John Hull | "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."

"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."

John Hull, American Economist

Challenge, Interest, Value

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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 rate, but on other interest rates as well."

"If you participate in a competition, you have a chance to lose. If you don't participate, you are already a loser."

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"Sometimes, God's silence is a challenge for us to act."

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Personal Development

"How will I ever get out of this labyrinth!" to a margin note written in her loop-heavy cursive: Straight & Fast."

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Personal Development

"Every problem is a new puzzle to be solved."

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Personal Development

"When faced with a hurdle then give it all you've got to jump over it because it can't be done in two stages."

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Personal Development

"It takes physical, spiritual and mental preparation to overcome the life challenges."

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Personal Development

"If you escape from a necessary fight, pray you will live long enough to wait for and deal with the same challenge that must be settled."

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Personal Development

"Every problem is a new puzzle to solve."

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Personal Development

"This mountain must come down, the mountain of ignorance has to be brought down."

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Personal Development

"One who takes the road less traveled earns the rewards most missed."

Author Name

Personal Development

"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

"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 version of the same model for caps and floors; and yet another version of the same model for European swap options."

Time

"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

"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, because you are saying that there are only two possible outcomes."

Time

"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

"One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low."

Extreme

"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

"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

"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

"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

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Standard

Customized

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"If you participate in a competition, you have a chance to lose. If you don't participate, you are already a loser."

Author Name

Personal Development

"Sometimes, God's silence is a challenge for us to act."

Author Name

Personal Development

"How will I ever get out of this labyrinth!" to a margin note written in her loop-heavy cursive: Straight & Fast."

Author Name

Personal Development

"Every problem is a new puzzle to be solved."

Author Name

Personal Development

"When faced with a hurdle then give it all you've got to jump over it because it can't be done in two stages."

Author Name

Personal Development

"It takes physical, spiritual and mental preparation to overcome the life challenges."

Author Name

Personal Development

"If you escape from a necessary fight, pray you will live long enough to wait for and deal with the same challenge that must be settled."

Author Name

Personal Development

"Every problem is a new puzzle to solve."

Author Name

Personal Development

"This mountain must come down, the mountain of ignorance has to be brought down."

Author Name

Personal Development

"One who takes the road less traveled earns the rewards most missed."

Author Name

Personal Development

More

"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

"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 version of the same model for caps and floors; and yet another version of the same model for European swap options."

Time

"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

"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, because you are saying that there are only two possible outcomes."

Time

"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

"One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low."

Extreme

"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

"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

"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

"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