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frolloos


Total Posts: 124
Joined: Dec 2007
 
Posted: 2020-06-02 17:34
Received a rather aggressive rejection to a submitted paper, of which I am co-author, from apparently what is a top notch journal in the mathematical finance space. Time to rant :)

Although I know I shouldn't be annoyed, I am a bit actually, not because of the rejection itself but for the (main) reason they gave for the rejection, namely, and I quote, that the zero vanna approximation for the volswap price is financially not a relevant result nor important and thus of very limited interest, and that it is a result that is known for quite some time.

Those of you that know the zero vanna approximation probably know that it's an approximation and meant as such (although in the submitted paper it has been made even more rigorous and errors have been quantified) and certainly no pretense it's ground breaking material. It is indeed something that has been known to a handful of traders or so, but as far as I know not derived/proved and certainly not the way I derived it using the Hull-White formula.

Question: Do you, practitioners, find the result irrelevant and of very limited interest? If you do, I am happy to accept that, as I really do value the opinion of practitioners. I am just confused as to what counts as relevant and what doesn't.

Oh well, I'll submit it to a pop magazine like Rolling Stone Magazine I think.



End of rant.

No vanna, no cry

chiral3
Founding Member

Total Posts: 5163
Joined: Mar 2004
 
Posted: 2020-06-02 21:28
Was it a pay page journal or free to you once it's refereed and accepted? I can imagine that if the cost is on them that mining eqderivs seems moribund (unless you tagged it to ETN blow ups or something timely). Also, not sure if you dealt with an editor alone or an editor that farmed out to refs, but you may not have dealt with experts in the case of the latter. Also, if they were French, they probably thought they figured that out in the 90's. In all seriousness, eqderivs isn't what it was, both theory and market, and if it was their cost, looking out for what's probably plummeting subscribership and ad budgets (just due to the times) they are probably super picky on topics that aren't machine learning applied to crypto, or quantum computing, or whatever is super popular and tweetable these days. #bitcoin #npsolveable #4xleveredphrenchETF #KarlieKlossCodes

Nonius is Satoshi Nakamoto. 物の哀れ

frolloos


Total Posts: 124
Joined: Dec 2007
 
Posted: 2020-06-03 05:39
>Also, if they were French, they probably thought they figured that out in the 90's.

Ha :), well there's a non-negligible probability the refs included Very Superior Ecole grads, and I even started wondering whether I've made enemies in La Douce France in the past!

>In all seriousness, eqderivs isn't what it was, both theory and market,

Yes, this could be another reason. It's probably time to just move on to other more fun things, like selling hot dogs or ice cream.

No vanna, no cry

pj


Total Posts: 3530
Joined: Jun 2004
 
Posted: 2020-06-03 09:59
Hi frolloos,
I feel your pain and can only sympathize with you.
Try another journal (there is no point in arguing with them).
It is a lottery.
Selling as a fun activity is overrated.

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
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