Message-ID: <24297654.1075856567035.JavaMail.evans@thyme> Date: Tue, 27 Jun 2000 10:30:00 -0700 (PDT) From: chris@lacima.co.uk To: grant_masson@ei.enron.com, vince.j.kaminski@enron.com Subject: Re: chapter 3 revisions Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: "Chris Strickland" X-To: "Grant Masson" , "VinceJKaminski" X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Australia X-Origin: Kaminski-V X-FileName: vkamins.nsf Grant, Sorry for the silence. It's definately not a commentary on your work - I've been travelling back and forward between Sydney and London like a yo-yo and trying to tidy up things on our end. I've been working on incoporating your material and will spend all of tomorrow on this (hopefully!) so that I can ask for the last few amendments before the w/end. Many thanks and best regards. Chris. ----- Original Message ----- From: Grant Masson To: Chris Strickland Sent: Tuesday, June 27, 2000 8:54 AM Subject: Re: chapter 3 revisions > > > > Chris: > > I can't decide if I should take your silence over the past several weeks to mean > that you are getting stuck into finishing up the book or you are just so > thoroughly disgusted with our work that you would like to wash your hands of us. > > I've been stuck on trying to get the last figure mentioned in the chapter into a > format that I like. The problem is the volatility found in the regressions is > on the order of several hundred percent, and so when I plot the historical data > next to a simulated curve over the course of the year, the simulated curve tends > to drift up or down stupidly both in the Jump diffusion and Garch+Jump diffusion > model. Any suggestions would be accepted with pleasure. I wonder if I should > skip the figure. It seems a pity to do so however, because otherwise the last > section comes off as a bit of an afterthought, and I would like to present a > practical example. Again any guidance would be appreciated. > > Anyway, I am sending you a somewhat improved draft now (minus only the last > figure), rather than sit on the whole thing while I stew on this bit, I hope > this will be useful to you. Because I am leaving for holidays at the end of the > week, I can guarantee you that you will have a final draft before then. > > Regards, > Grant. > (See attached file: cs260600.doc) >