|70||Footnote 3, the definition of arbitrage should be:
there is an arbitrage opportunity if one diagram is nowhere below
and somewhere above
|100||2nd paragraph of section 4.3, "arbitrage" is
|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 degree-day
contract for Minneapolis" instead of "cooling degree-day contract
|218||In the sixth line below "Eurodollar Futures", the
equation should be "(100-92.8)/(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 left-hand 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
|507||Last line, the reference to equation (16.3) should
|532, Ex. 16.6||The value of the down-and-in 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
|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
|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 "non-dividend paying" on lines 1
|609||The term "kurtosis" is ambiguous. Spreadsheets
(both Excel and Libreoffice) generally compute kurtosis as the
measure defined in the book (E[(x-mu)^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 y-axis should be V(S_t+epsilon) (rather than V(S_t-epsilon))
|687, Eq. 21.18|| The left-hand side is reversed; it
should be dV/V-E(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, 409-426.
- 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),
|788||This is not a typo but an observation in case you
are comparing the solution here to that in the original
Cox-Ingersoll-Ross 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.