Some corrections / typos

This forum is to discuss the book "the concepts and practice of mathematical finance" by Mark Joshi.

Some corrections / typos

Postby G_CAM » Wed Aug 21, 2013 1:26 pm

Page 102

In the 2nd edition: E(X_n^2) = T^2 + 2*(T^2/n^2)

This should be T^2 + 2*(T^2/n)

Solution to exercise 5.14

d((e^(alpha*t))*X_t) = e^(alpha*t)[alpha*beta + sigma*dW_t]

This should be
d((e^(alpha*t))*X_t) = e^(alpha*t)[alpha*beta *dt+ sigma*dW_t]
G_CAM
 
Posts: 10
Joined: Mon Aug 12, 2013 12:46 pm

Re: Some corrections / typos

Postby G_CAM » Tue Sep 17, 2013 2:39 pm

Pag 170

E_s(C_T) = E_B(D_T.(S_T/S_0).(B_0/B_T))

This should be:

E_s(C_T) = E_B(C_T.(S_T/S_0).(B_0/B_T))
G_CAM
 
Posts: 10
Joined: Mon Aug 12, 2013 12:46 pm

Re: Some corrections / typos

Postby G_CAM » Tue Sep 17, 2013 2:43 pm

Solution exercise 6.4.

the Forward F_T(t) = exp(r(T-t).St) should be F_T(t) = exp(r(T-t)).St
G_CAM
 
Posts: 10
Joined: Mon Aug 12, 2013 12:46 pm

Re: Some corrections / typos

Postby G_CAM » Wed Sep 18, 2013 2:23 pm

Solution Exercise 6.26

D(f(S/B)) needs to be expressed in terms of d(S/B) and (d(S/B))^2 instead of dS and (dS)^2
G_CAM
 
Posts: 10
Joined: Mon Aug 12, 2013 12:46 pm

Re: Some corrections / typos

Postby G_CAM » Mon Sep 23, 2013 4:23 pm

8.13) E(log(B),t) = 0 should be E(logB, tau) = 0
G_CAM
 
Posts: 10
Joined: Mon Aug 12, 2013 12:46 pm


Return to The concepts and practice of mathematical finance

Who is online

Users browsing this forum: No registered users and 2 guests

cron