Financial Engineering and Computation: Corrigenda

Corrigenda for

Financial Engineering and Computation

by Yuh-Dauh Lyuu

Cambridge University Press, 2002


Preamble | 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


Preamble

Chapter 1

Chapter 2

Chapter 3

  1. p. 21, algorithm in Figure 3.4: Add ``c := a;\\'' after ``length := b - a;''
  2. p. 31, EXAMPLE 3.5.5, line 6: ``12.767'' should be ``11.31''

Chapter 4

  1. p. 40, Eq. (4.12): ``MD'' should be ''D''
  2. p. 40, one line below Eq. (4.12): ``MD denotes ...'' should be ''D denotes ...''

Chapter 5

  1. p. 49, 2nd line from bottom of page: ``5%'' should be ''8%''
  2. p. 53, Subsection 5.6.1, 1st paragraph, line 3: ``m-year'' should be ``m-period''
  3. p. 55, Figure 5.9, algorithm, line -3: Replace it with p[i] := p[i-1]+(1-p[i-1]) * f[i];
  4. p. 56, Subsection 5.6.4, 1st paragraph, line -3: ``(i-j)'' should be ``(j-i)''

Chapter 6

  1. p. 65, 1st paragraph, line -1: delete the extra Sj
  2. p. 73, Subsection 6.4.2, 1st paragraph, line -2: ``qm'' should be ``qn''
  3. p. 73, EXAMPLE 6.4.2, line -2: ``(yi - m)'' should be ``(xi - m)2''

Chapter 7

  1. p. 75, Section 7.1, 1st paragraph, line 5: ``by paying a'' should be ``for a''
  2. p. 77, 1st paragraph, line 6: ``S>X'' should be ``S< X''
  3. p. 81, Subsection 7.4.2, 2nd paragraph, line 3: ``CH - CL.'' should be ``CL - CH.''

Chapter 8

  1. p. 89, 2nd paragraph, line 3: add ``and a share of stock'' after ``a put''
  2. p. 89, 2nd paragraph, line 3: add ``for the stock'' after ``tendered''
  3. p. 91, 2 lines below THEOREM 8.6.1, equation: ``>='' should be ``<=''

Chapter 9

  1. p. 97, line 1: ``>'' should be ``>=''
  2. p. 97, line 2: ``>'' should be ``>=''
  3. p. 100, 1 line above Subsection 9.2.4: ``12'' should be ``1.2''
  4. p. 103, algorithm in Figure 9.9, line 8: Add ``{n choose a}'' between ``b:='' and ``pa''
  5. p. 105, equation on line -1: ``n'' should be ``sqrt(n)''
  6. p. 106, line 2, equation: ``n'' should be within the square root
  7. p. 107, 1st paragraph, equation on line -2: ``n'' should be ``sqrt(n)''
  8. p. 111, line -1: ``m'' should be ``m (t/n)''
  9. p. 111, line -1: ``s2'' should be ``s2(t/n)''
  10. p. 114, Figure 9.15,: ``30'' should be ``15.052''
  11. p. 117, 2nd paragraph, line 4: ``European'' should be ``American''
  12. p. 117, 2nd paragraph, lines -2 and -1: ``As for American options, ... need to'' should be ``Needless to say, the algorithm should''

Chapter 10

  1. p. 129, 1st paragraph, line 6: ``10.2.1'' should be ``10.7''

Chapter 11

  1. p. 131, Section 11.1, 1st paragraph, line 1: ``interpretated'' should be ``interpreted''
  2. p. 137, Section 11.2, 1st paragraph, line 5: ``X'' should be ``S''
  3. p. 137, Section 11.2, 1st paragraph, line 6: ``X'' should be ``S''
  4. p. 137, Section 11.2, 1st paragraph, line 8: ``X'' should be ``S''
  5. p. 137, Section 11.2, 1st paragraph, line -2: ``X'' should be ``S''
  6. p. 137, Equation (11.4): ``S >= H'' should be ``X >= H''
  7. p. 138, line 3: ``S <= H'' should be ``X <= H''
  8. p. 138, line 3: ``call'' should be ``put''
  9. p. 139, Figure 11.5: a clearer plot

Chapter 12

  1. p. 169, EXAMPLE 12.4.3, line -2: ``September'' should be ``December''
  2. p. 171, line 2: ``max(F - X, 0)'' should be ``(F - X)''

Chapter 13

  1. p. 188, Additional Reading, line 2: Add `` (1910-2004)'' after ``Doob''

Chapter 14

  1. p. 198, Exercise 14.3.6: there should be an extra ``+g2dt'' term

Chapter 15

  1. p. 217, 3 lines above Exercise 15.3.14: there should be an extra ``+s 2Cdt'' term

Chapter 16

Chapter 17

  1. p. 237, Figure 17.3, algorithm, line -5: Swap ``p'' and ``(1-p)''
  2. p. 237, Figure 17.3, algorithm, line -4: Swap ``u'' and ``d''
  3. p. 241, 1st paragraph, line -3: H u2 should be ``X but paying zero unless S(t)>H
  4. p. 243, Subsection 17.2.1, line 9: ``min'' should be ``max''

Chapter 18

Chapter 19

  1. p. 282, Subsection 19.3.3, 1st paragraph, line 1: ``Bi'' should be ``Bi(x)''

Chapter 20

Chapter 21

  1. p. 300, 2nd paragraph, line 2: ``now that June 1995'' should be ``that now (June 1995)''
  2. p. 301, Subsection 21.1.4, 2nd paragraph, line -5: ``8%'' should be ``6%''
  3. p. 301, Subsection 21.1.4, 3rd paragraph, line -5: ``8%'' should be ``6%''
  4. p. 301, Subsection 21.1.4, 3rd paragraph, line -1: Replace ``1.04'' with ``1.03'' (4 places)
  5. p. 302, 2nd paragraph, line 4: ``8%'' should be ``6%''
  6. p. 302, 2nd paragraph, line 6: Replace ``1.04'' with ``1.03'' (2 places)
  7. p. 302, 2nd paragraph, line 6: ``148.42'' should be ``178.72''
  8. p. 302, 2nd paragraph, line 7: ``1.4842'' should be ``1.7872''
  9. p. 302, 2nd paragraph, line -2: Replace ``1.04'' with ``1.03'' (2 places)
  10. p. 302, 2nd paragraph, line -2: ``148.66'' should be ``179.26''
  11. p. 302, 2nd paragraph, line -1: ``1.4866'' should be ``1.7926''
  12. p. 303, Exercise 21.1.3, line 1: ``8%'' should be ``6%''
  13. p. 303, EXAMPLE 21.1.6, line 2: ``1.0982'' should be ``1.3374''
  14. p. 303, EXAMPLE 21.1.6, line -3: ``8%'' should be ``6%''
  15. p. 303, EXAMPLE 21.1.6, line -3: ``1.0982'' should be ``1.3374''
  16. p. 303, EXAMPLE 21.1.6, line -2: ``1.0982'' should be ``1.3374''
  17. p. 303, EXAMPLE 21.1.6, line -2: ``97.997'' should be ``80.470''
  18. p. 304, Subsection 21.1.5, 1st paragraph, line 3: ``8%'' should be ``6%''
  19. p. 309, subsection 21.2.4, 2nd paragraph, line 1: Replace ``caps'' with ``caplets'' (2 occurrences)
  20. p. 309, subsection 21.2.4, 2nd paragraph, line 1: Replace ``floors'' with ``floorlets''
  21. p. 309, subsection 21.2.4, 2nd paragraph, line 3: Replace ``cap's'' with ``caplet's''
  22. p. 312, Figure 21.8, caption, line 2: ``(93-futures price)'' should be ``max(93-futures price,0)''

Chapter 22

Chapter 23

Chapter 24

  1. p. 348, Section 24.3, line 3: ``t+1 < T'' should be ``t < T''
  2. p. 355, Subsection 24.6.1, 2nd paragraph, line -3: ``an up'' should be ``a down''
  3. p. 358, line 1: ``10% - one-year rate'' should be ``(10% - one-year rate)''

Chapter 25

  1. p. 369, Subsection 25.2.2, 1st paragraph, equation, line 5: Replace the ``yu'' in the numerator with ``yd''
  2. p. 369, Subsection 25.2.2, 1st paragraph, line 6: delete ``+'' from ``yu+''
  3. p. 373, 4 lines above Exercise 25.5.1: Replace ``Si X'' with ``Si ci Xi''

Chapter 26

  1. 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)''
  2. p. 386, 2nd paragraph, line 3: ``(i,k)'' should be ``(i,j)''
  3. p. 394, line -1:

Chapter 27

  1. p. 405, algorithm in Figure 27.6, line 8: delete the second ``=''

Chapter 28

  1. p. 421, line -2: ``0.05/0.09'' should be ``0.05/0.95''
  2. p. 423, Section 28.6, 1st paragraph, line -1: ``remain prepaid'' should be ``are prepaid''

Chapter 29

  1. p. 448, 1st paragraph, line 2, equation (29.13): Add ````Sn'' right before Cn*/()()...()
  2. p. 448, 2nd paragraph, line 5, equation: Add ````Sn'' right before Cn*/()()...()

Chapter 30

Chapter 31

  1. p. 458, quote: Add ``(1912--2006)'' after ``Friedman''
  2. p. 477, Figure 31.7, algorithm, line -7: delete ``sqrt(C[j][j]) X'' in front of ``dW[j]''

Chapter 32

Chapter 33

  1. p. 499, Exercise 9.6.1), line -2, equation: Add ``,0'' after ``X'' (2 places)
  2. p. 503, Figure 33.2, algorithm, line 7: delete ``H := Suh ;''
  3. p. 503, Figure 33.2, algorithm, line 13: delete ``0 <=''
  4. p. 524, Exercise 18.2.11: ``>'' should be ``=''
  5. p. 530, Exercise 21.1.4, line 4: ``1.04'' should be ``1.03'' (2 places)
  6. p. 530, Exercise 21.1.4, line 4: ``149.19'' should be ``180.35''
  7. p. 530, Exercise 21.1.4, line -1: ``1.4919'' should be ``1.8035''

Bibliography

  1. p. 570, [487]: ``Kai.'' should be ``Kai''

Index

Back cover

  1. 4th paragraph: ``http://www.csie.ntu.edu.tw/ffilyuu/Capitals/capitals.htm'' should be ``http://www.csie.ntu.edu.tw/~lyuu/Capitals/capitals.htm''

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, Kuan-Wen Chen, Wei-Jui Chen, Yuan-Wang Chen, An-Hsun Cheng, Hsin-Huan Chien, 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, Chen-Leh Wang, Chuan-Ju Wang, Huang-Wen Wang, Hsing-Kuo Wong, Chao-Sheng Wu, Cheng-Wei Wu, and Chi-Ning Wu.
© Yuh-Dauh Lyuu