John Hull Quotes

19 quotes in 349 categories

• Alan White and I spent the next two or three years working together on this. We developed what is known a stochastic volatility model. This…
• Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if you get the…
• I guess any simple idea that is really good will catch on quickly.
• I think VAR is a very healthy development within the industry.
• If each of your time steps is one week long, you are not modeling the stock price terribly well over a one-week time period, because…
• One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability…
• Our research led on to other things, such as the fact that exchange rates are not lognormally distributed.
• Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.
• Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level…
• The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different…
• The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a…
• The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate,…
• There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important…
• We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of…
• We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners.
• When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates are low you…
• Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached…
• I didn't become interested in derivatives until 1982, 1983.
• In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options;…

Browse John Hull Quotes by Category