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Actually Quote by John Hull

“Our tree is actually a tree of the short-term interest…” quote by John Hull — Download Open 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 on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward.”

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Actually Average Depends Direction Downward High Interest Interest rate Level Low Moves Our Rate Short term Tree Trees Upward Very Which

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

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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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