Next Article in Journal
Cost-Benefit Analysis of a Standby Retrial System with an Unreliable Server and Switching Failure
Previous Article in Journal
Short-Term Mortality Fluctuations and Longevity Risk-Adjusted Age: Learning the Resilience of a Country to a Health Shock
 
 
Article
Peer-Review Record

Closed-Form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model

Computation 2022, 10(4), 46; https://doi.org/10.3390/computation10040046
by Kittisak Chumpong 1,2 and Patcharee Sumritnorrapong 3,*
Reviewer 1: Anonymous
Reviewer 2: Anonymous
Reviewer 3: Anonymous
Computation 2022, 10(4), 46; https://doi.org/10.3390/computation10040046
Submission received: 11 February 2022 / Revised: 10 March 2022 / Accepted: 19 March 2022 / Published: 22 March 2022
(This article belongs to the Section Computational Engineering)

Round 1

Reviewer 1 Report

In my opinion, the article has minimal applicability. The main problems I see with this article are as follows: 1) the authors focus only on a case of satisfied Feller condition. 2) authors have neglected the fact that for the case of piece-wise constant parameters, the model does not require time-integration of the ODEs (the solution of the corresponding ChF is known analytically (please see "Mathematical Modeling and Computation in Finance", by C.W. Oosterlee, section 8.4.2). 3) The article focuses on numerical validation. However, it doesn't make too much sense. There is no point in validating the theorems numerically. I would rather see a complete experiment where the authors calibrate the model to the actual market data and study the outcomes. In that way, we can see the impact of the newly proposed framework. 

Author Response

The letter of response to referee is in the attached file.

Author Response File: Author Response.pdf

Reviewer 2 Report

Review of the Manuscript  ID computation-1614744   Closed-form Formula for the Conditional Moments of Log Prices under the Inhomogeneous Heston Model for the Computation Journal.

Dear Authors,

I believe you have touched a very interesting issue by focusing on an efficient closed-form formula to price generalized swaps for discrete sampling times under the inhomogeneous Heston model, which is the Heston model with time-parameter functions. Your study tackles a hot topic nowadays, especially taking into account the calculation via the price of an underlying asset which can be regarded as a solution of a stochastic differential equation (SDE). Topics within this framework certainly need to be investigated and examined further to expand scientific as well as practical knowledge. The manuscript needs revisions in terms of content, in accordance with the academic standards of the journal. Please find these comments in the following paragraphs.

 

General Comments

            From my point of view, it is a very interesting topic and simultaneously it seems that to the best of my knowledge to investigate efficient closed-form formula to price generalized swaps for discrete sampling times under the inhomogeneous Heston model. The paper consists of the following sections: Introduction, Inhomogeneous Heston Model, Main Results, Mathematical Properties, Numerical Validation and Conclusion.

However, I find some recommendations:

  1. The abstract must contain the main purpose of the paper, the research method used in the research and the main contributions.
  2. It would be very useful to add in the "Introduction" section the purpose, objectives and hypothesis of the research.
  3. We consider that the introduction should specify the novelty of the paper compared to other papers published in this area.
  4. Also, we consider the literature is not enough and that is why, we recommend the authors to refer to other recent works indexed in Web of Science and MDPI Journals. We suggest that the authors cite papers published in MDPI journals and Web of Science Journals, such as:
  5. Batrancea, L. (2021) An Econometric Approach Regarding the Impact of Fiscal Pressure on Equilibrium: Evidence from Electricity, Gas and Oil Companies Listed on the New York Stock Exchange,  Mathematics9, no. 6: 630. https://doi.org/10.3390/math9060630.
  1. Batrancea L, Rus MI, Masca ES, Morar ID. Fiscal Pressure as a Trigger of Financial Performance for the Energy Industry: An Empirical Investigation across a 16-Year Period. Energies. 2021; 14(13):3769. https://doi.org/10.3390/en14133769
  1. Batrancea, L., Rathnaswamy, M.K. & Batrancea, I. A Panel Data Analysis on Determinants of Economic Growth in Seven Non-BCBS Countries. Journal of Knowledge Economy (2021).https://doi.org/10.1007/s13132-021-00785-y, ISSN:1868-7873
  2. The conclusions of the study must to be extended.

In conclusion, the article should be published after minor revisions. It should also be enhanced with a review of the literature adequate to the subject and a broader interpretation and commentary of the research results.

Author Response

The letter of response to referee is in the attached file.

Author Response File: Author Response.pdf

Reviewer 3 Report

Please find attached the review report. 

Comments for author File: Comments.pdf

Author Response

The letter of response to referee is in the attached file.

Author Response File: Author Response.pdf

Back to TopTop