Skip to content

After Quote by John Hull

“The HoLee model was the first term structure model. I…” quote by John Hull — Download Open image

“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 from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper.”

★ ★ ★ ★ ★ 2.3 out of 5 (9 ratings)

More by John Hull

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

Image

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

Image

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

Image

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

Image

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

Image

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

Image

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

Image

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

Image

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

Image

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,…

Image

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

Image

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…

Image

Explore all 19 John Hull quotes

More After quotes

At the drop of a hat, people will say there are no roles for women after 40. It's there with a bunch of other…

Image

When my main character in 'Heat' climbs the tower, the highest diving platform, hoping to resume competitive diving after an injury, I am there…

Image

I was strictly after hits when it came down to the Jackson 5. That's all I was concerned with.

Image

It's important for American soldiers to be culturally sensitive when deployed in foreign countries. But it's just as important for the U.S. never to…

Image

No lusting after your neighbor's house - or wife or servant or maid or ox or donkey. Don't set your heart on anything that…

Image

After I finished college, I got a job on Wall Street as a derivatives trader, but after a couple years of it, I was…

Image

When good media takes a bounded form, and comes once in a period of time, it begs to be consumed as a whole -…

Image

Markets are designed to allow individuals to look after their private needs and to pursue profit. It's really a great invention and I wouldn't…

Image

I have a lot of success and make a good living, but after while, you start going 'Why? Why are you doing all this?'

Image

See to do good, and you will find that happiness will run after you.

James Freeman Clarke

Image

I went to school at night in L.A. to brush up on my engineering while I applied to the astronaut program. I really did…

Image

Sometimes after a compliment about my characterization skills, I'm asked if I model my characters on real people. Emphatically, no. And sort of, yes.

Image

Browse all 3,411 After quotes