Errata for Stochastic Simulation and Applications in Finance:
Page 44 – In equations (3.33) and (3.35), u2/2 should be u2.
Page 232 – In equation (11.58) the two instances of s should be t.
Page 132 – The reference to equation (3.1) should be to (8.58), (3.2) to (8.59), (3.5) to (8.62), and (3.6) to (8.63)
Page 134 – The reference to equation (4.7) should be (8.76)
Page 136 – The reference to equation (4.20) should be (8.89)
Study Note F-104-13:
In the discussion leading up to and including the example illustrated in Figure 5.6 on Page 143 there is a mixture of effective rate of interest and force of interest. The numbers in the Figure are computed using a force of interest of 0.06. For consistency, the following changes are needed (note that this could be done with 0.06 as an effective rate of interest, but then different numbers will result).
(5.22) should be P(n) = e-0.06n
(5.24) should have e0.06 in the denominator rather than 1.06
(5.25) should be P(1) = e-r(n,i)
In the commentary for Figure 5.6 starting in the middle of line 3: “is 0.83527, which is the same as P(3) = e-0.06(3).