On page 41, in the 3rd equation replace 2 √(π) by √(2 π).

In line 5, in the second integrability condition, it should be φ in place of θ (both, θ and φ have to satisfy the integrability condition).

On page 104, in equation (7.11) add + h.o.t. (higher order terms) to the end of the equation.

On page 106, in the 6th line from the bottom replace k≠0 by i≠0.

On page 106, in the 3rd line from the bottom replace S₀ by S₀(t).

On page 107, in the 10th line from the bottom replace σ² by σ²(T-t).

On page 107, in the 6th line from the bottom replace σ² by σ²(T-t_k).

On page 107, in the 6th line from the bottom replace φ(t_k-1) by φ₀(t_k-1) (the coefficient of N(t_k)).

On page 111, the formulas for φ₀ and φ₁ are the corresponding formulas for the delta hedge. The additional correction term of the delta-gamma hedge ψ₁ is missing. Download a corrected version of page 111 (pdf).

In Theorem 176 a prerequisite is missing. It is required that f is monotonely increasing.

Note: If S is a martingale then this requirement is not necessary. If S is a super-martingale then the corresponding result holds for f being a monotonely decreasing convex function.

Some figures Chapter 18 use a light gray which is a bit hard to distinguish from the background. Solution: You may download a collection of the figures in PDF, see the Mathematical Finance Picture Book.

In line 12 on page 316 the index of the swap period is wrong. It is i_l(k), i_l(k)+1 and not l_k, l_k+1. The text in parentheses should read:

...(the index l(k) marks the first swap period [T_il(k),T_il(k)+1] which contains the forward rate period [T_k,T_k+1])...

In line 2 the word not has to be deleted. The sentence should read: neither the numéraire N(t) of the terminal measure nor the numéraire of the spot measure is fully described by the processes L_i(t).

In the first equation (the integrated quadratic covariation of the (log)swap rate processes) the first dt has to be deleted.

On page 358, in the 3rd line from the bottom delete the term ½ t². The equation should read f_T1(t) = f_T1(0) + f₀(T₁ + t) − f₀(t) + σ² T₁ t

On page 381, in the 9th line from above replace S(t) by S(t)/B(t) twice on the right hand side of the equation.

On page 381, in the 10th line from above replace &sigma_BS² by &sigma_BS (i.e., delete the ²).

On page 382, in the 9th line from above the first opening bracket should be placed before exp, i.e., replace K exp(-rT) (&phi(d_-)... by K (exp(-rT) &phi(d_-)....

On page 386, in the 7th line from below replace t by t_i.

On page 387, in the 8th line from below replace &sigma_BS(t_i)² by &sigma_BS(t_i)² t_i. Likewise, in the 7th line from below replace &sigma_BS(t_i+1)² by &sigma_BS(t_i+1)² t_i+1.

In Equation (27.15) a closing bracket is missing. Also in the line after Equation (27.15) and in an equation on page 396. N(T_i+1,x(T_i+1) should read N(T_i+1,x(T_i+1))

On page 394, in Equation (27.18) the right hand side should be preceded by a minus sign.

In Equation (27.21) a bracket closes to early. (1+L(T_k))(T_k+1-T_k) should read (1+L(T_k)(T_k+1-T_k))

In Equation (27.22) a closing bracket is missing. (1+L(T_k;x(T_k))(T_k+1-T_k) should read (1+L(T_k;x(T_k))(T_k+1-T_k))

In the second line of the equation after Equation (27.23) a bracket is missing. 1+L(T_i,x(T_i))(T_i+1-T_i) N(T_i) should read (1+L(T_i,x(T_i))(T_i+1-T_i)) N(T_i).

On page 414, the third displaystyle equation starting with P(T;t) = ... should read V(T;t) = ...

On page 417 equation (28.2) should read

N(T_i) is replaced by N(T_i) P(T_i;0)/P^d(T_i;0)

The second line in the third displaystyle equation contains typos. The correct equation should read (click to enlarge).

On page 426, in the last line of the first displaystyle equation the fraction should be inverse and the forward rates are both missing the factor (T_i+1-T_i).

On page 427, in the equation after "In this case" (line 9-12) a power of -1 is missing four times. The (1+L(T_j)δ_j) has to be replaced by (1+L(T_j)δ_j)^-1 (four times).

On page 428, the additional closing bracket after L_i(T_i) has to be deleted (occurs three times on this page).

On page 428, in the "Interpretation" of the drift in the expression after the integral a minus sign is missing three times. The average drift is log(1+L_i(T_i) (T_i+1-T_i)) / (T_i+1-T_i)