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QuantOption
Posts: 269
Joined: February 8th, 2003, 9:00 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

I wonder whether on page 356, the second expression for epsilon shouldn't be divided by sqrt(2)

Collector
Posts: 4555
Joined: August 21st, 2001, 12:37 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

You are right! (and now I just remeber P.W. pointed this out to me as well)Thanks to both of youI just added it to my erreta list that can be found herehttp://www.espenhaug.com/books.html Typos will likely be fixed in re-prints. I figured out this had happened in my first edtion without me being aware of it, publisher had looked up my erreta page
Last edited by Collector on May 3rd, 2007, 10:00 pm, edited 1 time in total.

QuantOption
Posts: 269
Joined: February 8th, 2003, 9:00 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

on several instances, say page 460 eq. 12.19, if the indexes i,j in the double summation are like they are used, ie. i=1..n,j=1..n,i not equal j, then number 2 shouldn't be in front of double summation. Either removing 2 or changing the indexes to i=1..n,j=2..n,i<j would make the formulas correct.

StockBoss
Posts: 41
Joined: March 31st, 2006, 11:25 am

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

An absolutely fantastic book, and a great author!Collector: Any plans for a third edition?

Collector
Posts: 4555
Joined: August 21st, 2001, 12:37 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Third edition probably, but earliest 3 years from now.just now writing a new book, it is not about options, but it discusses a topic that have implications for options,economic, statistics, mathematics, physics, biology, cosmology, alchemy, philosophy, love, religion, ....hope to have it out within 2 years.

ppauper
Posts: 70239
Joined: November 15th, 2001, 1:29 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

QuoteOriginally posted by: CollectorThird edition probably, but earliest 3 years from now.looking forward to it !Quotejust now writing a new book, it is not about options, but it discusses a topic that have implications for options,economic, statistics, mathematics, physics, biology, cosmology, alchemy, philosophy, love, religion, ....hope to have it out within 2 years.I trust that you'll finally debunk global warming ?

niki5
Posts: 52
Joined: January 25th, 2007, 8:10 am

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Is the Net Weighted Vega Exposure on page 82 = to modified Vega. Sorry about the question, but i do not understand the concept of modified Vega and particularly the relation to the so called Volatility Strategies of Second Order. Would You mind describing this strategy briefly ?

pcerutti
Posts: 290
Joined: July 14th, 2002, 3:00 am
Location: Milano (Italy)

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

QuoteOriginally posted by: StockBossAn absolutely fantastic book, and a great author!Collector: Any plans for a third edition?A second edition is been published few time ago and you are asking for a third edition???Books are expensive and I really don't like books with many editions after just few months (like Hull for example!).A new edition must come up ONLY if it is really necessary because it changes drammatically the contents of the previous one (see the book in question and "Volatility and Correlation" by Rebonato for examples).Most of the new editions just add a new chapter to the book. It would be better to upload this chapter on the author's homepage!Pier

Collector
Posts: 4555
Joined: August 21st, 2001, 12:37 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Last edited by Collector on April 17th, 2008, 10:00 pm, edited 1 time in total.

Cuchulainn
Posts: 61483
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Next edition in C#?
http://www.datasimfinancial.com
http://www.datasim.nl

Every Time We Teach a Child Something, We Keep Him from Inventing It Himself
Jean Piaget

Collector
Posts: 4555
Joined: August 21st, 2001, 12:37 pm

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Next edition will likely have C code in one way or other....but earliest 3 years - 2 days ahead. good thing I finished up a 10 year project (that I almost had given up to solve) now that took big part of my time, so more time to write books now...
Last edited by Collector on April 17th, 2008, 10:00 pm, edited 1 time in total.

Broardview
Posts: 160
Joined: April 22nd, 2006, 2:42 pm

QuoteOriginally posted by: CollectorNext edition will likely have C code in one way or other....but earliest 3 years - 2 days ahead. good thing I finished up a 10 year project (that I almost had given up to solve) now that took big part of my time, so more time to write books now...are you semi-retired after making enough $? Have you thought to be a risk advisor by running a firm? Collector Posts: 4555 Joined: August 21st, 2001, 12:37 pm ### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug Quoteare you semi-retired after making enough$? Have you thought to be a risk advisor by running a firm?Yes these days you need to make a lot of $(USD), I just made moderate$ (or small $it is relativistic). By luck I sold most of my$ years ago when $still had good value. I do not believe in retirement, not even after death I plan to retire, just change profession....for example as nutritious soil for a nice tree, my first degree is tree-farming and garden plants, options are just one of my many hobbies. Last edited by Collector on April 20th, 2008, 10:00 pm, edited 1 time in total. Broardview Posts: 160 Joined: April 22nd, 2006, 2:42 pm ### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug QuoteOriginally posted by: CollectorQuoteare you semi-retired after making enough$? Have you thought to be a risk advisor by running a firm?Yes these days you need to make a lot of $(USD), I just made moderate$ (or small $it is relativistic). By luck I sold most of my$ years ago when \$ still had good value. I do not believe in retirement, not even after death I plan to retire, just change profession....for example as nutritious soil for a nice tree, my first degree is tree-farming and garden plants, options are just one of my many hobbies.The fact that you are so motivated makes you succeed and become a richer single guy. Nice job done.

skphang
Posts: 141
Joined: July 14th, 2002, 3:00 am

### New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

Thanks for writing this wonderful book!However, I have a question regarding the formula for local volatility on page 459. The formula also appears in Paul's book.I have seen another version of the formula at Performance Trading where the implied volatility in the denominator is squared. I've seen another thesis that quotes the 'volatility squared' version of this formulaI'm sure all of us would be grateful if you or Paul could confirm the correct formula