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Distributed Quote by John Hull

“Our research led on to other things, such as the…” quote by John Hull — Download Open image

“Our research led on to other things, such as the fact that exchange rates are not lognormally distributed.”

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Distributed Exchange Fact Led Other Our Rates Research Things

More by John Hull

The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly…

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Alan White and I spent the next two or three years working together on this. We developed what is known a stochastic volatility model.…

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I didn't become interested in derivatives until 1982, 1983.

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I guess any simple idea that is really good will catch on quickly.

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Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if you get…

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Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.

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We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort…

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We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners.

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There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are…

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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,…

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Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are…

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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…

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