Analytical Formulas Using Affine Transformation for Pricing Generalized Swaps in Commodity Markets with Stochastic Convenience Yields

Round 1

Reviewer 1 Report

Summarize the topic 

Expand the length of the abstract 

write major contribution points in the introduction section 

Variance swaps under model with stochastic convenience yields need to be explained more 

Overall results of theorem 1, 2 and 3 are poorly discussed

Elaborate mathematical properties of example 1 and 2 need to be explained 

Section 5 need to be discussed in detail 

Separately write future directions

Author Response

Dear Reviewer 1,

We would like to thank you for all the comments. Attached, please the list of changes and explanation we have made to all the comments.

Best Regards,

Ratinan Boonklurb

Author Response File: Author Response.pdf

Reviewer 2 Report

1. A more scientific summary should be created, with most of the abstract devoted to the advertisement of formulas.
2. The order of use of references in the introduction is mixed, it should be better organized.
3. References are insufficient, a more comprehensive literature review should be done.
4. The reason for using Bell polynomials should be explained in detail.
5. Results should be compared with a different method to demonstrate the consistency of their results and highlight the original value of the method. If this is not possible, it should be explained why results cannot be obtained with known methods.

Author Response

Dear Reviewer 2,

We would like to thank you for all the comments. Attached, please find the list of changes made according to your comments.

 

Best Regards,

Ratinan Boonklurb

Author Response File: Author Response.pdf

Reviewer 3 Report

This paper is very interesting and reveals the problem quite well in the introduction. The references are strong and have sufficiently supported all the assumptions. However, some details should be addressed in the paper.

1- Be more specific on line 55-56 "the existing formulas in the mentioned literature are very complicated". Which formulas and where? For example, Zhu & Lian (2011) presented the proof for each proposition, as eq. 2.30. In this sense, this statement should be reviewed. 

2- The contributions and implications of these findings are hidden. Please, describe them explicitly. These aspects are very valuable to readers and young researchers, increasing the paper's breadth.

3- One "Related literature" before section 3 would be explored because your references' results could be evident and easy to confront in the paper. In addition, you could compare the results with them in section 6.  

4- The tests could be another important outcome that the authors could take advantage of. I recommend adding the code to codeocean.com. It's free, easy to deploy, fast to publish, and you can cite it in the paper.

 

Author Response

Dear Reviewer 3,

We would like to thank you for all the comments. Attached, please find the list of changes made according to your comments.

Best Regards,

Ratinan Boonklurb

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

All corrections have been made. Thank you.

Reviewer 3 Report

The paper is ready to publish now. Congratulations!