top of page
.png){kind=small}
"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."
Standard
Customized
Exlpore more First quotes
"In the first place, Descartes stands for the most explicit and uncompromising dualism between mind and matter."
"If you wish to make an apple pie from scratch, you must first invent the universe."
"A little simplification would be the first step toward rational living, I think."
""Think simple" as my old master used to say - meaning reduce the whole of its parts into the simplest terms, getting back to first principles."
"I think at the point when they were first starting to talk about a movie, it was a little bit different back then."
"The first attempt at a response: there must have been a fall, a decline, and the road to salvation can only be the return of the sensible finite into the intelligible infinite."
"What is there to be afraid of? The worst thing that can happen is you fail. So what? I failed at a lot of things. My first record was horrible."
Explore more quotes by John Hull
"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."
"The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem."
"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."
"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."
"Our research led on to other things, such as the fact that exchange rates are not lognormally distributed."
"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."
"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."
"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."
bottom of page