Page  Item


70  Footnote 3, the definition of arbitrage should be:
there is an arbitrage opportunity if one diagram is nowhere below
and somewhere above
the other.

100  2nd paragraph of section 4.3, "arbitrage" is
misspelled.

101, Figure 4.7  In the legend, "unhedged seller" should
be "unhedged buyer"

165, problem 5.15  Assume one year to maturity.

197  2nd line from bottom, "short less than" should be
"go long fewer than".

200, 3rd para, 4th line  Should read "heating degreeday
contract for Minneapolis" instead of "cooling degreeday contract
for Minneapolis"

218  In the sixth line below "Eurodollar Futures", the
equation should be "(10092.8)/(4*100)=1.8%"

243  Fifth line above Example 7.14, the equation
reference should be 7.5 instead of 7.5.1.

255  Line 5, "oil" should be "interest rate".

327  In the third line of text, "u and d are smaller than
before" should be "u and d are closer to one"

341  Equation 10.18, the last tau on the lefthand side
of the equation should have the subscript "i".

376  Table 12.1, the caption should refer to Figure 10.3
instead of 10.2

431  Equation 13.11, there should be no leading minus
sign on the left hand side of the equation

505, Fig 16.l  Legend should read "equity" rather than
"convertible equity"

507  Last line, the reference to equation (16.3) should
be (16.13).

532, Ex. 16.6  The value of the downandin call should
be CallDownIn($100,$60,0.4,0.06,10,0.01,60)=18.54, not 20.30. Thus,
the sum of the two option prices is 41.11+18.54=59.65. The
percentage increase in the value of the grant is 9.6%.

592  If random variables are jointly normally
distributed, their sum is normally distributed. The discussion at
the top of the page omits the requirement of a joint normal
distribution.

597  Unnumbered equation at top of page: the exponent
should be "(alpha  delta ...)" (the delta is missing)

597  Line below equation (18.22), "expected continuously
compounded rate of appreciation" should be "continuously compounded
expected rate of appreciation."

600  In the unnumbered equation immediately above
"Solving explicitly...", the d_2 should have a ^.

600  "Similarly" is misspelled about 3/4 of the way down
the page

601  Bottom line, "62.09" should be 60.09. (All the
prices in this example are slightly off in the rounding.)

604  In eqs. 18.28, 18.29, and 18.30, S (to the right of
the equals sign) should be S_0

604  In the line of text immediately below eq 18.28, S > K
should be S_t > K

609  Delete the phrase "nondividend paying" on lines 1
and 11.

609  The term "kurtosis" is ambiguous. Spreadsheets
(both Excel and Libreoffice) generally compute kurtosis as the
measure defined in the book (E[(xmu)^4]/sigma^4) less 3. This
normalized measure is also called "excess kurtosis". 
643  See the entry for p. 609 regarding kurtosis. 
663, Fig 20.1  On the vertical axis, the topmost value
on the yaxis should be V(S_t+epsilon) (rather than V(S_tepsilon))

687, Eq. 21.18  The lefthand side is reversed; it
should be dV/VE(dV)/V.

699  Two referenced articles are not in the
bibliography. They should be
 Alan J. Marcus and David M. Modest, Futures Markets and
Production Decisions, Journal of Political Economy, 92(3) 1984, 409426.
 Alan J. Marcus and David M. Modest, The Valuation of a
Random Number of Put Options  An Application to Agricultural Price
Supports, Journal of Financial and Quantitative Analysis, 21(1),
1986, 7386.

788  This is not a typo but an observation in case you
are comparing the solution here to that in the original
CoxIngersollRoss paper. The risk premium, phi, is defined
differently in that paper and in
Vasicek. I follow the Vasicek formulation so the sign of the risk
premium appears to be reversed.

800, Figure 2.4  The first up node is missing an equals
sign between r_u and R_h.

844  The line above eq 26.8 should say "expected
recovery", not "expected recovery rate".

907  The definition of arbitrage should be: there is an
arbitrage opportunity if one diagram is nowhere below and somewhere
above the other.
