Unfortunately, information about the author is unknown to us. But you can add it. Read full biography of John Hull →
I didn't become interested in derivatives until 1982, 1983.
I guess any simple idea that is really good will catch on quickly.
I think VAR is a very healthy development within the industry.
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 is a... →
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... →
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; another... →
One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the... →
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 thing people were... →
We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact... →
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 the... →
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.
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