Reviews

Errata

• Equation (68) for the squared Bessel process: there is a drift term ndt missing. Reported by Peter Carr, thank you!
• Market Models: The Kou model can be generalized by admitting different probabilities p and (1-p) for the two exponential brances decaying with rates eta_1 and eta_2. In Latex we could state the cumulant as
  
  \ln \phi(u) = iu\omega - \frac{1}{2}\sigma^2 u^2 +\lambda \left( \frac{p \eta_1}{eta_1-i u}+\frac{(1-p) \eta_2}{eta_2+i u}-1 \right)
  
  Reported by Ingo Schneider, thank you!
• Random Number Generation: "- ln (U) / \lambda for Poisson" is what one does to simulate a Poisson-process via waiting-times, but taken literally, it gives an exponentially distributed random variable with parameter (\lambda). Reported by Rolf Poulsen, thank you!