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
- 1st paragraph, line -3: ``, in keeping with'' should be ``to keep up with''
- 3rd paragraph: delete the last sentence, ``Each instrument is treated in a short, self-contained chapter for ready reference use''
- 4th paragraph, 1st sentence: ``coded in Java'' should be ``coded in Java or JavaScript''
Preface
- p. xiv, 2nd paragraph, line 2: ``the more challenging'' should be ``some of the more challenging''
- p. xv, line -12: ``time-series models'' should be ``time series models''
- p. xvii: ``CIR Cox-Ingersoll-Ross'' should be ``CIR Cox-Ingersoll-Ross (model)''
- p. xviii: ``HJM Heath-Jarrow-Morton'' should be ``HJM Heath-Jarrow-Morton (model)''
- p. xviii: ``RS Ritchken-Sankarasubramanian'' should be ``RS Ritchken-Sankarasubramanian (model)''
Chapter 1
- p. 1, Section 1.1, line -2: ``[ahead ... years]'' should be ``(ahead ... years)''
- p. 3, Figure 1.1, caption, line -1: ``mortgage-backed security'' should be bold-faced
- p. 4, line 4: ``, and leases'' should be ``, leases, and even future ticket sales of movies''
- 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
- p. 7, line -1: ``take them into account''
should be ``take all into account''
Chapter 3
- p. 12, EXAMPLE 3.1.1, line 2: ``1 year'' should be ``one year''
- p. 12, Exercise 3.1.3: ``~300,000'' should be ``approximately 300,000''
- p. 12, Exercise 3.1.3: ``~500,000'' should be ``approximately 500,000''
- p. 16, EXAMPLE 3.3.2, line -2: delete the extra space before ``Interest ...''
- p. 21, algorithm in Figure 3.4:
Add ``c := a;\\'' after ``length := b - a;''
- p. 21, Figure 3.4, caption, line -1: add ``Statement'' before the sentence
- 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''
- p. 28, 1 line above Subsection 3.5.4: add sentence ``Other possibilities exist, however.'' after ``... the above formula.''
- p. 29, 4 lines above EXAMPLE 3.5.3: ``the PV'' should be ``PV''
- p. 30, EXAMPLE 3.5.4, line 2: ``The term'' should be ``The maturity''
- p. 31, EXAMPLE 3.5.5, line 6: ``12.767'' should be ``11.31''
- p. 31, Exercise 3.5.9, line 1: ``exactly'' should be ``exactly the period yield''
- p. 31, NOTE 1: ''PV'' should be ``present value''
- p. 31, NOTE 3: the 1st and the 2nd comma should not be bold-faced
- p. 31, NOTE 5: the 1st and the 2nd comma should not be bold-faced
Chapter 4
- p. 34, 1st paragraph, line -3: ``Macaulay duration'' should be ``MD''
- p. 34, 2nd paragraph, line -2: ``Exercise 4.1.3, Part (2)'' should be ``Exercise 4.1.3(2)''
- p. 34, 2nd paragraph, line -1: ``may decrease'' should be ``should decrease by definition''
- p. 35, middle of 1st paragraph: ``is Eq. (4.1)'' should be ``was shown in Eq. (4.1)''
- p. 36, 1 line above Exercise 4.2.1: delete ``[55]''
- p. 36, Exercise 4.2.2, line -1: ``equals modified duration'' should be ``equals the modified duration''
- p. 38, Figure 4.5, caption, line -1: ``the rate moves'' should be ``the yield moves''
- 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 ...''
- p. 39, 4th paragraph, line -2: ``certificates of deposit'' and ''CDs'' should be bold-faced
- p. 39, Exercise 4.2.8, line -1: ``falls short of'' should be ''is less than''
- p. 40, Eq. (4.12): ``MD'' should be ''D''
- p. 40, 1 line below Eq. (4.12): ``MD denotes ...'' should be ''D denotes ...''
Chapter 5
- p. 46, Section 5.2, 1st paragraph, line -1: ``exactly that'' should be ``exactly that, as we will see shortly''
- p. 47, Exercise 5.2.1, line -3: ``rate y'' should be ``yield y''
- p. 47, Exercise 5.2.1, line -1: ``of the cash flow.'' should be ``of the corresponding cash flow.''
- p. 48, 1st paragraph after EXAMPLE 5.3.1, line 4: ``step 3'' should be ``statement 3''
- p. 48, 1st paragraph after EXAMPLE 5.3.1, line 6: ``Step 1'' should be ``Statement 1''
- p. 48, 2nd paragraph after EXAMPLE 5.3.1, line 1: ``step 1'' should be ``statement 1''
- p. 48, 2nd paragraph after EXAMPLE 5.3.1, line 2: ``-1 and'' should be ``-1, and''
- p. 48, 2nd paragraph after EXAMPLE 5.3.1, line 3: ``step 3'' should be ``statement 3''
- p. 48, Figure 5.4, caption, line -2: ``longest maturity bond'' should be ``longest-maturity bond''
- p. 49, 2nd line from bottom of page: ``5%'' should be ''8%''
- p. 50, Section 5.5, 1st paragraph, line 4: ``Exercise 5.5.1, statement (1)'' should be ``Exercise 5.5.1(1)''
- p. 50, Section 5.5, 1st paragraph, line -2: ``Exercise 5.5.1, statement (2)'' should be ``Exercise 5.5.1(2)''
- p. 50, Section 5.5, 3rd paragraph, line -5: ``However, when'' should be ``When''
- p. 51, line 8: delete ``implied'' from ``implied forward rate''
- p. 52, EXAMPLE 5.6.1, 3rd paragraph, line -5: ``1.708'' should be ``1.708 dollars''
- p. 53, Subsection 5.6.1, 1st paragraph, line 3:
``m-year'' should be ``m-period''
- p. 55, algorithm in Figure 5.9, line -3:
replace it with
p[i] := p[i-1]+(1-p[i-1]) * f[i];
- p. 56, Exercise 5.6.11, line 1: ``this spot rate curve'' should be ``these spot rates''
- p. 56, Subsection 5.6.4, 1st paragraph, line -3:
``(i-j)'' should be ``(j-i)''
- p. 58, 1 line above Exercise 5.7.3: ``time-independent'' should be ``time independent''
- p. 59, line -5: ``A horizon'' should be ``A person with a horizon''
- p. 60, Subsection 5.8.1, line 7: ``relation between duration and MD (4.4)'' should be ``relation (4.4) between duration and MD''
- p. 60, Subsection 5.8.1, 1st paragraph, line -3: ``(5.17):'' should be ``(5.17), then''
- p. 60, Subsection 5.8.1, 1st paragraph, line -1: ``This measure'' should be ``This duration measure''
- p. 60, Subsection 5.8.1, 2nd paragraph, line 2: ``often'' should be ``sometimes''
- p. 60, line -3: delete ``Ho's''
- p. 60, line -2: ``durations have'' should be ``duration has''
- p. 61, Exercise 5.8.2: ``duration (5.17)'' should be ``duration formula (5.17)''
- p. 61, 1 line below ``5.8.2 Immunization'': ``The Case of NO Rate Changes'' should be ``The Case of No Rate Changes''
- p. 61, 1st paragraph below The Case of NO Rate Changes, line 1: ``Recall that in ...'' should be ``In ...''
- p. 61, line -3: 2nd summand should be braced with {...}
- p. 61, line -2: 2nd summand should be braced with {...}
- p. 62, line 8: ``We are'' should be ``We will be''
- p. 63, Additional Reading, line 2: ``spread.'' should be ``spreads.''
Chapter 6
- p. 64, line -1: ``unbiased one'' should be ``the standard deviation''
- p. 65, 1st paragraph, line -1: delete the extra Sj
- p. 65, lines 5--6: ``Call X and Y uncorrelated random variables'' should be
``Call random variables X and Y uncorrelated''
- p. 65, line -4: ``transpose'' should be bold-faced
- p. 66, Subsection 6.1.2, line 1: ``have normal distribution'' should be ``have a normal distribution''
- 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].
- p. 67, line 6: delete ``the'' from ``the X's''
- p. 67, line -3: ``uniformly distributed'' should be bold-faced
- p. 71, line 3: ``definedas'' should be ``defined as''
- p. 72, Subsection 6.4.1, 1st paragraph, line -2: ``of (6.13)'' should be ``of expression (6.13)''
- p. 73, Subsection 6.4.2, 1st paragraph, line -4: delete ``product'' from ``function product''
- p. 73, Subsection 6.4.2, 1st paragraph, line -3: add ``, '' between ``xi'' and ``when''
-
p. 73, Subsection 6.4.2, 1st paragraph, line -2:
``qm'' should be ``qn''
- p. 73, EXAMPLE 6.4.2, line -2:
``(yi - m)'' should be ``(xi - m)2''
- p. 74, Subsection 6.4.3, 1st paragraph, line -1: ``where the moments'' should be ``where the population moments''
- p. 74, Subsection 6.4.3, 2nd paragraph, line 1: delete ``name'' from ``the name''
Chapter 7
- p. 75, Section 7.1, 1st paragraph, line 5: ``by paying a'' should be ``for a''
- p. 76, 2nd paragraph: merge the paragraph ``It is easier ...'' with the previous paragraph
- 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
- p. 77, Figure 7.2, caption: ``Payoff'' should be ``Payoffs''
- p. 77, 1st paragraph, line 6: ``S>X'' should be ``S< X''
- p. 77, 1st paragraph, lines -4 and -3: Move the sentence ``Surprisingly, ... [340].'' to NOTES
- p. 77, 1st paragraph, line -1: ``before expiration.'' should be ``before expiration as functions of the stock price.''
- p. 78, 3rd paragraph, line -4: delete ``only'' from ``is only m/n''
- p. 81, Subsection 7.4.2, 2nd paragraph, line 3:
``CH - CL.'' should be ``CL - CH.''
- p. 83, Figure 7.11, caption, line -3: ``is set up'' should be ``is initially set up''
Chapter 8
- p. 84, Section 8.1, 2nd paragraph, line 2: ``PV'' should be ``value''
- p. 85, Figure 8.1, caption, line 1: ``Price of fixed cash flow'' should be ``Price of a fixed cash flow''
- p. 85, LEMMA 8.2.1, Proof, line 2: ``a net cash flow'' should be ``a positive net cash flow''
- p. 86, LEMMA 8.2.4, Proof, last sentence: add the sentence ``Review Exercise 7.4.2.''
- p. 86, Exercise 8.2.1, line 3: ``present value'' should be ``PV''
- p. 87, 3rd line below LEMMA 8.3.1: delete comma from ``, as follows''
- p. 88, Section 8.4, 1st paragraph, line -4: ``stock price once'' should be ``stock price declines once''
- p. 89, 2nd paragraph, line 2: delete ``, S = 0''
- p. 89, 2nd paragraph, line 3: ``a put ... tendered'' should be ``a put and a share of stock ... tendered for the stock''
- p. 91, 2 lines below THEOREM 8.6.1, equation:
``>='' should be ``<=''
Chapter 9
- p. 94, 2nd paragraph, line -2: ``Again,'' should be ``So again,''
- p. 94, Subsection 9.2.2, line 3: ``risk preferences'' should not be bold-faced
- p. 95, 2nd paragraph, line -3: delete ``the FV''
- p. 97, line 1: ``>'' should be ``>=''
- p. 97, line 2: ``>'' should be ``>=''
- p. 100, 1 line above Subsection 9.2.4: ``12'' should be ``1.2''
- p. 99, 1st paragraph below ``A Numerical Example'', line -3: ``the PV of the expected'' should be ``the discounted expected''
- p. 99, 2nd paragraph below ``A Numerical Example'', line 3: ``by delta'' should be ``by the delta''
- p. 100, line -6: ``Step 1'' should be ``statement 1''
- p. 100, line -2: ``step 1'' should be ``statement 1''
- p. 101, algorithm in Figure 9.6, line -3: ``2.1.'' should be ``2.''
- p. 101, line 1: ``Step 2.1'' should be ``statement 2''
- p. 101, Figure 9.7, caption, line -4: ``step 1'' should be ``statement 1''
- p. 103, algorithm in Figure 9.9, line 8:
add ``{n choose a}'' between ``b:='' and ``pa''
- p. 104, 1st paragraph, line -2: ``If'' should be ``Because''
- p. 105, line 3: ``the period continuously'' should be ``the per-period continuously''
- p. 105, 2nd paragraph, line 2: ``stock's true'' should be ``stock's empirical''
- p. 105, 2nd paragraph, line -7: ``Eqs. (9.15),'' should be ``Eqs. (9.15), indeed,''
- p. 105, 2nd paragraph, line -1: ``problems disappear'' should be ``problem disappears''
- p. 105, equation on line -1: ``n'' should be ``sqrt(n)''
- p. 106, line 2, equation: ``n'' should be within the square root
- p. 106, 2nd paragraph, line 1: ``of a stock price'' should be ``of the stock price''
- 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)''
- p. 107, 1st paragraph, equation on line -2: ``n'' should be ``sqrt(n)''
- p. 107, THEOREM 9.3.4, line 1: delete ``The'' from ``The Black-Scholes Formula''
- p. 108, 3 lines above Exercise 9.3.3: ``as a function'' should be ``as functions''
- p. 108, Exercise 9.3.4: ``convergence (9.17)'' should be ``limit (9.17)''
- p. 111, Subsection 9.4.1, line 5: ``exp[...]'' should be ``exp(...)''
- p. 111, line -1: ``m'' should be ``m (t/n)''
- p. 111, line -1: ``s2''
should be ``s2(t/n)''
- p. 114, Section 9.6, section title: ``that'' should be capitalized
- p. 114, Subsection 9.6.1, subsection title: ``that'' should be capitalized
- p. 114, Figure 9.15: ``30'' should be ``15.052''
- p. 115, Subsection 9.6.2, subsection title: ``that'' should be capitalized
- p. 115, Subsection 9.6.2, 1st paragraph, line 4: ``Then'' should be ``Then in the single-period case''
- p. 116, Subsection 9.6.3, subsection title: ``that'' should be capitalized
- p. 116, Subsection 9.6.3, 1st paragraph, line -1: delete ``and memory''
- p. 117, 1st paragraph, line 2: ``present value'' should be ``PV''
- p. 117, 1st paragraph, line 5: ``during the life of the option'' should be ``before the option expires''
- p. 117, 1st paragraph, line 6: ``equal'' should be ``set''
- p. 117, 1st paragraph, line 7: ``equal'' should be ``set''
- p. 117, 1st paragraph, lines -4 and -3: ``can be used'' should be ``gives the correct answer''
- p. 117, 2nd paragraph, line 4: ``European'' should be ``American''
- p. 117, 2nd paragraph, lines -2 and -1: ``As for American options, ... need to'' should be ``Needless to say, the algorithm should''
- p. 117, Subsection 9.6.4, subsection title: ``that'' should be capitalized
- p. 118, line 3: ``dividends Other'' should be ``dividends. Other''
- p. 118, Exercise 9.6.7, line -1: ``algorithm'' should be ``setup''
- p. 119, Figure 9.21, caption, line -3: ``indicated'' should be ``indicated as such''
- p. 119, Figure 9.21, caption, line - 2: the parentheses in ``(optimal)'' should not be bold-faced
- p. 119, Figure 9.21, caption, line - 1: append the sentence ``It is not required that ud = 1.''
- p. 120, 1st paragraph, line 6: ``This idea'' should be ``The whole idea''
- p. 121, Additional Reading, 1st paragraph, line 6: ``options formulas'' should be ``option formulas''
- p. 121, Additional Reading, 1st paragraph, line -7: `` "smile" '' should be ``smile''
- p. 121, Additional Reading, 1st paragraph, lines -3 and -2: delete sentence "Implied binomial ... [770].''
- p. 122, NOTES 3, line 2: ``his reasoning'' should be ``the rationale''
Chapter 10
- p. 123, quote: delete ``(1623--1662)''
- p. 123, Subsection 10.1.1, 1st paragraph, line -2: delete ``an'' from ``for an illustration''
- p. 124, line -1: delete ``an'' from ``for an illustration''
- p. 125, Subsection 10.1.3, line -1: delete ``an'' from ``for an illustration''
- p. 126, 1st paragraph, line -1: delete ``an'' from ``for an illustration''
- p. 126, Subsection 10.1.5, line 4: delete ``an'' from ``for an illustration''
- p. 127, Section 10.2, 1st paragraph, line -2: ``numerical differentiation'' should be ``numerical-differentiation''
- p. 128, 1 line above Subsection 10.2.1: delete ``L and''
- p. 128, Subsection 10.2.1, subsection title: ``Why Numerical Differentiation Fails'' should be ``Why Numerical Differentiation Fails for the Numerical Gamma''
- p. 129, 1st paragraph, line 1: ``gamma computed'' should be ``the gamma computed''
- p. 129, 1st paragraph, line 6: ``10.2.1'' should be ``10.7''
- p. 129, Exercise 10.2.1, line 1: ``definition (10.2)'' should be ``formula (10.2)''
Chapter 11
- p. 131, 1st paragraph, line 2: ``nontrivial'' should be ``complex''
- p. 131, Section 11.1, 1st paragraph, line 1:
``interpretated'' should be ``interpreted''
- p. 132, 1st paragraph, lines -2 and -1: ``expected PV'' should be ``discounted expected value''
- p. 132, lines -4: ``are equivalent'' should be ``are also equivalent''
- p. 134, 1st paragraph, line -2: ``watch their value'' should be ``see their bond value''
- p. 134, 2nd paragraph, line 1: ``Bondholders'' should be ``The bondholders''
- p. 134, line -2: ``from the corporation'' should be ``from a corporation''
- p. 135, Subsection 11.1.4, 1st paragraph, line 1: the parentheses in ``(CB)'' should not be bold-faced
- p. 136, line 4: ``stockholders'' should be ``the stockholders''
- p. 137, Section 11.2, 1st paragraph, line 5:
``X'' should be ``S''
- p. 137, Section 11.2, 1st paragraph, line 6:
``X'' should be ``S''
- p. 137, Section 11.2, 1st paragraph, line 8:
``X'' should be ``S''
- p. 137, Section 11.2, 1st paragraph, line -2:
``X'' should be ``S''
- p. 137, Equation (11.4): ``S >= H'' should be ``X >= H''
- p. 138, line 3: ``S <= H'' should be ``X <= H''
- p. 138, line 3: ``call'' should be ``put''
- p. 138, line 4: ``Exercise 11.2.1, part(2)'' should be ``Exercise 11.2.1(2)''
- p. 138, lines 4-5: ``See [660] or Exercise 17.1.6 for proofs'' should be ``See Exercise 17.1.6 for a proof''
- p. 138, Exercise 11.2.2: ``American-style options'' should be ``American barrier options''
- p. 138, algorithm in Figure 11.4, line 2: delete ``(H < X, H < S)''
- p. 139, Figure 11.5: a clearer plot
- p. 139, Subsection 11.2.1, line -1: delete ``a'' from ``with a strike price''
- p. 140, Subsection 11.2.3, line 4: ``for a particular'' should be ``for at least a particular''
- p. 140, Exercise 11.2.6, line -2: ``knocks out'' should be ``is knocked out''
- p. 141, 3rd paragraph, line 2: ``notional principal'' should be bold-faced
- p. 142, Figure 11.7, caption, lines 1 and 2: ``evident if we compare'' should be ``evident by comparing''
- p. 142, 1st paragraph, line -1: ``Fig. 11.7.'' should be ``Fig. 11.7 for a sampling.''
- p. 145, 2nd paragraph, line 3: ``identical:'' should be ``identical in the following sense:''
- p. 146, Exercise 11.5.1, equation: add ``,'' after ``0'', ``S - XH'', and ``S - XL''
- p. 146, Exercise 11.5.2, equation: add ``,'' after ``S - X - p'' and ``- p''
- p. 146, Exercise 11.5.3, equation: add ``,'' after ``S - X'' and ``alpha (S - X)''
- p. 146, Subsection 11.5.1, 1st paragraph, lines 3 and 4: ``the owner of foreign currencies'' should be ``its owner''
- p. 146, Subsection 11.5.1, 1st paragraph, line 4: delete ``the'' from ``r in the foreign currency''
- p. 147, Exercise 11.5.7: ``(Put-Call Parity)'' should be ``(Put-Call Parity).'' with ``.'' bold-faced
- 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.''
- p. 152, Figure 11.14, caption, line 2: ``reduce computation time'' should be ``reduce the computation time for European arithmetic average-rate options''
- p. 152, Figure 11.14, caption, line 3: add the sentence ``This algorithm overestimates the option value [250].'' after ``... [555].''
- p. 152, Exercise 11.7.5, line 2: ``the average-rate'' should be ``the European average-rate''
- p. 152, line -4: ``S0, S1, ..., Sk'' should be parenthesized: ``(S0, S1, ..., Sk)''
- p. 152, Exercise 11.7.5, line -3: ``the average-rate'' should be ``the European average-rate''
- p. 153, Additional Reading, lines 3 and 4: ``An O(...)-time approximation algorithm'' should be ``Other O(...)-time approximation algorithms''
Chapter 12
- p. 155, Section 12.1, 2nd paragraph, line 4: ``financial instrument'' should be ``financial instruments''
- p. 156, line -2: ``default on'' should be ``defaulted on''
- p. 157, line -2: ``result from'' should be ``be secured by''
- p. 157, line -1: ``result from'' should be ``be secured by''
- p. 158, line 2: ``check that'' should be ``check that the parity becomes''
- p. 158, Exercise 12.2.3, line 4: ``, where'' should be ``by setting''
- p. 158, line -6: delete ``[510]''
- p. 160, 4 lines and 3 lines above The Underlying Asset Pays a Continuous Dividend Yield: ``a sufficient fund'' should be ``sufficient funds''
- p. 160, line -5: ``There is a sufficient fund'' should be ``There are sufficient funds''
- p. 161, Section 12.3, 1st paragraph, line -3: ``gain or loss'' should be ``gains or losses''
- p. 162, line 5: ``food processor'' should be ``clearinghouse''
- p. 162, 3rd paragraph, lines 4 and 5: ``options on stock index'' should be ``stock index options''
- p. 163, line -1: ``how'' should be ``how the amount''
- p. 164, Subsection 12.3.2, 2nd paragraph, line -2: ``end of day zero'' should be ``beginning of day one''
- p. 166, lines -6 and -5: ``cash flows generated by the asset D'' should be ``the cash flow D generated by the asset''
- p. 169, EXAMPLE 12.4.3, line 1: ``a call'' should be ``an American call''
- p. 169, EXAMPLE 12.4.3, line 1: ``with strike'' should be ``with strike price''
- p. 169, EXAMPLE 12.4.3, line -2: ``September'' should be ``December''
- p. 170, 1 line above (12.14): delete ``when they are exercised''
- p. 170, Equation (12.14): add ``,'' at the end
- p. 170, Equation (12.15): add ``.'' at the end
- p. 170, Subsection 12.4.1, 2nd paragraph, line 3: ``futures/forward prices'' should be ``futures or forward price''
- p. 171, line 2: ``PV'' should be ``discounted value''
- p. 171, line 2: ``max(F - X, 0)'' should be ``(F - X)''
- p. 171, line 3: ``Exercise 12.4.3'' should be ``Exercise 12.4.2''
- p. 171, Subsection 12.4.2, lines 1 and 4: move ``[81]'' to follow ``1976''
- p. 171, Subsection 12.4.2, line 6: ``Formulas (12.16)'' should be ``the above formulas''
- p. 171, Subsection 12.4.2, 2nd paragraph, line 3: add ``)'' after ``or T.''
- p. 171, Subsection 12.4.2, 2nd paragraph, line 3: delete ``then''
- p. 171, Subsection 12.4.2, 2nd paragraph, line 4: ``The delta for the call'' should be ``The deltas''
- p. 171, Subsection 12.4.2, 2nd paragraph, line 5: ``spot price:'' should be ``spot price; for example:''
- p. 172, Subsection 12.4.3, 1st paragraph, line -3: ``(12.15)'' should be ``formula (12.15)''
- p. 172, Subsection 12.4.3, 3rd paragraph, line 3: ``To set up an'' should be ``An''
- p. 172, Subsection 12.4.3, 3rd paragraph, line 5: ``, we set up'' should be ``satisfies''
- p. 173, Section 12.5, 1st paragraph, line -1: ``forward-rate agreement'' should be ``forward rate agreement''
- p. 175, Subsection 12.5.2, 1st paragraph, line 1: ``of currency'' should be ``of a currency''
- p. 175, EXAMPLE 12.5.2, line 1: ``2-year'' should be ``3-year''
Chapter 13
- p. 179, Section 13.2, 1st paragraph, line 5: ``says'' should be ``says that''
- p. 180, Exercise 13.2.2, line 3: ``6.4.3, part (2)'' should be ``6.4.3(2)''
- p. 181, Exercise 13.2.8, line 5: ``11.5.4, part (1)'' should be ``11.5.4(1)''
- p. 182, Subsection 13.2.2, 1st paragraph, line 1: ``Futures prices form'' should be ``The futures price is''
- p. 182, Subsection 13.2.3, 1st paragraph, line 4: ``times,'' should be ``times and does not pay dividends,''
- p. 182, Subsection 13.2.3, 1st paragraph, line 4: ``says'' should be ``says that''
- p. 182, Subsection 13.2.3, 1st paragraph, line -2: add ``in other words, '' after ``;''
- p. 183, Exercise 13.2.12, line 3: ``the binomial option pricing model'' should be ``the BOPM''
- p. 183, Exercise 13.2.13, line 1: delete ``risk-neutral''
- p. 185, Exercise 13.3.4, line 4: delete ``,'' from ``, and''
- p. 185, Subsection 13.3.1, line -9: ``(...)/2'' should be ``[ ... ]/2''
- p. 185, Subsection 13.3.1, line -7: ``(...)/2'' should be ``[ ... ]/2''
- p. 186, Exercise 13.3.7, line 1: add ``,'' after "}"
- p. 188, Section 13.4, line 1: ``process'' in ``Brownian bridge process'' should be bold-faced
- p. 188, Section 13.4, line 1: ``Brownian motion'' in ``tied-down Brownian motion'' should be bold-faced
- p. 188, Additional Reading, line 2: Add `` (1910--2004)'' after ``Doob''
Chapter 14
- p. 191, 2nd paragraph, lines -6 and -5: ``, written as'' should be ``:''
- p. 191, 2nd paragraph, line -2: ``says'' should be ``says that''
- p. 191, 2nd paragraph, line -1: ``, and a'' should be ``. One''
- p. 192, Exercise 14.1.2, line -1: ``(...)/2'' should be ``[ ... ]/2''
- p. 192, Comment 14.1.2, line 3: ``point ... point'' should be ``points ... points''
- p. 193, Section 14.2, 1st paragraph, line 6: ``Langevin's work'' should be ``Langevin''
- p. 193, Section 14.2, 1st paragraph, line 9: delete ``an'' from ``an instantaneous''
- p. 193, Section 14.2, 1st paragraph, line 10: delete ``of'' from ``drift of''
- p. 193, Section 14.2, 1st paragraph, line 10: delete ``an'' from ``an instantaneous''
- p. 193, Section 14.2, 1st paragraph, line 10: delete ``of'' from ``variance of''
- p. 193, Section 14.2, 1st paragraph, line 12: ``mean zero and variance dt'' should be ``zero mean and a variance of dt''
- p. 193, line -1: delete ``an'' from ``an illustration''
- p. 194, 2nd paragraph, line 5: ``The'' should be ``A''
- p. 194, Equation (14.7): ``a[...] ... b[...]'' should be ``a(...) ... b(...)''
- p. 194, Subsection 14.2.2, 1st paragraph, line 1: ``Consider an'' should be ``Consider the''
- p. 196, THEOREM 14.2.2: ``(Higher-Dimensional Ito's Lemma)'' should be ``(Higher-Dimensional Ito's Lemma).'' with ``.'' bold-faced
- p. 198, Exercise 14.3.6: there should be an extra ``+g2dt'' term
- p. 199, Figure 14.4, caption, line 3: add extra space after ``0.3''
- p. 199, 2nd paragraph, line 1: ``property'' in ``mean-reversion property'' should be bold-faced
- p. 199, line -2: ``structure'' should be ``structures''
- p. 199, line -1: ``volatility'' should be ``volatilities''
- p. 199, line -1: ``return'' should be ``returns''
- p. 200, Exercise 14.3.10, line -2: ``price'' should be ``prices''
- p. 200, Subsection 14.3.2, line -1: ``for an illustration'' should be ``for illustration''
- p. 200, Subsection 14.4.1, line -2: add ``an'' before ``European''
- p. 202, 4 lines above Exercise 14.4.2: ``with longer'' should be ``with a longer''
- p. 202, line -3: delete ``be''
- p. 203, 3 lines above Exercise 14.4.2: ``interest'' should be ``short''
- p. 203, Exercise 14.4.2, line 2: ``interest'' should be ``short''
- p. 204, 1 line above Exercise 14.4.5: delete ``('' and ``)''
- p. 204, Exercise 14.4.8, line 4: delete the extra space between ``sigma^2'' and ``T'' in 2 places
- p. 204, line -8: add ``,'' after ``u''
- p. 204, line -7: add ``,'' after ``d''
- p. 205, NOTE: delete ``all''
Chapter 15
- p. 206, 1st paragraph, line 3: ``to derivatives'' should be ``to many derivatives''
- p. 207, 1st paragraph, line 3: the parentheses in ``(heat)'' should not be bold-faced
- p. 207, 1st paragraph, line -3: ``to generalized forms'' should be ``to a generalized form''
- p. 207, Section 15.2, 1st paragraph, line -2: ``and forces'' should be ``, forcing''
- p. 207, Section 15.2, 2nd paragraph, line 2: ``motion'' should be ``motion process''
- p. 207, Section 15.2, 2nd paragraph, lines -2 and -1: delete ``(in years)''
- p. 207, Subsection 15.2.1, line 1: replace ``on S'' with ``whose payff depends only on S(T)''
- p. 211, Subsection 15.2.3, 1st paragraph, line -4: ``The accuracy is even better if'' should be ``For numerical reasons,''
- p. 211, Subsection 15.2.3, 1st paragraph, line -3: ``is'' should be ``may be''
- p. 211, Subsection 15.2.3, equations, line 1: add ``,'' after ``X - S''
- p. 211, Subsection 15.2.3, equations, line 2: add ``,'' after ``X - S''
- p. 211, Subsection 15.2.3, equations, line 3: add ``,'' after ``X - S''
- p. 211, Subsection 15.2.3, equations, line 4: add ``,'' after ``0''
- p. 212, 2nd paragraph, equations, line 1: add ``,'' after ``S - X''
- p. 212, 2nd paragraph, equations, line 2: add ``,'' after ``S - X''
- p. 212, 2nd paragraph, equations, line 3: add ``,'' after ``S - X''
- p. 212, 2nd paragraph, equations, line 4: add ``,'' after ``0''
- p. 215, 1st paragraph, equations: move label ``(15.7)'' to line 1 of equation
- p. 215, Exercise 15.3.6: ``(Euler's Theorem).'' should be ``(Euler's Theorem).'' with ``.'' bold-faced
- p. 215, Exercise 15.3.9: ``(Put-Call Parity).'' should be ``(Put-Call Parity).'' with ``.'' bold-faced
- p. 215, Subsection 15.3.6, 2nd paragraph, line 2: ``that foreign currency'' should be ``that a foreign currency''
- p. 217, 1st paragraph below Cross-Currency Options, line -1: add ``from the earlier ones'' after ``different''
- p. 217, 3 lines above Exercise 15.3.14: there should be an extra ``+s 2Cdt'' term
- p. 218, line -4: delete the extra space before ``In fact''
- p. 219, line -16: delete ``and'' from ``and relation''
- p. 219, line -13: add ``if'' before ``1000 x''
- p. 219, line -12: add ``if'' before ``V(T)<=''
Chapter 16
- p. 225, Subsection 16.2.2, 1st paragraph, line 6: delete ``cash market''
- p. 225, Subsection 16.2.2, 1st paragraph, line -2: delete ``cash''
- p. 226, Subsection 16.2.3, 1st paragraph, line -2: ``if'' should be ``when''
- p. 229, 3 lines above (16.3): delete ``net'' from ``dollars net''
- p. 229, line -11: ``~68%'' should be ``approximately 68%''
- p. 229, line -9: delete ``to'' from ``decrease to''
- p. 229, line -1: delete ``with zero value''
- p. 231, Subsection 16.3.2, line 3: ``is like'' should be ``is like a''
- p. 232, 1st paragraph, line 4: delete ``with zero value''
- p. 232, line -4: ``look back'' should be ``lookback''
Chapter 17
- p. 234, Section 17.1, 1st paragraph, line 1: add ``process'' after ``motion''
- p. 234, Section 17.1, 1st paragraph, line -5: ``works'' should be ``meets the requirements''
- p. 234, Section 17.1, 1st paragraph, line -1: ``convergence'' should be ``limit''
- p. 235, Equation (17.2): ``(...) for even ... b'' should be ``(...), for even ... b,''
- p. 235, Figure 17.1, caption: delete sentence ``Two paths ...).''
- p. 236, 3rd paragraph, line 3:
``S line'' should be ``H line''
- p. 237, Figure 17.3, algorithm, line -5:
swap ``p'' and ``(1-p)''
- p. 237, Figure 17.3, algorithm, line -4:
swap ``u'' and ``d''
- p. 237, 1st paragraph, line 6: ``:'' should be ``because''
- p. 238, Programming Assignment 17.1.10, line 2: ``11.7.11, part (1)'' should be ``11.7.11(1)''
- p. 238, line -2: ``*'' should be ``1''
- p. 239, Figure 17.4, caption, line 1: ``calls. A'' should be ``calls: a''
- p. 239, Equation (17.7): add ``where'' before ``l \equiv''
- p. 241, 1st paragraph, line -3:
H u2 should be
``X but paying zero unless S(t)>H
- p. 241, 1st paragraph, line -2: ``is'' should be ``is again''
- p. 241, Exercise 17.1.16, lines 2 and 3: add ``,'' before ``for'' (4 places)
- p. 242, Section 17.2, 1st paragraph, line 1: add ``process'' after ``motion''
- p. 242, Section 17.2, 1st paragraph, line -4: ``We need'' should be ``We also need''
- p. 243, line 2: ``which resulting'' should be ``which the resulting''
- p. 243, Subsection 17.2.1, line 9: ``min'' should be ``max''
- p. 244, Figure 17.8, line 2: delete ``H < X,''
- p. 244, 1st paragraph, line 1: ``like'' should be ``Like''
- p. 248, Exercise 17.3.5: ``(Optimal Hedge Ratio)'' should be ``(Optimal Hedge Ratio).'' with ``.'' bold-faced
Chapter 18
- p. 249, Section 18.1, 2nd paragraph, lines 1 and 2: ``By replacing'' should be ``We replace''
- p. 249, Section 18.1, 2nd paragraph, line 4: ``axis, the ... is'' should be ``axis. The ... becomes''
- p. 255, 1st paragraph, line 9: add a period
- p. 255, 1st paragraph, line -3: add ``once and for all'' after ``tridiagonal matrix''
- p. 255, line -3: ``have a joint distribution'' should be ``are random variables''
- p. 258, Exercise 18.2.4, liine 2: add ``process'' after ``motion''
- p. 258, Exercise 18.2.4, liine 4: add ``the'' before ``normal''
- p. 259, 2nd line below subsubsection Antithetic Variates: delete ``independent''
- p. 259, 6th line below subsubsection Antithetic Variates: add ``thus'' before ``smaller''
- p. 259, 8th line below subsubsection Antithetic Variates: ``technique'' should be bold-faced
- p. 260, EXAMPLE 18.2.2, line -1: add ``using this idea'' before the period
- p. 260, Figure 18.7, caption, line 2: ``m is the number replications'' should be ``2m is the number sample paths''
- p. 261, 1st paragraph, line 1: ``There'' should be ``Suppose there''
- p. 261, 1st paragraph, line 6: delete ``we obtain by''
- p. 266, EXAMPLE 18.3.2, line 7: add ``component'' after ``c2''
- p. 266, Additional Reading, 2nd paragraph, line 4: ``component'' after ``c2''
- p. 267, NOTES, line -1: add a period after ``11010''
Chapter 19
- p. 268, line -5: add a period
- p. 269, Figure 19.1, caption, line 2: ``(left to right)'' should be ``(from left to right)''
- p. 271, line 2: delete ``furthermore''
- p. 272, subsubsection Generation of the Multivariate Normal Distribution, 1st paragraph, line 2:
``distribution'' should be ``covariance structure''
- p. 272, THEOREM 19.1.1: ``(SVD)'' should be ``(SVD).'' with ``.'' bold-faced
- p. 275, THEOREM 19.2.10: ``(Underdetermined Linear Equations)'' should be ``(Underdetermined Linear Equations).'' with ``.'' bold-faced
- p. 276, Exercise 19.2.13: ``(Lawson-Hanson Algorithm)'' should be ``(Lawson-Hanson Algorithm).'' with ``.'' bold-faced
- p. 280, EXAMPLE 19.3.1, line 2: add ``,'' before ``y4=4.''
- p. 281, Figure 19.7, caption, line 2: ``just a data point'' should be ``just one data point''
- p. 282, Subsection 19.3.3, 1st paragraph, line 1:
``Bi'' should be ``Bi(x)''
Chapter 20
- p. 287, Exercise 20.1.3: add ``of the Ogden model'' before the period
- p. 287, Subsection 20.1.1: move the 1st sentence of the first paragraph to head the second paragraph
- p. 288, Subsection 20.1.2, 1st paragraph: ``form'' in ``semistrong form'' should be bold-faced
- p. 288, Subsection 20.1.2, 1st paragraph: ``form'' in ``strong form'' should be bold-faced
- p. 289, line 14: ``effect'' should be ``effects''
- p. 289, line 18: ``; thus'' should be ``:''
- p. 290, line -5: ``white noise'' should be ``white noise process''
- p. 293, line 12: ``Exercise 20.2.3, part (1)'' should be ``Exercise 20.2.3(1)''
- p. 293, line 15: ``Exercise 20.2.3, part (2)'' should be ``Exercise 20.2.3(2)''
- p. 293, Additional Reading, line 1: ``time-series'' should be ``time series''
- p. 293, Additional Reading, line -5: ``sampled; the'' should be ``sampled. The''
Chapter 21
- p. 298, line -9: add ``,'' after ``therefore''
- p. 298, line -7: delete ``the'' from ``the 6-month''
- p. 300, 2nd paragraph, line 2: ``now that June 1995'' should be ``that now (June 1995)''
- p. 301, Subsection 21.1.4, 2nd paragraph, line -5:
``8%'' should be ``6%''
- p. 301, Subsection 21.1.4, 3rd paragraph, line -5:
``8%'' should be ``6%''
- p. 301, Subsection 21.1.4, 3rd paragraph, line -1:
replace ``1.04'' with ``1.03'' (4 places)
- p. 302, 2nd paragraph, line 4: ``8%'' should be ``6%''
- p. 302, 2nd paragraph, line 6: replace ``1.04'' with ``1.03'' (2 places)
- p. 302, 2nd paragraph, line 6: ``148.42'' should be ``178.72''
- p. 302, 2nd paragraph, line 7: ``1.4842'' should be ``1.7872''
- p. 302, 2nd paragraph, line -2: replace ``1.04'' with ``1.03'' (2 places)
- p. 302, 2nd paragraph, line -2: ``148.66'' should be ``179.26''
- p. 302, 2nd paragraph, line -1: ``1.4866'' should be ``1.7926''
- p. 303, Exercise 21.1.3, line 1: ``8%'' should be ``6%''
- p. 303, EXAMPLE 21.1.6, line 2: ``1.0982'' should be ``1.3374''
- p. 303, EXAMPLE 21.1.6, line -3: ``8%'' should be ``6%''
- p. 303, EXAMPLE 21.1.6, line -3: ``1.0982'' should be ``1.3374''
- p. 303, EXAMPLE 21.1.6, line -2: ``1.0982'' should be ``1.3374''
- p. 303, EXAMPLE 21.1.6, line -2: ``97.997'' should be ``80.470''
- p. 304, Subsection 21.1.5, 1st paragraph, line 3: ``8%'' should be ``6%''
- p. 305, line 16: add ``both 3-'' should be ``both the 3-''
- p. 309, Figure 21.6, caption, line 1: delete ``the'' from ``the LIBOR''
- p. 309, subsection 21.2.4, 2nd paragraph, line 1:
replace ``caps'' with ``caplets'' (2 occurrences)
- p. 309, subsection 21.2.4, 2nd paragraph, line 1:
replace ``floors'' with ``floorlets''
- p. 309, subsection 21.2.4, 2nd paragraph, line 3:
replace ``cap's'' with ``caplet's''
- p. 312, Figure 21.8, caption, line 2: ``(93-futures price)'' should be ``max(93-futures price,0)''
- p. 313, line 7: delete ``the'' from ``over the LIBOR''
- p. 313, 5 lines above EXAMPLE 21.4.1: delete ``the'' from ``the LIBOR''
- p. 313, 2 lines above EXAMPLE 21.4.1: delete ``the'' from ``the LIBOR''
- p. 313, line -7: delete ``the'' from ``the LIBOR''
- p. 313, line -1: delete ``the'' from ``the LIBOR''
- p. 314, line 3: delete ``the'' from ``the LIBOR''
- p. 314, line 6: delete ``the'' from ``the LIBOR''
- p. 314, lines 7-8: delete ``the'' from ``the LIBOR''
- p. 314, line -4: delete ``the'' from ``the 6-month LIBOR''
- p. 315, line 6: delete ``a'' from ``a 6-month''
- p. 315, line 11: delete ``the'' from ``the 6-month LIBOR''
- p. 316, line 1: delete ``the'' from ``the LIBOR''
- p. 316, EXAMPLE 21.4.2, line 1: delete ``the'' from ``the 6-month LIBOR''
- p. 316, Exercise 21.4.2, line 2: delete ``the'' from ``the 6-month LIBOR''
- p. 316, subsubsection Valuation of Swaps as a Package of Forward Rate Agreements:
``Forward Rate Agreements'' should be ``FRAs''
- p. 317, EXAMPLE 21.4.3, line 2: delete ``the'' from ``the 6-month LIBOR''
- p. 319, displayed equation for at: add ``,'' after ``0,'' ``b0,'' ``b1,'' ``b2,'' ``b3,'' ``b4,'' and ``1''
Chapter 22
- p. 321, Section 22.1, 2nd paragraph, line 1: ``A functional'' should be ``In term structure fitting, usually a functional''
Chapter 23
- p. 328, Section 23.1, 1st paragraph, line 3: delete the quotes around the word ``consistent''
- p. 328, Section 23.1, 1st paragraph, line -2: ``consistent'' should be ``compatible''
- p. 329, 2 lines above (23.1): ``Exercise 23.2.3, part (1)'' should be ``Exercise 23.2.3(1)''
- p. 329, line -1: ``Exercise 23.2.3, part (2)'' should be ``Exercise 23.2.3(2)''
- p. 333, lines 2-3 below An Approximation Calibration Scheme:
delete ``. This certainly works in a deterministic economy''
- p. 334, line 9: ``Exercise 23.2.5, part (1)'' should be ``Exercise 23.2.5(1)''
- p. 334, Subsection 23.2.2, 1st paragraph, line 7: delete ``and r1, r2, ... , rm-1''
- p. 334, Subsection 23.2.2, 1st paragraph, line 8: delete ``, thus hopelessly slow [508]''
- p. 334, Subsection 23.2.2, 2nd paragraph, line 3: add ``, we recall, '' after ''This number''
- p. 334, Subsection 23.2.2, 2nd paragraph, line 3: ``state price'' should not be bold-faced
- p. 334, Subsection 23.2.2, 3rd paragraph, line 3: delete comma from ``, corresponding''
- p. 335, Figure 23.8, caption, line 2: add ``derived'' before ``from''
- p. 336, algorithm in Figure 23.9, line -4: delete the enclosing parentheses ``( ... )'' below P[ j ]
- p. 336, line 5: delete ``, each consuming O(n) work''
- p. 339, line 6: ``wide'' should be ``many''
- p. 339, lines 9-10: ``step 1 ... step 2 ... step 3'' should be ``statement 1 ... statement 2 ... statement 3''
- p. 340, Figure 23.14, caption, line -2: ``model'' should be ``market''
- p. 341, Figure 23.15, caption, line 3: ``rate'' should be ``rates''
- p. 341, Subsection 23.3.3, line 6: ``2 years'' should be ``two years''
- p. 342, Programming Assignment 23.3.7, line 1: delete ``European''
- p. 343, line 1: delete ``[84]''
- p. 344, 2nd paragraph, line -1: ``is covered'' should be ``will be covered''
Chapter 24
- p. 346, Section 24.2, line 2, equations, line 1: add ``,'' after ``(T-t)''
- p. 346, Section 24.2, line 2, equations, line 2: add ``,'' after ``(T-t)''
- p. 346, Section 24.2, line 5, equations, line 1: add ``,'' after ``t+1)''
- p. 346, Section 24.2, line 5, equations, line 2: add ``,'' after ``t)''
- p. 346, Section 24.2, line 10: ``Exercise 24.2.1, part (1)'' should be ``Exercise 24.2.1(1)''
- p. 348, Exercise 24.2.10, line 4: add extra space between ``]'' and ``sigma(t)^2''
- p. 348, Section 24.3, line 3: ``t+1 < T'' should be ``t < T''
- p. 349, 3rd paragraph, line 2: ``at times'' should be ``at future times''
- p. 349, line -5: delete the multiplication operator ``x''
- p. 350, Exercise 24.3.2, line 5: ``Exercise 5.7.3, part (2)'' should be ``Exercise 5.7.3(2)''
- p. 351, Equation (24.10): replace equivalence sign with ``=''
- p. 351, line -6: delete ``[76]''
- p. 353, Section 24.5: ``Forward-Rate Process'' should be ``Forward Rate Process''
- p. 353, Section 24.5, line 5: ``forward-rate process'' should be ``forward rate process''
- p. 353, Exercise 24.5.1: delete ``directly''
- 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
- p. 355, Subsection 24.6.1, 2nd paragraph, line -3: ``an up'' should be ``a down''
- p. 356, Exercise 24.6.8: ``(Dynamic Immunization)'' should be ``(Dynamic Immunization).'' with ``.'' bold-faced
- p. 358, line 1: ``10% - one-year rate'' should be ``(10% - one-year rate)''
Chapter 25
- p. 361, Section 25.1, line 1: ``the model'' should be ``a model''
- p. 362, Exercise 25.1.3, line 1: ``Show'' should be ``Prove''
- p. 362, Exercise 25.1.5, displayed equation: add extra space between ``]'' and ``dt''
- p. 363, Exercise 25.1.6, line 1:
``sv2'' should be ``v(t,T)2B(t,T)2''
- p. 363, line -1: add ``further'' after ``explored''
- p. 365, Exercise 25.2.2: ``Show'' should be ``Prove''
- p. 365, Exercise 25.2.4: ``(Affine Models)'' should be ``(Affine Models).'' with ``.'' bold-faced
- p. 365, Exercise 25.2.4, line 1: add ``(1)'' before ``For any ...''
- p. 366, Subsection 25.2.1, line 4: ``Exercise 25.2.14, part (1)'' should be ``Exercise 25.2.14(1)''
- p. 368, line 7: ``PA (...)'' should be ``PA [ ... ]''
- 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
- p. 369, 3 lines above Subsection 25.2.2: ``... pricing. We ...'' should be ``... pricing: We ...''
- p. 369, Subsection 25.2.2, 1st paragraph, equation, line 5:
replace the ``yu'' in the numerator with ``yd''
- p. 369, Subsection 25.2.2, 1st paragraph, line 6: delete ``+'' from ``yu+''
- p. 370, Exercise 25.2.14, line 1: ``Show ... untransformed ...'' should be ``Confirm ... original, untransformed ...''
- p. 371, Section 25.4, line 2: ``approach'' in ``time-series approach'' should be bold-faced
- p. 371, Section 25.4, line -3: ``approach'' in ``cross-sectional approach'' should be bold-faced
- p. 372, 2nd paragraph, line 5: delete ``[234]''
- p. 372, 3rd paragraph, line 5: delete ``[42,149]''
- p. 373, 4 lines above Exercise 25.5.1:
replace ``Si X'' with ``Si ci Xi''
- p. 374, line 5: ``fit'' should be ``fits''
- p. 374, 2nd paragraph, line -1: ``emerges.'' should be ``emerges here.''
Chapter 26
- p. 375, Section 26.1, 2nd paragraph, line 2: delete citation ``[477,482]''
- p. 376, line 5: delete ``it is not hard to see that,''
- p. 376, line 7: add comma after ``(Exercise 26.2.1)''
- p. 377, Subsection 26.2.1, 1st paragraph, line 7: delete reference ``504'' from ``[304,504]''
- p. 377, Subsection 26.2.1, 2nd paragraph, line 1: delete ``all''
- p. 377, Subsection 26.2.1, 3rd paragraph, line 4: delete citation ``[359]''
- p. 379, Exercise 26.2.9, line 4: add ``The'' before ``T''
- p. 380, Problems with no-arbitrage models in general: Make it a subsection instead of subsubsection
- p. 380, Problems with no-arbitrage models in general, line 5:
``everyday'' should be ``every day''
- p. 380, Section 26.3, 1st paragraph, line 6: ``comparison'' should be ``contrast''
- p. 381, line 1: ``these'' should be ``the following''
- p. 381, Subsection 26.3.1, 3rd paragraph, line 1: delete ``let''
- p. 381, Subsection 26.3.1, 3rd paragraph, line 2: delete ``let''
- p. 382, algorithm in Figure 26.3, line 13: delete the enclosing parentheses ``( ... )'' below P[ j ]
- p. 382, algorithm in Figure 26.3, line 14: delete the enclosing parentheses ``( ... )'' below Pu[ j ]
- p. 382, algorithm in Figure 26.3, line 14: delete the enclosing parentheses ``( ... )'' below Pd[ j ]
- p. 382, Figure 26.3, caption, line 4: ``Eqs'' should ``Eq''
- p. 382, line 3: delete reference ``149'' from ``149,508]''
- p. 383, line -4: ``longterm'' should be ``long-term''
- p. 384, line 2: ``has to be carried out for'' should be ``is tailored to''
- p. 384, Section 26.4, 1st paragraph, line 5: ``theta(.)'' should be ``theta(t)''
- p. 384, Section 26.4, 1st paragraph, line -3: ``theta(.), a(.), and sigma(.)'' should be ``theta(t), a(t), and sigma(t)''
- p. 384, Section 26.4, 2nd paragraph, line 1: delete ``the'' from ``the Ho-Lee''
- p. 384, Subsection 26.4.1, 1st paragraph, line 3: ``is'' should be ``are''
- p. 385, line 2: ``period [ ... ]'' should be ``period [ ... )''
- 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)''
- p. 386, 2nd paragraph, line 3: ``(i,k)'' should be ``(i,j)''
- 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).''
- p. 388, Section 26.5, 2nd paragraph, line -1: delete reference ``[515]''
- p. 390, 1st paragraph, line -6: ``the third'' should be ``third''
- p. 390, line -3: add ``Gaussian'' after ``one-factor''
- p. 390, Equation (26.20): change ``+'' to ``-''
- p. 391, 1 line above Subsection 26.5.2: delete s
- p. 392, line 7: ``[ ... ] dt'' should be ``{ ... } dt''
- p. 394, line -1: ``x[ ... ]'' should be ``x( ... )''
- p. 398, line 4: ``to pricing'' should be ``to price''
Chapter 27
- p. 400, line 4: ``view'' should be ``snapshot''
- p. 400, 3rd paragraph, line -4: ``the GSEs'' should be ``GSEs''
- p. 400, 4th paragraph, line 1: ``issuedby state'' should be ``issued by states''
- p. 402, line 3: ``at a bank'' should be ``from a bank''
- p. 403, line 2: ``called'' should be ``called then''
- p. 403, Subsection 27.3.2, 1st paragraph, line 4: ``trustee'' should be ``trustee,''
- p. 404, line 7: delete reference ``[328]''
- p. 404, 2nd paragraph, line 2: ``immediately'' should be ``immediately:''
- p. 405, algorithm in Figure 27.6, line 8: delete the second ``=''
- p. 406, Exercise 27.3.6, line 2: ``Exercise 11.1.10, part (2)'' should be ``Exercise 11.1.10(2)''
- p. 407, Subsection 27.4.2, 1st paragraph, line 2: ``the option feature ... without the option.'' should be ``the option ... without it.''
- p. 407, Subsection 27.4.2, 2nd paragraph, line -1: delete reference ``330'' from ``[325,330]''
- p. 408, Subsection 27.4.3, 1st paragraph, line 5: ``Chap. 23 is ... ideas.'' should be ``Chap. 23 will be ... ideas here.''
- p. 410, Figure 27.8, caption, line 6: add ``make the following changes:'' after putable ``bonds,''
- p. 410, Figure 27.8, caption, line 6: capitalize the two occurrences of ``replace''
- p. 410, Figure 27.8, caption, line 7: capitalize ``make''
- p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 2: delete ''plus''
- p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 6: add ``as'' after ''effective duration''
- p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 7: ``Eqs'' should be ``Eq''
- p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 7: delete reference ``848'' from ``[325,848]''
- p. 411, 1st paragraph below Option-Adjusted Spread Duration and Convexity, line 7: delete reference ``330'' from ``[55,330]''
- p. 411, line -3: delete reference ``429'' from ``[36,329,429]''
- p. 411, line -2: add ``as done above'' after ``model''
- p. 411, line -1: delete reference ``[731]''
- p. 412, 1 line above Exercise 27.4.12: ``better'' should be ``more comprehensive''
- p. 412, line -7: ``The price'' should be ``Each price''
Chapter 28
- p. 417, 2nd paragraph, line -4: delete ``the'' from ``, and the''
- p. 421, line -2: ``0.05/0.09'' should be ``0.05/0.95''
- p. 422, line -1: delete ``like Fannie Mae''
- p. 423, Subsection 28.5.3, 1st paragraph, line 2: ``575'' should be ``800''
- p. 423, Subsection 28.5.3, 1st paragraph, line 3: ``1999'' should be ``2001''
- p. 423, Section 28.6, 1st paragraph, line -1: ``remain prepaid'' should be ``are prepaid''
- p. 424, Subsection 28.6.1, line 5: add ``that'' after ``meaning''
Chapter 29
- p. 427, 1st paragraph, line 1: delete ``the'' from ``the MBS''
- p. 427, 1st paragraph, line 2: use normal font instead of small cap for ``PRINCIPAL AND INTEREST''
- p. 427, Section 29.1, 1st paragraph, line 3: ``100,000. Figure'' should be ``100,000, and Figure''
- p. 428, 1st paragraph, 1 line below Eq. (29.2):
``Bal0'' should be ``the same equation with k=0.''
- p. 432, subsection 29.1.2, 1st paragraph, line -2:
``exceeds'' should be ``is exceeded by ''
- p. 432, line -3: delete ``must''
- p. 433, line -3: ``~6%'' should be ``approximately 6%''
- 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
- p. 437, Figure 29.10, caption, line -1: ``Exercise 29.1.9, part (1)'' should be ``Exercise 29.1.9(1)''
- p. 438, Subsection 29.1.4, 2nd paragraph, line 2: add ``over successive months'' after ``SMMs''
- 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''
- p. 440, Section 29.2, 1st paragraph, line 2: ``The MBS'' should be ``An MBS''
- p. 441, 1st paragraph, line -1: delete ``[4]''
- p. 441, 2nd paragraph, line -3: delete ``the'' from ``the house''
- p. 441, Figure 29.14, caption, line -2: ``Zs'' should be ``Z's''
- p. 445, line 1: delete ``an'' from ``for an illustration''
- p. 446, Exercise 29.3.2, line 2: ``effective'' should be ``the effective''
- p. 448, 1st paragraph, line 2, equation (29.13):
Add ``Sn''
right before Cn*/()()...()
- p. 448, 1st paragraph, line 3: ``for which'' should be ``in which''
- p. 448, 2nd paragraph, line 5, equation:
Add ``Sn''
right before Cn*/()()...()
- p. 448, 4th paragraph, line 5: ``Therefore an'' should be ``An''
- p. 449, 1st paragraph, line 2: delete ``[323,325]''
- p. 449, Holding Period Returns, equation: delete ``the'' from ``the MBS''
- p. 450, NOTES 2, line -1: delete ``54'' from ``[54,330]''
Chapter 30
- p. 451, 1st paragraph, line 3: delete ``[660]''
- p. 451, Section 30.1, 1st paragraph, line 3: ``would be'' should be ``is''
- p. 452, Example 30.2.1, line 4: add a period after ``LIBOR''
- p. 453, line 4: ``in comparison'' should be ``in contrast''
- p. 453, 2nd paragraph, equation: add extra space between ``LIBOR'' and ``)''
- p. 453, both tables in 2nd paragraph: heading ``LIBOR Change (Basis Points)'' should be ``LIBOR change (basis points)''
- p. 453, Exercise 30.2.1, equation: add extra space between ``LIBOR'' and ``)''
- p. 453, Section 30.3, 1st paragraph, line 1: ``They'' should be ``Their cash flows''
- p. 453, Section 30.3, 1st paragraph, line 2: ``by calculation of the cash flows from'' should be ``from the cash flows of''
- p. 454, 3rd paragraph, line 4: delete ``an'' from ``for an illustration''
- p. 456, 1st paragraph, line 3: delete ``an'' from ``for an illustration''
Chapter 31
- p. 458, quote:
add ``(1912--2006)'' after ``Friedman''
- p. 459, 2nd paragraph, line -3: ``then is'' should be ``now becomes''
- p. 460, Figure 31.1, caption, line 2: delete the enclosing parentheses of ``that are above the MVP''
- p. 461, 2nd paragraph, line 2: delete ``(1)''
- p. 461, 2nd paragraph, line 3: delete ``(2)''
- p. 461, 2nd paragraph, line 6: ``also represents'' should be ``is''
- p. 464, Subsection 31.1.2, 1st paragraph, line 5: ``amounts'' should be ``funds''
- p. 466, 1st paragraph, line -2: ``shows'' should be ``lists''
- p. 467, 2 lines above Exercise 31.2.3: ``This demonstrates'' should be ``So''
- p. 467, Exercise 31.2.4, line -1: ``riskiness'' should be ``risk''
- p. 468, Subsection 31.2.2, 1st paragraph, line 4: ``static'' should not be italicized
- p. 470, 2nd paragraph, line 4: delete ``[799]''
- p. 470, line -5: ``results'' should be ``identities''
- p. 471, lines 2--3: delete sentence ``The single-factor ... [795].''
- p. 473, 3rd paragraph, line 4: delete the ``,'' after ``on the other hand''
- p. 474, Section 31.4, quote, line 3, ``The Economist'': italicize
- p. 474, Section 31.4, 1st paragraph, line -2: ``has become'' should be ``is''
- p. 474, Section 31.4, 2nd paragraph, line -2: ``VaR, and we'' should be ``VaR. We''
- p. 474, Section 31.4, 3rd paragraph, line 2: ``We assume that the'' should be ``The''
- p. 476, Subsection 31.4.1, 1st paragraph, line 6: ``As always, actual'' should be ``Actual''
- p. 477, algorithm in Figure 31.7, line -7:
delete ``sqrt(C[j][j]) X'' in front of ``dW[j]''
- p. 477, line 2: ``Exercise 31.4.3, part (3)'' should be ``Exercise 31.4.3(3)''
- p. 478, 3rd paragraph, line -2: delete ``[571]''
- p. 478, Subsection 31.4.3, 3rd paragraph, line 1: delete ``the'' from ``the VaR''
- p. 479, NOTES 1: ``we use variance of return'' should be ``variance of return is used''
- p. 479, NOTES 2, line 2: add ``here'' after ``involved''
- p. 479, NOTES 8: ``See'' should be ``Recall''
- p. 479, NOTES 9: ``Exercise 13.3.10, part (2)'' should be ``Exercise 13.3.10(2)''
Chapter 32
- p. 481, line 7: ``)," and so on'' should be ``)"; and so on''
- p. 483, Section 32.3, 1st paragraph, line -1: ``worthwhile to parallelize'' should be ``worth the effort to parallelize''
Chapter 33
- p. 484, Exercise 3.3.1, line -1, 2 places: ``value" should be ``PV''
- p. 485, Exercise 3.3.2, line -1: ``Consult" should be ``See''
- p. 485, Exercise 3.5.2, line -2: ``10,..." should be ``10,11,...''
- p. 487, Exercise 4.2.3: delete the last paragraph (4 lines)
- p. 495, Exercise 8.1.2, line -3: delete ``called the''
- p. 495, Exercise 8.1.2, line -2: add ``that'' after ``means''
- p. 495, Exercise 8.2.1, line -2: add ``the second equation from the first equation'' after ``subtract''
- p. 495, Exercise 8.2.2, line 2: ``noone'' should be ``no one''
- p. 497, Exercise 9.2.2, line 3: delete ``equal to''
- p. 497, Exercise 9.3.1, line -2: add ``numerically'' after ``limit''
- p. 499, Exercise 9.6.1, line -2, equation: add ``,0'' after ``X'' (2 places)
- p. 500, Exercise 9.6.7, line 1: ``It retains the binomial tree's'' should be ``The''
- p. 500, Exercise 9.6.7, line 2: add ``is retained'' after ``structure''
- p. 500, Exercise 9.6.7, line 3: add ``that'' after ``pretending''
- p. 500, Exercise 9.6.8, line 2: delete ``has zero value at present as it''
- p. 500, Exercise 9.6.8, line 3: add ``a'' before ``positive''
- p. 501, Exercise 10.1.5, line 4: add ``identity'' after ``of''
- p. 501, Exercise 10.1.7: delete ``[894, p. 78]''
- p. 501, Exercise 11.1.3: ``Leibnitz's rule'' should be bold-faced
- p. 502, Programming Assignment 11.2.5, line 2: ``, noting'' should be ``. Note''
- p. 502, Programming Assignment 11.2.5, line -3: add ``the pre-zeroed'' before ``out-value''
- p. 503, Figure 33.2, algorithm, line 3: delete ``(H < X, H < S)''
- p. 503, Figure 33.2, algorithm, line 7: delete ``H := Suh;''
- p. 503, Figure 33.2, algorithm, line 13: delete ``0 <=''
- p. 503, Exercise 11.5.4, line 1: add ``in'' after ``$h''
- p. 503, Exercise 11.5.4, line 2: add ``in'' after ``$B''
- p. 504, line 3: add ``desired'' before ``result''
- p. 504, Exercise 11.7.5, equation, line 1: add ``,'' after the formula before ``if''
- p. 504, Exercise 11.7.5, equation, line 1: add ``,'' after ``S0''
- p. 505, Programming Assignment 11.7.11, 2nd paragraph, line -12: ``were'' should be ``can be''
- p. 506, Exercise 12.2.5, line 3: add ``years'' before ``from now''
- p. 506, Exercise 12.3.6, line 3: ``a T-bill'' should be ``T-bills''
- p. 507, Exercise 12.4.4, line 1: ``into'' should be ``in''
- p. 508, line 1: ``proof for'' should be ``case of''
- p. 508, Exercise 13.1.3, line 4, equation, line 1: add ``,'' after ``1''
- p. 508, Exercise 13.1.3, line 4, equation, line 2: add ``,'' after ``0''
- p. 508, Exercise 13.1.4, equation, line 1: add ``,'' after ``1''
- p. 508, Exercise 13.1.4, equation, line 2: add ``,'' after ``-1''
- p. 508, Exercise 13.1.5, line 3, equation, line 1: add ``,'' after ``+1)''
- p. 508, Exercise 13.1.5, line 3, equation, line 2: add ``,'' after ``-1)''
- p. 508, Exercise 13.1.5, line 3, equation, line 3: add ``,'' after ``+1)''
- p. 508, Exercise 13.1.5, line 3, equation, line 4: add ``,'' after ``-1)''
- p. 508, Exercise 13.2.2: delete ``,'' after ``(2)''
- p. 511, Exercise 14.1.1, line 6: ``can show'' should be ``shows''
- p. 514, 1 line above LEMMA: delete ``then''
- p. 514, line -4: ``get'' should be ``obtain''
- p. 515, Exercise 14.4.5: ``direct'' should be ``directly''
- p. 515, Exercise 14.4.5: delete ``, it is SeuT''
- p. 515, Exercise 14.4.8, line 5: ``preceding'' should be ``the above''
- p. 516, Exercise 15.2.3, line 3: ``expansion'' should be ``expansions''
- p. 516, Exercise 15.2.10: ``is due to'' should be ``can be proved by recalling''
- p. 518, Exercise 15.4.1, line -3: ``m'' should be ``m f''
- p. 518, Exercise 15.4.1, line -2: ``s'' should be ``s f''
- p. 519, Exercise 16.2.2: ``Because the'' should be ``The''
- p. 519, Exercise 17.1.1: ``Because the'' should be ``The''
- p. 519, Exercise 17.1.4, line -7: add ``that'' after ``probability''
- p. 519, Exercise 17.1.4, line -7: delete ``that'' before ``reaches''
- p. 522, Figure 33.4, caption, line -2: delete ``further''
- p. 524, Exercise 18.2.7, line 2: ``mean zero'' should be ``zero mean''
- p. 524, Exercise 18.2.11: ``>'' should be ``=''
- p. 525, Exercise 18.2.13, line 4: add ``well-known'' before ``relation''
- p. 526, Exercise 19.2.12, line 6: ``step'' should be ``statement''
- p. 526, Exercise 19.2.12, line -3: ``step'' should be ``statement''
- p. 526, Exercise 19.2.12, line -3: ``Step'' should be ``Statement''
- p. 526, Exercise 19.2.12, line -2: ``step'' should be ``statement''
- p. 528, Exercise 20.1.4, line 7: ``We differentiate'' should be ``Differentiate''
- p. 528, Exercise 20.1.5, line -2: delete ``,'' after theta
- p. 528, Exercise 20.1.8, line 1: ``Exercise 6.4.3, (2)'' should be ``Exercise 6.4.3(2)''
- p. 528, Exercise 20.1.9, line 4: ``Exercise 6.4.1, (1)'' should be ``Exercise 6.4.1(1)''
- p. 528, Exercise 20.1.12, line 1: delete ``a'' from ``Take a positive''
- p. 530, Exercise 21.1.4, line 4:
``1.04'' should be ``1.03'' (2 places)
- p. 530, Exercise 21.1.4, line 4:
``149.19'' should be ``180.35''
- p. 530, Exercise 21.1.4, line -1:
``1.4919'' should be ``1.8035''
- p. 531, Exercise 21.4.3, line -1: add ``dollars'' after ``million''
- p. 531, Exercise 22.2.1, lines 1--2: ``can be simplified to'' should be ``implies''
- p. 532, Exercise 23.2.1, line 2: ``term ln rk is'' should be ``terms ln rk are''
- p. 532, Exercise 23.2.1, line 2: ``it is'' should be ``they are''
- p. 534, Exercise 23.2.9, line 3: delete ``,'' before ``corresponding''
- p. 534, Exercise 23.3.4, line -1: ``predicts'' should be ``predicted''
- p. 535, Exercise 24.2.4, line 4, equation: add ``.'' at end
- p. 535, Exercise 24.2.4, line -1: delete ``above''
- p. 536, Exercise 24.3.2, line 2, equation: move ``.'' to end of equation
- p. 536, Exercise 24.3.8, 2nd paragraph, line 4: delete ``t1'' after ``contingent''
- p. 536, Exercise 24.3.8, 2nd paragraph, line -4: ``can be easily proved to be'' should be ``is''
- p. 536, Exercise 24.3.8, 2nd paragraph, line -2: ``date'' should be ``time''
- p. 538, Exercise 24.6.2, line -1: ``S3.3'' should be ``Section 3.3''
- p. 538, Exercise 24.6.5: add ``work'' after ``manipulations''
- p. 539, Exercise 25.1.5, line -3: ``by using'' should be ``with''
- p. 539, Exercise 25.1.5, line -3: add ``obtain'' after ``to''
- p. 539, Exercise 25.1.6, line -1:
The final term is missing the multiplicative factor ``B(t,T)2''
- p. 540, Exercise 25.2.14, line -3: ``,'' should be ``.''
- 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])
- p. 543, Exercise 27.3.2, line 1: ``were'' should be ``is''
- p. 543, Exercise 27.3.3, line 1: add ``the'' before ``bondholder''
- p. 543, Exercise 27.3.3, line 3: ``However, we'' should be ``Of course,''
- p. 544, Exercise 27.4.2, line 2: add ``the'' after ``The fall in''
- p. 544, Exercise 27.4.2, line 3: add ``the'' after ``the fall in''
- p. 544, Exercise 27.4.3, line -4: ``thus is'' should be ``is thus''
- p. 545, Exercise 27.4.11, line 1: ``(1)'' should be ``first''
- p. 545, Exercise 27.4.11, line 2: ``(2)'' should be ``then''
- p. 545, Exercise 28.6.4, line 3: add ``later'' after ``(29.4)''
- p. 546, Exercise 29.1.2, line -2: ``r/m'' should be ``(r/m)''
- p. 546, Exercise 29.1.5: ``Exercise'' should be ``Programming assignment''
- p. 546, Exercise 29.1.5, line 1: add ``the longer'' after ``with''
- p. 546, Exercise 29.1.6, line 1: add ``The desired IRRs are tabulated below:''
- p. 547, Exercise 29.1.9, line 1: add ``.'' after ``Bi''
- p. 549, Exercise 31.1.7, line 2: add ``,'' after ``variables''
- p. 550, Exercise 31.2.11, line 1: ``continuous'' should be ``continuously''
Bibliography
- p. 553, [7]: ``K. ... D. ...'' should be ``Kenneth ... Donald ...''
- p. 555, [70]: ``Avi.'' should be ``Avi''
- p. 555, [74]: ``Petter.'' should be ``Petter''
- p. 556, [90]: delete ``Manuscript, November 1996.''
- p. 556, [94]: ``Stephen, and'' should be ``Stephen and''
- p. 556, [108]: ``Broadie and Paul'' should be ``Broadie, and Paul''
- p. 557, [116]: ``Gatarek and Marek'' should be ``Gatarek, and Marek''
- p. 558, [139]: ``Walter and Thomas'' should be ``Walter, and Thomas''
- p. 558, [147]: ``Lo and A.'' should be ``Lo, and A.''
- p. 558, [156]: ``Morgan Stanley.'' should be ``Morgan Stanley,''
- p. 559, [171]: ``Carleton and Donald'' should be ``Carleton, and Donald''
- p. 559, [173]: ``Longstaff and Anthony'' should be ``Longstaff, and Anthony''
- p. 559, [177]: ``Chang and Kian-Guan'' should be ``Chang, and Kian-Guan''
- p. 559, [181]: ``In ... Computing.'' should be ``SIAM Journal on Computing, 31, No. 2 (2001), 447--459.''
- p. 559, [182]: ``Seltzer and Michael'' should be ``Seltzer, and Michael''
- p. 560, [199]: ``Choi and Elena'' should be ``Choi, and Elena''
- p. 560, [205]: ``Robbins and David'' should be ``Robbins, and David''
- p. 560, [206]: ``Fabozzi and Anthony'' should be ``Fabozzi, and Anthony''
- p. 561, [227]: ``Leiserson and Ronald'' should be ``Leiserson, and Ronald''
- p. 561, [233]: ``Jr. and'' should be ``Jr., and''
- p. 562, [246]: ``Meeraus and Stavros'' should be ``Meeraus, and Stavros''
- p. 562, [254] and [255]: swap them to preserve the alphabetic order
- p. 562, [263]: ``DBMS, March 1995, pp. A--X'' should be ``DBMS (March 1995), A--X''
- p. 562, [269] and [270]: swap them to preserve the alphabetic order
- p. 563, [281]: ``Samuelson and Robert'' should be ``Samuelson, and Robert''
- p. 563, [288]: ``Gauthier and Jean-Guy'' should be ``Gauthier, and Jean-Guy''
- p. 563, [301]: ``Jr. and'' should be ``Jr., and''
- p. 564, [314]: ``Perraudin and Peter'' should be ``Perraudin, and Peter''
- p. 565, [365]: ``Scharfstein and J.C.'' should be ``Scharfstein, and J.C.''
- p. 566, [385]: ``Christian, and'' should be ``Christian and''
- p. 567, [402]: ``Mark, and'' should be ``Mark and''
- p. 568, [430]: ``Chaudhary and Robert'' should be ``Chaudhary, and Robert''
- p. 568, [431]: ``Lauterbach and Cyrus'' should be ``Lauterbach, and Cyrus''
- p. 568, [449]: ``Keenan and Walter'' should be ``Keenan, and Walter''
- p. 569, [467]: ``California'' should be ``CA''
- p. 570, [487]: ``Kai.'' should be ``Kai''
- p. 571, [516]: ``Tuckman. (Ed.)'' should be ``Tuckman, ed.''
- p. 572, [547]: ``S.G.'' should be ``Stephen G.''
- p. 572, [555]: ``Manuscript ... Finance.'' should be ``The Journal of Computational Finance,
4, No. 3 (2001), 89--124.''
- p. 573, [600]: ``Ritchken and L.'' should be ``Ritchken, and L.''
- p. 577, [697]: move it below reference [701]
- p. 578, [730]: ``B., and Michael'' should be ``B. and Michael''
- p. 578, [732]: ``18'' should be ``78'' and ``315'' should be ``340''
- p. 578, [748]: ``Sankarasubramanian and Anand'' should be ``Sankarasubramanian, and Anand''
- p. 578, [751]: ``Runkle and Charles'' should be ``Runkle, and Charles''
- p. 579, [767]: ``Westerfield and Jeffrey'' should be ``Westerfield, and Jeffrey''
- p. 579, [784]: ``M.'' should be ``Manfred.''
- p. 580, [799]: ``Alexander and Jeffrey'' should be ``Alexander, and Jeffrey''
- p. 580, [814]: ``Shreve and J.'' should be ``Shreve, and J.''
- p. 582, [879]: ``Howison and Jeff'' should be ``Howison, and Jeff''
- p. 583, [897]: ``Vetzal and Peter'' should be ``Vetzal, and Peter''
Index
- p. 588, right column, ``Mathematical Theory of Speculation'' under ``Bachelier, Louis'': italicize
- p. 592, right column, ``Capitals software'': italicize ``Capitals''
- p. 603, left column, ``government-sponsored enterprise'': delete the page xiv entry
- p. 619, right column, ``Investments'' under ``Sharpe, William F.'': italicize
- p. 622, right column, ``swaption:valuation'': delete
Back cover
- 1st paragraph, line -2: ``, in keeping with'' should be ``to keep up with''
- line -15: delete the sentence, ``Each instrument is treated in a short, self-contained chapter for ready reference use''
- 4th paragraph, 1st sentence: ``coded in Java'' should be ``coded in Java or JavaScript''
- 4th paragraph: ``http://www.csie.ntu.edu.tw/ffilyuu/Capitals/capitals.htm'' should be ``http://www.csie.ntu.edu.tw/~lyuu/Capitals/capitals.htm''
- 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.