List of reported typos

The notations Px-Ly, which mean Page x, Line y. When the line number y is negative, it means the -yth line from the bottom.

The author would like to thank those who reported typos.

The corrections are reported in red.

Second Edition 2026

PDF version of the typos available soon.

Cosmetic typos

  • P18 The party with a positive value in the derivative loses the derivative, which was an asset for him, but gains through the fact it has not to repay the collateral, which was a liability for him; both have the same absolute value, for a net gain or loss of 0.
  • P23 Through the book, I have tried to be precise enough from a mathematical point of view without overloading the results with repeated technical hypothesis.
  • P28
  • P90 In Fries (2013) a calibration approach closer to the one we describe here is proposed.
  • P91
  • P96
  • P161 To the opposite a better understanding of the multi-curve and collateral framework is important to understand what is happening when two overnight benchmarks are traded in parallel in the same currency or some not so liquid IBOR-like benchmarks are used, as it is the case in USD with SOFR, EFFR and AMERIBOR.
  • P184 The value of an OIS with collateral c1 on on a benchmark c2 is thus given by

More serious typos

None reported yet!

First Edition 2014

  • P154-L2: In the definition of wt, the Zt should be replaced by Σt.
  • P162: Theorem 8.4 The α (gearing factor) appear in the wrong place in the final formula. There are also some minor typos with subscripts. See PDF version for details.

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