SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
list
Topic Author
Posts: 2041
Joined: October 26th, 2005, 2:08 pm

nw paper

October 14th, 2011, 3:35 pm

I submitted my paper Multiple Risky Securities Valuationhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1944171your remarks will be helpful.Tnx
Last edited by list on October 13th, 2011, 10:00 pm, edited 1 time in total.
 
User avatar
Catch22_av
Posts: 63
Joined: May 14th, 2009, 6:22 am

nw paper

October 17th, 2011, 10:24 am

QuoteOriginally posted by: listI submitted my paper Multiple Risky Securities Valuationhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1944171your remarks will be helpful.TnxHello List,I havent read through the complete paper, but one comment I would like to make is the English used in the paper is quite difficult to read. Maybe English is not your first language but it might be a good idea to get it proof read by someone who is good at English. It would definitely improve the reading experience and you would be able to get across your point more clearly.Just a suggestion, please dont take it personally.C-22
 
User avatar
list
Topic Author
Posts: 2041
Joined: October 26th, 2005, 2:08 pm

nw paper

October 17th, 2011, 3:10 pm

C-22, I agree with your remark. Unfortunately, I could not do anything with this problem. And I think that for ssrn my English is more convenient than good Russian. If somebody wishes to improve or collaborate I will appreciate. But also it can be a problem with establishing a connection. It might be this moment do not relevant situation but I hope ? Here are some but not all examples. Some people in India wanted to collaborate with me. I explained them that my email does not work properly always. I explained in general words who are behind and why they are doing such things. In couple months I sent the three times a draft for the paper in attached file but they did not receive them.It was a graduate finance student from India who lived at that time in Beijing. She asked me to make some research together. I asked her to connect to famous Chinese mathematician Peng. We worked in close areas and I could not reach him from US it occurred that she could not find him though address, email, and phone # I provided. I am not sure whether the student existed and if the answer is yes then I am sure that the last connections were answered someone others.And the last example, some people from China asked me to answer some economic questions. They were interesting and I answered but did not receive feedback. I ask one more time whether they received my reply but as I expected I got no answer. PS I asked to comment D. Duffie and P. Carr my Local Volatility draft on ssrn but I did not receive their opinions and I think I will not get it soon.
 
User avatar
croot
Posts: 104
Joined: July 23rd, 2006, 8:30 pm

nw paper

October 17th, 2011, 3:17 pm

Remarks on style only:If you write "Theorem" it should be followed by "Proof" or preceded by the exact citation of the reference where that exact same stated theorem appears. For your first "Theorem" there is no "Proof" given, that's fine but then it's better to make it a "Remark".Generally, use more delimiters like "Notation" and "Example" etc: it makes reading easier when notations are referenced in one place and ideas explained in another.For a good example on p.12 you have a "Remark" where it seems you explain how what you are saying relates to what others have said before: that's very good. Do that more.For a bad example, on the bottom of p.12 you have "Denote a...b= min ( a , b ) and a ... b = max ( a , b ) and we call the k-tranche asthe k-tranche"well this should be in a separate "Notation" environment, and also the second half of the statement needs rereading.In general, try to formalize your ideas into Theorems, this is a good exercise for you, because it helps you to really make precise statements.The reader has less time to read your paper than you had to write it,and most likely he is not as clever as you (), therefore you must spoon feed him with very concise truths.Because he is not inside your head, there is a risk that he will misinterpret EVERY sign you write,yet your goal is to let that person understand ONE , maybe two, ideas that are in your head, and not in other people's papers.Actually, refining your ideas into theorems will make obvious and apparent how your contribution differs from others'.Maybe you should split this into two documents: one giving a review of the litterature, and one presenting separately your framework, with minimal reference to the rest of the litterature.Right now, it seems there is a lot of material that you are referencing, to present your own idea clearly, it might help to make these references shorter, assuming the reader is familiar with the field. But since you have done a lot of work on reviewing all the approaches you mention, definitely put that in a separate document used as litterature review.For example, this part about copula functions - I don't think it's the central idea in your text - well it's really not obvious to me, and it is distracting me from the important things in the rest of the paper. Otherwise, the function defined by the equality C ( F 1 ( x 1 ) , ? F n ( x n ) )should be verified whether or not it represents a multivariate distribution function. Fromthe theorem this fact does not follow though such situation is typical in copula financialapplications. The exceptions might be the case when marginal distributions are uniquelydefine the joint distributionMaybe give an example where C ( F 1 ( x 1 ) , ? F n ( x n ) ) doesn't represent a df?Are you related to I.I Gikhman?
 
User avatar
list
Topic Author
Posts: 2041
Joined: October 26th, 2005, 2:08 pm

nw paper

October 17th, 2011, 3:28 pm

croot, Thank you for quite extended suggestions. I need some time to comprehend them. There actually two I.I.Gikhman who published in probability theory and I am a son of the first.
 
User avatar
list
Topic Author
Posts: 2041
Joined: October 26th, 2005, 2:08 pm

nw paper

November 2nd, 2011, 10:08 pm

I made some corrections and hope it can be read. In ssrn it might be appeared soon and I also submitted it at http://mpra.ub.uni-muenchen.de/34479/1/ ... 479.pdfAll corrections are related to the stile and also some misprints in formulas.
 
User avatar
ZhuLiAn
Posts: 220
Joined: June 9th, 2011, 7:21 am

nw paper

November 3rd, 2011, 11:32 am

Hi,Could the abstract tell us clrealy what problem you are studying and what new solution you bring?
 
User avatar
list
Topic Author
Posts: 2041
Joined: October 26th, 2005, 2:08 pm

nw paper

November 3rd, 2011, 2:22 pm

QuoteOriginally posted by: ZhuLiAnHi,Could the abstract tell us clrealy what problem you are studying and what new solution you bring?In the model I did not use copula which is primary tools in a tranche pricing and also look at the copula comment on p. 16-17.Actually, my view on randomization is different than it is commonly used. Some details read on the current Student Forum about volatility.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On