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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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"Time is nature's way of keeping everything from happening at once."
"The future is what matters - because one never reaches it, but always stays in the present - like the White Queen who had to run like the wind to remain in the same spot."
"Concepts, like individuals, have their histories and are just as incapable of withstanding the ravages of time as are individuals. But in and through all this they retain a kind of homesickness for the scenes of their childhood."
"So do all who live to see such times. But that is not for them to decide. All we have to decide is what to do with the time that is given us."
Explore more quotes by 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."
"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."
"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."
"Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model."
"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."
"We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners."
"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."
"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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