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"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."
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Exlpore more Time quotes
"We cannot measure time. We can only measure changes of life and the universe."
"I wouldn't ask too much of her,' I ventured. 'You can't change the past.''Can't change the past?' he cried incredulously. 'Why of course you can!"
"A broad margin of leisure is as beautiful in a man's life as in a book. Haste makes waste, no less in life than in housekeeping. Keep the time, observe the hours of the universe, not of the cars."
"Eternity is a mere moment, just long enough for a joke."
"The value of time is immeasurable."
"Sometimes I feel like if you just watch things, just sit still and let the world exist in front of you - sometimes I swear that just for a second time freezes and the world pauses in its tilt. Just for a second. And if you somehow found a way to live in that second, then you would live forever."
"Worrying about what happened on Monday, or, what might happen on Wednesday, is at the expense of one's Tuesday."
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."
"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."
"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."
"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."
"We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners."
"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."
"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."
"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."
"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."
"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."
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