decrease to''
  7. p. 229, line -1: delete ``with zero value''
  8. p. 231, Subsection 16.3.2, line 3: ``is like'' should be ``is like a''
  9. p. 232, 1st paragraph, line 4: delete ``with zero value''
  10. p. 232, line -4: ``look back'' should be ``lookback''

Chapter 17

  1. p. 234, Section 17.1, 1st paragraph, line 1: add ``process'' after ``motion''
  2. p. 234, Section 17.1, 1st paragraph, line -5: ``works'' should be ``meets the requirements''
  3. p. 234, Section 17.1, 1st paragraph, line -1: ``convergence'' should be ``limit''
  4. p. 235, Equation (17.2): ``(...) for even ... b'' should be ``(...), for even ... b,''
  5. p. 235, Figure 17.1, caption: delete sentence ``Two paths ...).''
  6. p. 236, 3rd paragraph, line 3: ``S line'' should be ``H line''
  7. p. 237, Figure 17.3, algorithm, line -5: swap ``p'' and ``(1-p)''
  8. p. 237, Figure 17.3, algorithm, line -4: swap ``u'' and ``d''
  9. p. 237, 1st paragraph, line 6: ``:'' should be ``because''
  10. p. 238, Programming Assignment 17.1.10, line 2: ``11.7.11, part (1)'' should be ``11.7.11(1)''
  11. p. 238, line -2: ``*'' should be ``1''
  12. p. 239, Figure 17.4, caption, line 1: ``calls. A'' should be ``calls: a''
  13. p. 239, Equation (17.7): add ``where'' before ``l \equiv''
  14. p. 241, 1st paragraph, line -3: H u2 should be ``X but paying zero unless S(t)>H
  15. p. 241, 1st paragraph, line -2: ``is'' should be ``is again''
  16. p. 241, Exercise 17.1.16, lines 2 and 3: add ``,'' before ``for'' (4 places)
  17. p. 242, Section 17.2, 1st paragraph, line 1: add ``process'' after ``motion''
  18. p. 242, Section 17.2, 1st paragraph, line -4: ``We need'' should be ``We also need''
  19. p. 243, line 2: ``which resulting'' should be ``which the resulting''
  20. p. 243, Subsection 17.2.1, line 9: ``min'' should be ``max''
  21. p. 244, Figure 17.8, line 2: delete ``H < X,''
  22. p. 244, 1st paragraph, line 1: ``like'' should be ``Like''
  23. p. 248, Exercise 17.3.5: ``(Optimal Hedge Ratio)'' should be ``(Optimal Hedge Ratio).'' with ``.'' bold-faced

Chapter 18

  1. p. 249, Section 18.1, 2nd paragraph, lines 1 and 2: ``By replacing'' should be ``We replace''
  2. p. 249, Section 18.1, 2nd paragraph, line 4: ``axis, the ... is'' should be ``axis. The ... becomes''
  3. p. 255, 1st paragraph, line 9: add a period
  4. p. 255, 1st paragraph, line -3: add ``once and for all'' after ``tridiagonal matrix''
  5. p. 255, line -3: ``have a joint distribution'' should be ``are random variables''
  6. p. 258, Exercise 18.2.4, liine 2: add ``process'' after ``motion''
  7. p. 258, Exercise 18.2.4, liine 4: add ``the'' before ``normal''
  8. p. 259, 2nd line below subsubsection Antithetic Variates: delete ``independent''
  9. p. 259, 6th line below subsubsection Antithetic Variates: add ``thus'' before ``smaller''
  10. p. 259, 8th line below subsubsection Antithetic Variates: ``technique'' should be bold-faced
  11. p. 260, EXAMPLE 18.2.2, line -1: add ``using this idea'' before the period
  12. p. 260, Figure 18.7, caption, line 2: ``m is the number replications'' should be ``2m is the number sample paths''
  13. p. 261, 1st paragraph, line 1: ``There'' should be ``Suppose there''
  14. p. 261, 1st paragraph, line 6: delete ``we obtain by''
  15. p. 266, EXAMPLE 18.3.2, line 7: add ``component'' after ``c2''
  16. p. 266, Additional Reading, 2nd paragraph, line 4: ``component'' after ``c2''
  17. p. 267, NOTES, line -1: add a period after ``11010''

Chapter 19

  1. p. 268, line -5: add a period
  2. p. 269, Figure 19.1, caption, line 2: ``(left to right)'' should be ``(from left to right)''
  3. p. 271, line 2: delete ``furthermore''
  4. p. 272, subsubsection Generation of the Multivariate Normal Distribution, 1st paragraph, line 2: ``distribution'' should be ``covariance structure''
  5. p. 272, THEOREM 19.1.1: ``(SVD)'' should be ``(SVD).'' with ``.'' bold-faced
  6. p. 275, THEOREM 19.2.10: ``(Underdetermined Linear Equations)'' should be ``(Underdetermined Linear Equations).'' with ``.'' bold-faced
  7. p. 276, Exercise 19.2.13: ``(Lawson-Hanson Algorithm)'' should be ``(Lawson-Hanson Algorithm).'' with ``.'' bold-faced
  8. p. 280, EXAMPLE 19.3.1, line 2: add ``,'' before ``y4=4.''
  9. p. 281, Figure 19.7, caption, line 2: ``just a data point'' should be ``just one data point''
  10. p. 282, Subsection 19.3.3, 1st paragraph, line 1: ``Bi'' should be ``Bi(x)''

Chapter 20

  1. p. 287, Exercise 20.1.3: add ``of the Ogden model'' before the period
  2. p. 287, Subsection 20.1.1: move the 1st sentence of the first paragraph to head the second paragraph
  3. p. 288, Subsection 20.1.2, 1st paragraph: ``form'' in ``semistrong form'' should be bold-faced
  4. p. 288, Subsection 20.1.2, 1st paragraph: ``form'' in ``strong form'' should be bold-faced
  5. p. 289, line 14: ``effect'' should be ``effects''
  6. p. 289, line 18: ``; thus'' should be ``:''
  7. p. 290, line -5: ``white noise'' should be ``white noise process''
  8. p. 293, line 12: ``Exercise 20.2.3, part (1)'' should be ``Exercise 20.2.3(1)''
  9. p. 293, line 15: ``Exercise 20.2.3, part (2)'' should be ``Exercise 20.2.3(2)''
  10. p. 293, Additional Reading, line 1: ``time-series'' should be ``time series''
  11. p. 293, Additional Reading, line -5: ``sampled; the'' should be ``sampled. The''

Chapter 21

  1. p. 298, line -9: add ``,'' after ``therefore''
  2. p. 298, line -7: delete ``the'' from ``the 6-month''
  3. p. 300, 2nd paragraph, line 2: ``now that June 1995'' should be ``that now (June 1995)''
  4. p. 301, Subsection 21.1.4, 2nd paragraph, line -5: ``8%'' should be ``6%''
  5. p. 301, Subsection 21.1.4, 3rd paragraph, line -5: ``8%'' should be ``6%''
  6. p. 301, Subsection 21.1.4, 3rd paragraph, line -1: replace ``1.04'' with ``1.03'' (4 places)
  7. p. 302, 2nd paragraph, line 4: ``8%'' should be ``6%''
  8. p. 302, 2nd paragraph, line 6: replace ``1.04'' with ``1.03'' (2 places)
  9. p. 302, 2nd paragraph, line 6: ``148.42'' should be ``178.72''
  10. p. 302, 2nd paragraph, line 7: ``1.4842'' should be ``1.7872''
  11. p. 302, 2nd paragraph, line -2: replace ``1.04'' with ``1.03'' (2 places)
  12. p. 302, 2nd paragraph, line -2: ``148.66'' should be ``179.26''
  13. p. 302, 2nd paragraph, line -1: ``1.4866'' should be ``1.7926''
  14. p. 303, Exercise 21.1.3, line 1: ``8%'' should be ``6%''
  15. p. 303, EXAMPLE 21.1.6, line 2: ``1.0982'' should be ``1.3374''
  16. p. 303, EXAMPLE 21.1.6, line -3: ``8%'' should be ``6%''
  17. p. 303, EXAMPLE 21.1.6, line -3: ``1.0982'' should be ``1.3374''
  18. p. 303, EXAMPLE 21.1.6, line -2: ``1.0982'' should be ``1.3374''
  19. p. 303, EXAMPLE 21.1.6, line -2: ``97.997'' should be ``80.470''
  20. p. 304, Subsection 21.1.5, 1st paragraph, line 3: ``8%'' should be ``6%''
  21. p. 305, line 16: add ``both 3-'' should be ``both the 3-''
  22. p. 309, Figure 21.6, caption, line 1: delete ``the'' from ``the LIBOR''
  23. p. 309, subsection 21.2.4, 2nd paragraph, line 1: replace ``caps'' with ``caplets'' (2 occurrences)
  24. p. 309, subsection 21.2.4, 2nd paragraph, line 1: replace ``floors'' with ``floorlets''
  25. p. 309, subsection 21.2.4, 2nd paragraph, line 3: replace ``cap's'' with ``caplet's''
  26. p. 312, Figure 21.8, caption, line 2: ``(93-futures price)'' should be ``max(93-futures price,0)''
  27. p. 313, line 7: delete ``the'' from ``over the LIBOR''
  28. p. 313, 5 lines above EXAMPLE 21.4.1: delete ``the'' from ``the LIBOR''
  29. p. 313, 2 lines above EXAMPLE 21.4.1: delete ``the'' from ``the LIBOR''
  30. p. 313, line -7: delete ``the'' from ``the LIBOR''
  31. p. 313, line -1: delete ``the'' from ``the LIBOR''
  32. p. 314, line 3: delete ``the'' from ``the LIBOR''
  33. p. 314, line 6: delete ``the'' from ``the LIBOR''
  34. p. 314, lines 7-8: delete ``the'' from ``the LIBOR''
  35. p. 314, line -4: delete ``the'' from ``the 6-month LIBOR''
  36. p. 315, line 6: delete ``a'' from ``a 6-month''
  37. p. 315, line 11: delete ``the'' from ``the 6-month LIBOR''
  38. p. 316, line 1: delete ``the'' from ``the LIBOR''
  39. p. 316, EXAMPLE 21.4.2, line 1: delete ``the'' from ``the 6-month LIBOR''
  40. p. 316, Exercise 21.4.2, line 2: delete ``the'' from ``the 6-month LIBOR''
  41. p. 316, subsubsection Valuation of Swaps as a Package of Forward Rate Agreements: ``Forward Rate Agreements'' should be ``FRAs''
  42. p. 317, EXAMPLE 21.4.3, line 2: delete ``the'' from ``the 6-month LIBOR''
  43. p. 319, displayed equation for at: add ``,'' after ``0,'' ``b0,'' ``b1,'' ``b2,'' ``b3,'' ``b4,'' and ``1''

Chapter 22

  1. p. 321, Section 22.1, 2nd paragraph, line 1: ``A functional'' should be ``In term structure fitting, usually a functional''

Chapter 23

  1. p. 328, Section 23.1, 1st paragraph, line 3: delete the quotes around the word ``consistent''
  2. p. 328, Section 23.1, 1st paragraph, line -2: ``consistent'' should be ``compatible''
  3. p. 329, 2 lines above (23.1): ``Exercise 23.2.3, part (1)'' should be ``Exercise 23.2.3(1)''
  4. p. 329, line -1: ``Exercise 23.2.3, part (2)'' should be ``Exercise 23.2.3(2)''
  5. p. 333, lines 2-3 below An Approximation Calibration Scheme: delete ``. This certainly works in a deterministic economy''
  6. p. 334, line 9: ``Exercise 23.2.5, part (1)'' should be ``Exercise 23.2.5(1)''
  7. p. 334, Subsection 23.2.2, 1st paragraph, line 7: delete ``and r1, r2, ... , rm-1''
  8. p. 334, Subsection 23.2.2, 1st paragraph, line 8: delete ``, thus hopelessly slow [508]''
  9. p. 334, Subsection 23.2.2, 2nd paragraph, line 3: add ``, we recall, '' after ''This number''
  10. p. 334, Subsection 23.2.2, 2nd paragraph, line 3: ``state price'' should not be bold-faced
  11. p. 334, Subsection 23.2.2, 3rd paragraph, line 3: delete comma from ``, corresponding''
  12. p. 335, Figure 23.8, caption, line 2: add ``derived'' before ``from''
  13. p. 336, algorithm in Figure 23.9, line -4: delete the enclosing parentheses ``( ... )'' below P[ j ]
  14. p. 336, line 5: delete ``, each consuming O(n) work''
  15. p. 339, line 6: ``wide'' should be ``many''
  16. p. 339, lines 9-10: ``step 1 ... step 2 ... step 3'' should be ``statement 1 ... statement 2 ... statement 3''
  17. p. 340, Figure 23.14, caption, line -2: ``model'' should be ``market''
  18. p. 341, Figure 23.15, caption, line 3: ``rate'' should be ``rates''
  19. p. 341, Subsection 23.3.3, line 6: ``2 years'' should be ``two years''
  20. p. 342, Programming Assignment 23.3.7, line 1: delete ``European''
  21. p. 343, line 1: delete ``[84]''
  22. p. 344, 2nd paragraph, line -1: ``is covered'' should be ``will be covered''

Chapter 24

  1. p. 346, Section 24.2, line 2, equations, line 1: add ``,'' after ``(T-t)''
  2. p. 346, Section 24.2, line 2, equations, line 2: add ``,'' after ``(T-t)''
  3. p. 346, Section 24.2, line 5, equations, line 1: add ``,'' after ``t+1)''
  4. p. 346, Section 24.2, line 5, equations, line 2: add ``,'' after ``t)''
  5. p. 346, Section 24.2, line 10: ``Exercise 24.2.1, part (1)'' should be ``Exercise 24.2.1(1)''
  6. p. 348, Exercise 24.2.10, line 4: add extra space between ``]'' and ``sigma(t)^2''
  7. p. 348, Section 24.3, line 3: ``t+1 < T'' should be ``t < T''
  8. p. 349, 3rd paragraph, line 2: ``at times'' should be ``at future times''
  9. p. 349, line -5: delete the multiplication operator ``x''
  10. p. 350, Exercise 24.3.2, line 5: ``Exercise 5.7.3, part (2)'' should be ``Exercise 5.7.3(2)''
  11. p. 351, Equation (24.10): replace equivalence sign with ``=''
  12. p. 351, line -6: delete ``[76]''
  13. p. 353, Section 24.5: ``Forward-Rate Process'' should be ``Forward Rate Process''
  14. p. 353, Section 24.5, line 5: ``forward-rate process'' should be ``forward rate process''
  15. p. 353, Exercise 24.5.1: delete ``directly''
  16. p. 355, Subsection 24.6.1, table on line 3: the font for heading ``Year 1 2'' and table contents is inconsistent with that in earlier tables such as Figure 23.17 on p. 343
  17. p. 355, Subsection 24.6.1, 2nd paragraph, line -3: ``an up'' should be ``a down''
  18. p. 356, Exercise 24.6.8: ``(Dynamic Immunization)'' should be ``(Dynamic Immunization).'' with ``.'' bold-faced
  19. p. 358, line 1: ``10% - one-year rate'' should be ``(10% - one-year rate)''

Chapter 25

  1. p. 361, Section 25.1, line 1: ``the model'' should be ``a model''
  2. p. 362, Exercise 25.1.3, line 1: ``Show'' should be ``Prove''
  3. p. 362, Exercise 25.1.5, displayed equation: add extra space between ``]'' and ``dt''
  4. p. 363, Exercise 25.1.6, line 1: ``sv2'' should be ``v(t,T)2B(t,T)2''
  5. p. 363, line -1: add ``further'' after ``explored''
  6. p. 365, Exercise 25.2.2: ``Show'' should be ``Prove''
  7. p. 365, Exercise 25.2.4: ``(Affine Models)'' should be ``(Affine Models).'' with ``.'' bold-faced
  8. p. 365, Exercise 25.2.4, line 1: add ``(1)'' before ``For any ...''
  9. p. 366, Subsection 25.2.1, line 4: ``Exercise 25.2.14, part (1)'' should be ``Exercise 25.2.14(1)''
  10. p. 368, line 7: ``PA (...)'' should be ``PA [ ... ]''
  11. p. 369, table on line 3: the font for heading ``Discount factor Year (Now) (Time Delta t; up state)'' and table contents is inconsistent with that in earlier tables such as Figure 23.17 on p. 343
  12. p. 369, 3 lines above Subsection 25.2.2: ``... pricing. We ...'' should be ``... pricing: We ...''
  13. p. 369, Subsection 25.2.2, 1st paragraph, equation, line 5: replace the ``yu'' in the numerator with ``yd''
  14. p. 369, Subsection 25.2.2, 1st paragraph, line 6: delete ``+'' from ``yu+''
  15. p. 370, Exercise 25.2.14, line 1: ``Show ... untransformed ...'' should be ``Confirm ... original, untransformed ...''
  16. p. 371, Section 25.4, line 2: ``approach'' in ``time-series approach'' should be bold-faced
  17. p. 371, Section 25.4, line -3: ``approach'' in ``cross-sectional approach'' should be bold-faced
  18. p. 372, 2nd paragraph, line 5: delete ``[234]''
  19. p. 372, 3rd paragraph, line 5: delete ``[42,149]''
  20. p. 373, 4 lines above Exercise 25.5.1: replace ``Si X'' with ``Si ci Xi''
  21. p. 374, line 5: ``fit'' should be ``fits''
  22. p. 374, 2nd paragraph, line -1: ``emerges.'' should be ``emerges here.''

Chapter 26

  1. p. 375, Section 26.1, 2nd paragraph, line 2: delete citation ``[477,482]''
  2. p. 376, line 5: delete ``it is not hard to see that,''
  3. p. 376, line 7: add comma after ``(Exercise 26.2.1)''
  4. p. 377, Subsection 26.2.1, 1st paragraph, line 7: delete reference ``504'' from ``[304,504]''
  5. p. 377, Subsection 26.2.1, 2nd paragraph, line 1: delete ``all''
  6. p. 377, Subsection 26.2.1, 3rd paragraph, line 4: delete citation ``[359]''
  7. p. 379, Exercise 26.2.9, line 4: add ``The'' before ``T''
  8. p. 380, Problems with no-arbitrage models in general: Make it a subsection instead of subsubsection
  9. p. 380, Problems with no-arbitrage models in general, line 5: ``everyday'' should be ``every day''
  10. p. 380, Section 26.3, 1st paragraph, line 6: ``comparison'' should be ``contrast''
  11. p. 381, line 1: ``these'' should be ``the following''
  12. p. 381, Subsection 26.3.1, 3rd paragraph, line 1: delete ``let''
  13. p. 381, Subsection 26.3.1, 3rd paragraph, line 2: delete ``let''
  14. p. 382, algorithm in Figure 26.3, line 13: delete the enclosing parentheses ``( ... )'' below P[ j ]
  15. p. 382, algorithm in Figure 26.3, line 14: delete the enclosing parentheses ``( ... )'' below Pu[ j ]
  16. p. 382, algorithm in Figure 26.3, line 14: delete the enclosing parentheses ``( ... )'' below Pd[ j ]
  17. p. 382, Figure 26.3, caption, line 4: ``Eqs'' should ``Eq''
  18. p. 382, line 3: delete reference ``149'' from ``149,508]''
  19. p. 383, line -4: ``longterm'' should be ``long-term''
  20. p. 384, line 2: ``has to be carried out for'' should be ``is tailored to''
  21. p. 384, Section 26.4, 1st paragraph, line 5: ``theta(.)'' should be ``theta(t)''
  22. p. 384, Section 26.4, 1st paragraph, line -3: ``theta(.), a(.), and sigma(.)'' should be ``theta(t), a(t), and sigma(t)''
  23. p. 384, Section 26.4, 2nd paragraph, line 1: delete ``the'' from ``the Ho-Lee''
  24. p. 384, Subsection 26.4.1, 1st paragraph, line 3: ``is'' should be ``are''
  25. p. 385, line 2: ``period [ ... ]'' should be ``period [ ... )''
  26. p. 386, 2nd paragraph, line 2: ``Q(i,k) ... for all k ... Q(i,k)'' should be ``Q(i,j) ... for all j ... Q(i,j)''
  27. p. 386, 2nd paragraph, line 3: ``(i,k)'' should be ``(i,j)''
  28. p. 386, 2nd paragraph, line 7: replace the sentence ``The right-hand side ... .'' with this sentence ``The right-hand side represents the value of $1 at time ti+2 as seen at node (i,j) at time ti --- thus r(i+1) is stochastic --- before being discounted by Q(i,j).''
  29. p. 388, Section 26.5, 2nd paragraph, line -1: delete reference ``[515]''
  30. p. 390, 1st paragraph, line -6: ``the third'' should be ``third''
  31. p. 390, line -3: add ``Gaussian'' after ``one-factor''
  32. p. 390, Equation (26.20): change ``+'' to ``-''
  33. p. 391, 1 line above Subsection 26.5.2: delete s
  34. p. 392, line 7: ``[ ... ] dt'' should be ``{ ... } dt''
  35. p. 394, line -1: ``x[ ... ]'' should be ``x( ... )''
  36. p. 398, line 4: ``to pricing'' should be ``to price''

Chapter 27

  1. p. 400, line 4: ``view'' should be ``snapshot''
  2. p. 400, 3rd paragraph, line -4: ``the GSEs'' should be ``GSEs''
  3. p. 400, 4th paragraph, line 1: ``issuedby state'' should be ``issued by states''
  4. p. 402, line 3: ``at a bank'' should be ``from a bank''
  5. p. 403, line 2: ``called'' should be ``called then''
  6. p. 403, Subsection 27.3.2, 1st paragraph, line 4: ``trustee'' should be ``trustee,''
  7. p. 404, line 7: delete reference ``[328]''
  8. p. 404, 2nd paragraph, line 2: ``immediately'' should be ``immediately:''
  9. p. 405, algorithm in Figure 27.6, line 8: delete the second ``=''
  10. p. 406, Exercise 27.3.6, line 2: ``Exercise 11.1.10, part (2)'' should be ``Exercise 11.1.10(2)''
  11. p. 407, Subsection 27.4.2, 1st paragraph, line 2: ``the option feature ... without the option.'' should be ``the option ... without it.''
  12. p. 407, Subsection 27.4.2, 2nd paragraph, line -1: delete reference ``330'' from ``[325,330]''
  13. p. 408, Subsection 27.4.3, 1st paragraph, line 5: ``Chap. 23 is ... ideas.'' should be ``Chap. 23 will be ... ideas here.''
  14. p. 410, Figure 27.8, caption, line 6: add ``make the following changes:'' after putable ``bonds,''
  15. p. 410, Figure 27.8, caption, line 6: capitalize the two occurrences of ``replace''
  16. p. 410, Figure 27.8, caption, line 7: capitalize ``make''
  17. p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 2: delete ''plus''
  18. p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 6: add ``as'' after ''effective duration''
  19. p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 7: ``Eqs'' should be ``Eq''
  20. p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 7: delete reference ``848'' from ``[325,848]''
  21. p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 7: delete reference ``330'' from ``[55,330]''
  22. p. 411, line -3: delete reference ``429'' from ``[36,329,429]''
  23. p. 411, line -2: add ``as done above'' after ``model''
  24. p. 411, line -1: delete reference ``[731]''
  25. p. 412, 1 line above Exercise 27.4.12: ``better'' should be ``more comprehensive''
  26. p. 412, line -7: ``The price'' should be ``Each price''

Chapter 28

  1. p. 417, 2nd paragraph, line -4: delete ``the'' from ``, and the''
  2. p. 421, line -2: ``0.05/0.09'' should be ``0.05/0.95''
  3. p. 422, line -1: delete ``like Fannie Mae''
  4. p. 423, Subsection 28.5.3, 1st paragraph, line 2: ``575'' should be ``800''
  5. p. 423, Subsection 28.5.3, 1st paragraph, line 3: ``1999'' should be ``2001''
  6. p. 423, Section 28.6, 1st paragraph, line -1: ``remain prepaid'' should be ``are prepaid''
  7. p. 424, Subsection 28.6.1, line 5: add ``that'' after ``meaning''

Chapter 29

  1. p. 427, 1st paragraph, line 1: delete ``the'' from ``the MBS''
  2. p. 427, 1st paragraph, line 2: use normal font instead of small cap for ``PRINCIPAL AND INTEREST''
  3. p. 427, Section 29.1, 1st paragraph, line 3: ``100,000. Figure'' should be ``100,000, and Figure''
  4. p. 428, 1st paragraph, 1 line below Eq. (29.2): ``Bal0'' should be ``the same equation with k=0.''
  5. p. 432, subsection 29.1.2, 1st paragraph, line -2: ``exceeds'' should be ``is exceeded by ''
  6. p. 432, line -3: delete ``must''
  7. p. 433, line -3: ``~6%'' should be ``approximately 6%''
  8. p. 434, Exercise 29.1.6, table: the font for headings ``Month'' and ``PSA'' and table contents is inconsistent with that in earlier tables such as Figure 23.17 on p. 343
  9. p. 437, Figure 29.10, caption, line -1: ``Exercise 29.1.9, part (1)'' should be ``Exercise 29.1.9(1)''
  10. p. 438, Subsection 29.1.4, 2nd paragraph, line 2: add ``over successive months'' after ``SMMs''
  11. p. 438, Subsection 29.1.4, 3rd paragraph, line 1: ``We can compute the pool's cash flow'' should be ``The pool's cash flow can be computed''
  12. p. 440, Section 29.2, 1st paragraph, line 2: ``The MBS'' should be ``An MBS''
  13. p. 441, 1st paragraph, line -1: delete ``[4]''
  14. p. 441, 2nd paragraph, line -3: delete ``the'' from ``the house''
  15. p. 441, Figure 29.14, caption, line -2: ``Zs'' should be ``Z's''
  16. p. 445, line 1: delete ``an'' from ``for an illustration''
  17. p. 446, Exercise 29.3.2, line 2: ``effective'' should be ``the effective''
  18. p. 448, 1st paragraph, line 2, equation (29.13): Add ``Sn'' right before Cn*/()()...()
  19. p. 448, 1st paragraph, line 3: ``for which'' should be ``in which''
  20. p. 448, 2nd paragraph, line 5, equation: Add ``Sn'' right before Cn*/()()...()
  21. p. 448, 4th paragraph, line 5: ``Therefore an'' should be ``An''
  22. p. 449, 1st paragraph, line 2: delete ``[323,325]''
  23. p. 449, Holding Period Returns, equation: delete ``the'' from ``the MBS''
  24. p. 450, NOTES 2, line -1: delete ``54'' from ``[54,330]''

Chapter 30

  1. p. 451, 1st paragraph, line 3: delete ``[660]''
  2. p. 451, Section 30.1, 1st paragraph, line 3: ``would be'' should be ``is''
  3. p. 452, Example 30.2.1, line 4: add a period after ``LIBOR''
  4. p. 453, line 4: ``in comparison'' should be ``in contrast''
  5. p. 453, 2nd paragraph, equation: add extra space between ``LIBOR'' and ``)''
  6. p. 453, both tables in 2nd paragraph: heading ``LIBOR Change (Basis Points)'' should be ``LIBOR change (basis points)''
  7. p. 453, Exercise 30.2.1, equation: add extra space between ``LIBOR'' and ``)''
  8. p. 453, Section 30.3, 1st paragraph, line 1: ``They'' should be ``Their cash flows''
  9. p. 453, Section 30.3, 1st paragraph, line 2: ``by calculation of the cash flows from'' should be ``from the cash flows of''
  10. p. 454, 3rd paragraph, line 4: delete ``an'' from ``for an illustration''
  11. p. 456, 1st paragraph, line 3: delete ``an'' from ``for an illustration''

Chapter 31

  1. p. 458, quote: add ``(1912--2006)'' after ``Friedman''
  2. p. 459, 2nd paragraph, line -3: ``then is'' should be ``now becomes''
  3. p. 460, Figure 31.1, caption, line 2: delete the enclosing parentheses of ``that are above the MVP''
  4. p. 461, 2nd paragraph, line 2: delete ``(1)''
  5. p. 461, 2nd paragraph, line 3: delete ``(2)''
  6. p. 461, 2nd paragraph, line 6: ``also represents'' should be ``is''
  7. p. 464, Subsection 31.1.2, 1st paragraph, line 5: ``amounts'' should be ``funds''
  8. p. 466, 1st paragraph, line -2: ``shows'' should be ``lists''
  9. p. 467, 2 lines above Exercise 31.2.3: ``This demonstrates'' should be ``So''
  10. p. 467, Exercise 31.2.4, line -1: ``riskiness'' should be ``risk''
  11. p. 468, Subsection 31.2.2, 1st paragraph, line 4: ``static'' should not be italicized
  12. p. 470, 2nd paragraph, line 4: delete ``[799]''
  13. p. 470, line -5: ``results'' should be ``identities''
  14. p. 471, lines 2--3: delete sentence ``The single-factor ... [795].''
  15. p. 473, 3rd paragraph, line 4: delete the ``,'' after ``on the other hand''
  16. p. 474, Section 31.4, quote, line 3, ``The Economist'': italicize
  17. p. 474, Section 31.4, 1st paragraph, line -2: ``has become'' should be ``is''
  18. p. 474, Section 31.4, 2nd paragraph, line -2: ``VaR, and we'' should be ``VaR. We''
  19. p. 474, Section 31.4, 3rd paragraph, line 2: ``We assume that the'' should be ``The''
  20. p. 476, Subsection 31.4.1, 1st paragraph, line 6: ``As always, actual'' should be ``Actual''
  21. p. 477, algorithm in Figure 31.7, line -7: delete ``sqrt(C[j][j]) X'' in front of ``dW[j]''
  22. p. 477, line 2: ``Exercise 31.4.3, part (3)'' should be ``Exercise 31.4.3(3)''
  23. p. 478, 3rd paragraph, line -2: delete ``[571]''
  24. p. 478, Subsection 31.4.3, 3rd paragraph, line 1: delete ``the'' from ``the VaR''
  25. p. 479, NOTES 1: ``we use variance of return'' should be ``variance of return is used''
  26. p. 479, NOTES 2, line 2: add ``here'' after ``involved''
  27. p. 479, NOTES 8: ``See'' should be ``Recall''
  28. p. 479, NOTES 9: ``Exercise 13.3.10, part (2)'' should be ``Exercise 13.3.10(2)''

Chapter 32

  1. p. 481, line 7: ``)," and so on'' should be ``)"; and so on''
  2. p. 483, Section 32.3, 1st paragraph, line -1: ``worthwhile to parallelize'' should be ``worth the effort to parallelize''

Chapter 33

  1. p. 484, Exercise 3.3.1, line -1, 2 places: ``value" should be ``PV''
  2. p. 485, Exercise 3.3.2, line -1: ``Consult" should be ``See''
  3. p. 485, Exercise 3.5.2, line -2: ``10,..." should be ``10,11,...''
  4. p. 487, Exercise 4.2.3: delete the last paragraph (4 lines)
  5. p. 495, Exercise 8.1.2, line -3: delete ``called the''
  6. p. 495, Exercise 8.1.2, line -2: add ``that'' after ``means''
  7. p. 495, Exercise 8.2.1, line -2: add ``the second equation from the first equation'' after ``subtract''
  8. p. 495, Exercise 8.2.2, line 2: ``noone'' should be ``no one''
  9. p. 497, Exercise 9.2.2, line 3: delete ``equal to''
  10. p. 497, Exercise 9.3.1, line -2: add ``numerically'' after ``limit''
  11. p. 499, Exercise 9.6.1, line -2, equation: add ``,0'' after ``X'' (2 places)
  12. p. 500, Exercise 9.6.7, line 1: ``It retains the binomial tree's'' should be ``The''
  13. p. 500, Exercise 9.6.7, line 2: add ``is retained'' after ``structure''
  14. p. 500, Exercise 9.6.7, line 3: add ``that'' after ``pretending''
  15. p. 500, Exercise 9.6.8, line 2: delete ``has zero value at present as it''
  16. p. 500, Exercise 9.6.8, line 3: add ``a'' before ``positive''
  17. p. 501, Exercise 10.1.5, line 4: add ``identity'' after ``of''
  18. p. 501, Exercise 10.1.7: delete ``[894, p. 78]''
  19. p. 501, Exercise 11.1.3: ``Leibnitz's rule'' should be bold-faced
  20. p. 502, Programming Assignment 11.2.5, line 2: ``, noting'' should be ``. Note''
  21. p. 502, Programming Assignment 11.2.5, line -3: add ``the pre-zeroed'' before ``out-value''
  22. p. 503, Figure 33.2, algorithm, line 3: delete ``(H < X, H < S)''
  23. p. 503, Figure 33.2, algorithm, line 7: delete ``H := Suh;''
  24. p. 503, Figure 33.2, algorithm, line 13: delete ``0 <=''
  25. p. 503, Exercise 11.5.4, line 1: add ``in'' after ``$h''
  26. p. 503, Exercise 11.5.4, line 2: add ``in'' after ``$B''
  27. p. 504, line 3: add ``desired'' before ``result''
  28. p. 504, Exercise 11.7.5, equation, line 1: add ``,'' after the formula before ``if''
  29. p. 504, Exercise 11.7.5, equation, line 1: add ``,'' after ``S0''
  30. p. 505, Programming Assignment 11.7.11, 2nd paragraph, line -12: ``were'' should be ``can be''
  31. p. 506, Exercise 12.2.5, line 3: add ``years'' before ``from now''
  32. p. 506, Exercise 12.3.6, line 3: ``a T-bill'' should be ``T-bills''
  33. p. 507, Exercise 12.4.4, line 1: ``into'' should be ``in''
  34. p. 508, line 1: ``proof for'' should be ``case of''
  35. p. 508, Exercise 13.1.3, line 4, equation, line 1: add ``,'' after ``1''
  36. p. 508, Exercise 13.1.3, line 4, equation, line 2: add ``,'' after ``0''
  37. p. 508, Exercise 13.1.4, equation, line 1: add ``,'' after ``1''
  38. p. 508, Exercise 13.1.4, equation, line 2: add ``,'' after ``-1''
  39. p. 508, Exercise 13.1.5, line 3, equation, line 1: add ``,'' after ``+1)''
  40. p. 508, Exercise 13.1.5, line 3, equation, line 2: add ``,'' after ``-1)''
  41. p. 508, Exercise 13.1.5, line 3, equation, line 3: add ``,'' after ``+1)''
  42. p. 508, Exercise 13.1.5, line 3, equation, line 4: add ``,'' after ``-1)''
  43. p. 508, Exercise 13.2.2: delete ``,'' after ``(2)''
  44. p. 511, Exercise 14.1.1, line 6: ``can show'' should be ``shows''
  45. p. 514, 1 line above LEMMA: delete ``then''
  46. p. 514, line -4: ``get'' should be ``obtain''
  47. p. 515, Exercise 14.4.5: ``direct'' should be ``directly''
  48. p. 515, Exercise 14.4.5: delete ``, it is SeuT''
  49. p. 515, Exercise 14.4.8, line 5: ``preceding'' should be ``the above''
  50. p. 516, Exercise 15.2.3, line 3: ``expansion'' should be ``expansions''
  51. p. 516, Exercise 15.2.10: ``is due to'' should be ``can be proved by recalling''
  52. p. 518, Exercise 15.4.1, line -3: ``m'' should be ``m f''
  53. p. 518, Exercise 15.4.1, line -2: ``s'' should be ``s f''
  54. p. 519, Exercise 16.2.2: ``Because the'' should be ``The''
  55. p. 519, Exercise 17.1.1: ``Because the'' should be ``The''
  56. p. 519, Exercise 17.1.4, line -7: add ``that'' after ``probability''
  57. p. 519, Exercise 17.1.4, line -7: delete ``that'' before ``reaches''
  58. p. 522, Figure 33.4, caption, line -2: delete ``further''
  59. p. 524, Exercise 18.2.7, line 2: ``mean zero'' should be ``zero mean''
  60. p. 524, Exercise 18.2.11: ``>'' should be ``=''
  61. p. 525, Exercise 18.2.13, line 4: add ``well-known'' before ``relation''
  62. p. 526, Exercise 19.2.12, line 6: ``step'' should be ``statement''
  63. p. 526, Exercise 19.2.12, line -3: ``step'' should be ``statement''
  64. p. 526, Exercise 19.2.12, line -3: ``Step'' should be ``Statement''
  65. p. 526, Exercise 19.2.12, line -2: ``step'' should be ``statement''
  66. p. 528, Exercise 20.1.4, line 7: ``We differentiate'' should be ``Differentiate''
  67. p. 528, Exercise 20.1.5, line -2: delete ``,'' after theta
  68. p. 528, Exercise 20.1.8, line 1: ``Exercise 6.4.3, (2)'' should be ``Exercise 6.4.3(2)''
  69. p. 528, Exercise 20.1.9, line 4: ``Exercise 6.4.1, (1)'' should be ``Exercise 6.4.1(1)''
  70. p. 528, Exercise 20.1.12, line 1: delete ``a'' from ``Take a positive''
  71. p. 530, Exercise 21.1.4, line 4: ``1.04'' should be ``1.03'' (2 places)
  72. p. 530, Exercise 21.1.4, line 4: ``149.19'' should be ``180.35''
  73. p. 530, Exercise 21.1.4, line -1: ``1.4919'' should be ``1.8035''
  74. p. 531, Exercise 21.4.3, line -1: add ``dollars'' after ``million''
  75. p. 531, Exercise 22.2.1, lines 1--2: ``can be simplified to'' should be ``implies''
  76. p. 532, Exercise 23.2.1, line 2: ``term ln rk is'' should be ``terms ln rk are''
  77. p. 532, Exercise 23.2.1, line 2: ``it is'' should be ``they are''
  78. p. 534, Exercise 23.2.9, line 3: delete ``,'' before ``corresponding''
  79. p. 534, Exercise 23.3.4, line -1: ``predicts'' should be ``predicted''
  80. p. 535, Exercise 24.2.4, line 4, equation: add ``.'' at end
  81. p. 535, Exercise 24.2.4, line -1: delete ``above''
  82. p. 536, Exercise 24.3.2, line 2, equation: move ``.'' to end of equation
  83. p. 536, Exercise 24.3.8, 2nd paragraph, line 4: delete ``t1'' after ``contingent''
  84. p. 536, Exercise 24.3.8, 2nd paragraph, line -4: ``can be easily proved to be'' should be ``is''
  85. p. 536, Exercise 24.3.8, 2nd paragraph, line -2: ``date'' should be ``time''
  86. p. 538, Exercise 24.6.2, line -1: ``S3.3'' should be ``Section 3.3''
  87. p. 538, Exercise 24.6.5: add ``work'' after ``manipulations''
  88. p. 539, Exercise 25.1.5, line -3: ``by using'' should be ``with''
  89. p. 539, Exercise 25.1.5, line -3: add ``obtain'' after ``to''
  90. p. 539, Exercise 25.1.6, line -1: The final term is missing the multiplicative factor ``B(t,T)2''
  91. p. 540, Exercise 25.2.14, line -3: ``,'' should be ``.''
  92. p. 540, Exercise 26.2.3, displayed formulas: The numerators should both be 2P(t,t+n)exp[v3+...+vn](1+exp[v2]), while the denomenators should both be P(t,t+2)(1+exp[v2+...+vn])(1+exp[v3+...+vn])
  93. p. 543, Exercise 27.3.2, line 1: ``were'' should be ``is''
  94. p. 543, Exercise 27.3.3, line 1: add ``the'' before ``bondholder''
  95. p. 543, Exercise 27.3.3, line 3: ``However, we'' should be ``Of course,''
  96. p. 544, Exercise 27.4.2, line 2: add ``the'' after ``The fall in''
  97. p. 544, Exercise 27.4.2, line 3: add ``the'' after ``the fall in''
  98. p. 544, Exercise 27.4.3, line -4: ``thus is'' should be ``is thus''
  99. p. 545, Exercise 27.4.11, line 1: ``(1)'' should be ``first''
  100. p. 545, Exercise 27.4.11, line 2: ``(2)'' should be ``then''
  101. p. 545, Exercise 28.6.4, line 3: add ``later'' after ``(29.4)''
  102. p. 546, Exercise 29.1.2, line -2: ``r/m'' should be ``(r/m)''
  103. p. 546, Exercise 29.1.5: ``Exercise'' should be ``Programming assignment''
  104. p. 546, Exercise 29.1.5, line 1: add ``the longer'' after ``with''
  105. p. 546, Exercise 29.1.6, line 1: add ``The desired IRRs are tabulated below:''
  106. p. 547, Exercise 29.1.9, line 1: add ``.'' after ``Bi''
  107. p. 549, Exercise 31.1.7, line 2: add ``,'' after ``variables''
  108. p. 550, Exercise 31.2.11, line 1: ``continuous'' should be ``continuously''

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  3. p. 555, [74]: ``Petter.'' should be ``Petter''
  4. p. 556, [90]: delete ``Manuscript, November 1996.''
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  6. p. 556, [108]: ``Broadie and Paul'' should be ``Broadie, and Paul''
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  22. p. 562, [254] and [255]: swap them to preserve the alphabetic order
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  24. p. 562, [269] and [270]: swap them to preserve the alphabetic order
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  26. p. 563, [288]: ``Gauthier and Jean-Guy'' should be ``Gauthier, and Jean-Guy''
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  33. p. 568, [431]: ``Lauterbach and Cyrus'' should be ``Lauterbach, and Cyrus''
  34. p. 568, [449]: ``Keenan and Walter'' should be ``Keenan, and Walter''
  35. p. 569, [467]: ``California'' should be ``CA''
  36. p. 570, [487]: ``Kai.'' should be ``Kai''
  37. p. 571, [516]: ``Tuckman. (Ed.)'' should be ``Tuckman, ed.''
  38. p. 572, [547]: ``S.G.'' should be ``Stephen G.''
  39. p. 572, [555]: ``Manuscript ... Finance.'' should be ``The Journal of Computational Finance, 4, No. 3 (2001), 89--124.''
  40. p. 573, [600]: ``Ritchken and L.'' should be ``Ritchken, and L.''
  41. p. 577, [697]: move it below reference [701]
  42. p. 578, [730]: ``B., and Michael'' should be ``B. and Michael''
  43. p. 578, [732]: ``18'' should be ``78'' and ``315'' should be ``340''
  44. p. 578, [748]: ``Sankarasubramanian and Anand'' should be ``Sankarasubramanian, and Anand''
  45. p. 578, [751]: ``Runkle and Charles'' should be ``Runkle, and Charles''
  46. p. 579, [767]: ``Westerfield and Jeffrey'' should be ``Westerfield, and Jeffrey''
  47. p. 579, [784]: ``M.'' should be ``Manfred.''
  48. p. 580, [799]: ``Alexander and Jeffrey'' should be ``Alexander, and Jeffrey''
  49. p. 580, [814]: ``Shreve and J.'' should be ``Shreve, and J.''
  50. p. 582, [879]: ``Howison and Jeff'' should be ``Howison, and Jeff''
  51. p. 583, [897]: ``Vetzal and Peter'' should be ``Vetzal, and Peter''

Index

  1. p. 588, right column, ``Mathematical Theory of Speculation'' under ``Bachelier, Louis'': italicize
  2. p. 592, right column, ``Capitals software'': italicize ``Capitals''
  3. p. 603, left column, ``government-sponsored enterprise'': delete the page xiv entry
  4. p. 619, right column, ``Investments'' under ``Sharpe, William F.'': italicize
  5. p. 622, right column, ``swaption:valuation'': delete

Back cover

  1. 1st paragraph, line -2: ``, in keeping with'' should be ``to keep up with''
  2. line -15: delete the sentence, ``Each instrument is treated in a short, self-contained chapter for ready reference use''
  3. 4th paragraph, 1st sentence: ``coded in Java'' should be ``coded in Java or JavaScript''
  4. 4th paragraph: ``http://www.csie.ntu.edu.tw/ffilyuu/Capitals/capitals.htm'' should be ``http://www.csie.ntu.edu.tw/~lyuu/Capitals/capitals.htm''
  5. line -4: add a period

Acknowledgments

The following students at National Taiwan University helped improve the quality of the book: Chih-Chung Chang, Ronald Yan-Cheng Chang, Kun-Yuan Chao, Chun-Ying Chen, Kuan-Wen Chen, Wei-Jui Chen, Yuan-Wang Chen, An-Hsun Cheng, Hsin-Huan Chien, Chih-Hung Chou, Jing-Hong Chou, Tian-Shyr Dai, Chi-Shang Draw (aka Chi-Shiang Cho), Hau-Ren Fang, Yuh-Yuan Fang, Jia-Hau Guo, Yon-Yi Hsiao, William Wei-Yuan Hsu, Guan-Shieng Huang, How-Ming Hwang, Chih-Hao Kao, Yan-Fu Liou, Heng-Yi Liu, Yu-Hong Liu, Kou-Yeh Shen, Min-Cheng Sun, Ruo-Ming Sung, Huei-Wen Teng. Chen-Leh Wang, Jere Chuan-Ju Wang, Huang-Wen Wang, Hsing-Kuo Wong, Chao-Sheng Wu, Cheng-Wei Wu, and Chi-Ning Wu.
© Yuh-Dauh Lyuu