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. This is a model where the volatility as well as the underlying asset price moves around in an unpredictable way."

"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 model where the volatility as well as the underlying asset price moves around in an unpredictable way."

John Hull, American Economist

Years,

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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. This is a model where the volatility as well as the underlying asset price moves around in an unpredictable way."

"I was totally devastated for four years in the mid '60s when l tried to buck the tide."

Author Name

Personal Development

"I didn't think I'd be around 30 years later."

Author Name

Personal Development

"Actually, I only left twice. I left then, and then rejoined literally two years later for Going For The One."

Author Name

Personal Development

"Tahiti has been spoiled for many years, but Bali is one of the few cultures with origins in one of the great ancient cultures which is still alive."

Author Name

Personal Development

"I'll be sober ten years and married nine soon."

Author Name

Personal Development

"I was thrilled, because I like the big screen and I could then move on to the next thing. It was the biggest break for me. In a way, though, I wish it had been a TV series because then you are working for five years."

Author Name

Personal Development

"Once again, stock markets have been threatened with extinction for almost 75 years, and I have found that stock markets are harder to kill than roaches."

Author Name

Personal Development

"We used to get on planes, and they'd ask who we were, and we'd say, 'The Dave Brubeck Quartet', and they'd say, 'Who?' In later years they'd say, 'Oh', which amounts to the same thing."

Author Name

Personal Development

"Over the years I have tried to develop something which is technically assured."

Author Name

Personal Development

"I was just thrilled to get the gig to begin with. Ten years later to still have it is not only thrilling but also somewhat of a puzzlement."

Author Name

Personal Development

"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 only just beginning to realize."

People

"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 model where the volatility as well as the underlying asset price moves around in an unpredictable way."

Years

"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."

Direction

"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 dimensions of the risk."

Risk

"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, but on other interest rates as well."

Challenge

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

Giving

"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."

First

"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 branching pattern changes to accommodate the mean reversion."

Extreme

"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 want the average direction to be upward."

Direction

"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 average volatility right. It makes a big difference as far as hedging is concerned."

Difference

10

Standard

Customized

More

"I was totally devastated for four years in the mid '60s when l tried to buck the tide."

Author Name

Personal Development

"I didn't think I'd be around 30 years later."

Author Name

Personal Development

"Actually, I only left twice. I left then, and then rejoined literally two years later for Going For The One."

Author Name

Personal Development

"Tahiti has been spoiled for many years, but Bali is one of the few cultures with origins in one of the great ancient cultures which is still alive."

Author Name

Personal Development

"I'll be sober ten years and married nine soon."

Author Name

Personal Development

"I was thrilled, because I like the big screen and I could then move on to the next thing. It was the biggest break for me. In a way, though, I wish it had been a TV series because then you are working for five years."

Author Name

Personal Development

"Once again, stock markets have been threatened with extinction for almost 75 years, and I have found that stock markets are harder to kill than roaches."

Author Name

Personal Development

"We used to get on planes, and they'd ask who we were, and we'd say, 'The Dave Brubeck Quartet', and they'd say, 'Who?' In later years they'd say, 'Oh', which amounts to the same thing."

Author Name

Personal Development

"Over the years I have tried to develop something which is technically assured."

Author Name

Personal Development

"I was just thrilled to get the gig to begin with. Ten years later to still have it is not only thrilling but also somewhat of a puzzlement."

Author Name

Personal Development

More

"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 only just beginning to realize."

People

"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 model where the volatility as well as the underlying asset price moves around in an unpredictable way."

Years

"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."

Direction

"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 dimensions of the risk."

Risk

"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, but on other interest rates as well."

Challenge

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

Giving

"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."

First

"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 branching pattern changes to accommodate the mean reversion."

Extreme

"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 want the average direction to be upward."

Direction

"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 average volatility right. It makes a big difference as far as hedging is concerned."

Difference