This is the errata for the fifth printing of Concepts. Most (but not all!) of these errors were also in earlier printings. Last updated 1st Nov 2007 Page 3, line 7, "it is pointless to for us to", delete "to" in the middle Page 10, line 3, "be worth at least at much" -> at least as much P17: line 13. Change "much costly" to "much more costly". Page 19, line 6, "the opportunity so disappear." -> to disappear Page 27: Theorem 2.5, "less" in statement should be "more" "less" in third line of proof should be "more" Page 31, after equation (2.6), rates are non-negative so Z0 <= 1 page 38, "rational bounds" should be in the index page 39, ex 2.7 replace non-negative by non-positive Page 44, start of the 4th last line, " is not case" -> "is not the case" page 45, line -3 "\alpha" in state B not \beta page 73, line 10 change "O" in "dO/dS" to "C" Page 89, line 10, "we refer the author to [53]" -> "we refer the reader to [53]" Page 90, 3rd paragraph, "that going into making" -> " that go into making" page 95 line 4 Since f(0) =0 should be since f(t) =0. Page 98, the 2nd equation should be h^2*(Z^2-1)^2 (i.e. add square at the end) page 100, eqn (5.30), the left hand side should be d(f(t, X^{(1)}_{t}, X^{(2)}_{t}, \dots, X^{(n)}_{t})) page 111, Fig 5.3: change x axis label from "strike" to "spot" page 114, line 14, "can replicated" -> "can be replicated" p115, prob 5.10, the superscripts in the initial condition should be 1 and 2, not 0 and 1. p115 Ex5.10: Superscripts on initial conditions should be 1 and 2. page 121 First paragraph, replace "decreasing" with "increasing" in the first place it occurs. Replace second last sentence with "The value is a non-negative number which will therefore decrease monotonically as $\epsilon$ decreases to zero. " Page 123, second paragraph, Sentence starting "the variance of Rn" . Replace with "The expectation of the square of Rn will be equal to minus the expectation of Rn since the pay-off is zero or minus one." page 124 The first sentence of second paragraph should read "We can use no-arbitrage to deduce the price of any option with a (measurable) compactly supported pay-off, $f$ -- i.e. a payoff which is zero outside a compact set and not too unreasonably behaved." page 126 change g to h in eqution (6.20) Page 128, second line after (6.26), "This simple formula" delete "is" p129 "However, if we think back to chapter 4", should read chapter 3. Page 131, 2nd last line of 2nd paragraph, "all values at once it as a lot less" -> "is a lot less" page 136, line 9, insert "conditional" before "expectation" page 144, replace 80 everywhere it appears by 90, replace 120 everywhere it appears by 110 page 148, eqn (6.67) insert \sigma before dW Page 155, (6.102) should be sigma(t)dWt Page 160, equation (6.119), move final ) in the numerator to be directly after the log (ie so first fraction is the argument of the log) eqn (6.117) argument of last exponential is {-\frac{1}{2} \sigma^2 T + \sigma \sqrt{T} X} Page 161, line 15, "forward price is FT(t) at time T" -> "at time t" p167, 3rd line after Eq 7.7: change "just the derivative" to "just the negative of the derivative". page 169 half way down, replace N(N-1)/2 by (N+1)(N+2)/2 page 169, second last para, the price is the binomial probability of being in the money, NOT the fraction of nodes page 172, Fig 7.4, as in Figure 7.2 not Fig 7.4 p177, sentence before Eq 7.30: Change I(y) to I(r). page 185, insert "continuously" before twice differentiable p188, second line of main text: change "option" to "stock". p197, Eq 8.38: change LHS from Z_t to dZ_t. page 205, ex 8.8. change put to call ex 8.9 put to call p202 in definition of d_j and h_j change t to T page 210 2nd last pare "n" to "N" and at end of sentence "where N is the number of sample paths." page 211 equation 9.13, replcace Z_j by Z_{j+1} page 213, eqn 9.29, index in sums should be j page 216, eqn 9.32, it should \frac{1}{n^2} not \frac{1}{n} page 218, eqn 9.39, change r in exponent to (r - 0.5 \sigma^2) page 229, (10.2) replace matrix by its transpose end of 3rd last para, "above" = "below" page 230, 3rd last para first line, T_{n-1} should T_{n-2}, last line P_n should be P_N, , on lines 17 and 18, the subscripts in the x's should be $k$ not $n$. page 243, line -2, (s-t) I = (t-s) I page 248 delete first 3 lines as they appear elsewhere page 251, (11.28) A_{jk} = a_{jk} next line insert "t" after "\nu_k" (11.29) A_{jk} = a_{jk} (11.34) put dt at the end (11.64) and (11.65) Z_{t}^{1}, Z_{t}^{2} (11.66) subscript "j" on both occurences of \sigma page 275 line -8 "call" = "put" page 289, 2nd displayed equation, add "\tau" at the end page 301, line -8 discretization is misspelt page 303 line 12, replace f_{1}(t_1) by f_{1}(t_1)(t_1 - t_0) line 13 replace f_{1}(t_1) by f_{1}(t_1)(t_1 - t_0) line 15 replace f_{1}(t_1) by f_{1}(t_1)(t_1 - t_0) displayed equation after line 15, replace f_{1}(t_1) by f_{1}(t_1)(t_1 - t_0) in denominator only line 16, replace f_{2}(t_2) by f_{2}(t_2)(t_2 - t_1), and put ( )^{-1} around the expression line 18 replace f_{1}(t_1) by f_{1}(t_1)(t_1 - t_0) and replace f_{2}(t_2) by f_{2}(t_2)(t_2 - t_1) 3rd displayed equation in denominator replace f_{1}(t_1) by f_{1}(t_1)(t_1 - t_0) and replace f_{2}(t_2) by f_{2}(t_2)(t_2 - t_1) page 309 line 5 f_3 = f_2 page 310 after (14.12) P1/P0 should be B1/B0 page 312 change \sigma_{total} in the two places it occurs to "V" page 343 [0,T] before (15.5) should be [0,t] page 446 C.24, change E(XY)^2 \leq E(X^2) E(Y^2) page 447 line 2 before C27 change "eigenvector" to "eigenvalue" page 448 line -3, should $A$ to $C$ after pseudo-square root page 450 chapter 2 q 9 change first zero to one. page 450 chapter 3, question 4, change zero to 5/6 page 451 q8, change lower bound to 1/3 page 454 answer to 7.1, last line: change \alpha=\sqrt{3} to \alpha=\sqrt{3dt} p454, answer to 7.2: change upper limit on sum from n to n-1. page 458 chapter 13, q4, change t_0 to T_1 and t_1 to T_2 throughout page 458, chapter 13, q5 change $P(t_0) =0$ to $P(t_0)=1$ page 459 chapter 15, question 1, change "second" to "first" throughout page 460, chapter, question 3, change 1.25 to 1+x^2 page 460 question 11, the expectation should be of "f" of the thing inside the brackets