The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it… — John Hull After Copy Share Image
Alan White and I spent the next two or three years working together on this. We developed what is known a stochastic… — John Hull Alan Copy Share Image
Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if… — John Hull As far as Copy Share Image
Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model. — John Hull Find Copy Share Image
We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was… — John Hull Alone Copy Share Image
We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact… — John Hull Been Copy Share Image
Our research led on to other things, such as the fact that exchange rates are not lognormally distributed. — John Hull Distributed Copy Share Image
There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and… — John Hull Challenges Copy Share Image
If each of your time steps is one week long, you are not modeling the stock price terribly well over a one-week… — John Hull Because Copy Share Image
Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the… — John Hull Accommodate Copy Share Image
The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the… — John Hull Challenge Copy Share Image
I think VAR is a very healthy development within the industry. — John Hull Development Copy Share Image
In the interest rate area, traders have for a long time used a version of what is known as Black's model for… — John Hull Another Copy Share Image
The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so… — John Hull Different Copy Share Image
Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends… — John Hull Actually Copy Share Image
One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails… — John Hull Concerned Copy Share Image
When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates… — John Hull Average Copy Share Image
