Known typos in first printing of second edition
page 28, line -6, less = more
page 58, line -4, expectation = expected
page 76, line 13, time execute = time to execute
page 113, 3rd line after (5.47) d(f(s)) = d(f(S))
page 134, in equation2 (6.11) to (6.13) J_L = J_l
page 163, line 14, change dS to S
page 179, Exercise 6.18, change Y_{-1} =0 to Y_0 = 0
page 184, second last para, replace 3 sentences starting "The price of the option is then just ... " with
The price of the option is then just the binomial probability that the
option finishes in the money. If we have an even number of nodes in
the final layer then this equals $0.5.$ However, if there is an odd
number then there will be one at $S_0 exp( -\frac{1}{2} \sigma^2 T)$
just below $K$ resulting a price markedly different from $0.5.$
page 269, line 12 Im A A' = Im AA^{\perp}
page 269, line -1, A_{jk} = a_{jk}
page 270, (11.29) A_{jk} = a_{jk}
page 271, (11.34) rD = rD dt
page 295, line 25, one could such = one could use
page 298, line -9, Thus is if = Thus if
page 307, (13.14) P_0 - P_N = P(T_0) - P(T_N)
page 308, line 1, "in year" = "in a year"
page 308, bad break line -11
page 323, lines 18,19 X = K, also in last displayed equation
(there should be no Xs on this page)
page 325, line 17, $f_t$ = $f_j$
page 326, line -8 (t_1 - t_0)f_0(t_0) = (t_1 - t_0)(f_0(t_0) -K)
page 338, line -11, W_1 and W_3 = W_{t}^{(1)} and W_{t}^{(3)}
Page 353, line 5, pseudo-square root of $A$ = pseudo-square root of $C$
page 381, first line of section 15.9, observed market = observed the market
page 384, line 3, function not twice-differentiable = function is not
twice-differentiable
page 385, line 8, then it also true = then it is also true
page 403, line -1, examine to = examine how to
page 407, line -7, f(S_{t_1} , .... S_{t_k}) = f(S_{t_1} , ... ,
S_{t_k})
page 412, line -5, the by = by the
page 522, answer to Ex13.5 denonimator of fraction should be \sum
\limits_{i \leq j} \tau_{i-1} P_i.
page 523, answer to exercise 15.1, in third line replace "second" by "first"
page 524, ex15.10, line 4, there is upper = there is no upper