Re: chapter 3 revisions

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 <Grant.Masson.ECT@enron.com<
To: Chris Strickland <chris_strickland@compuserve.com<
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)
<