Phrase by 'John Hull'
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I didn't become interested in derivatives until 1982, 1983.
Author: John Hull - MathematicianBecome , Until , Interested , Derivatives
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.
Author: John Hull - MathematicianTree , Interesting , Mean , Changes
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.
Author: John Hull - MathematicianWay , Together , White , Working Together
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.
Author: John Hull - MathematicianYou , Big , Right , Difference
I guess any simple idea that is really good will catch on quickly.
Author: John Hull - MathematicianSimple , Will , Good , Catch
I think VAR is a very healthy development within the industry.
Author: John Hull - MathematicianThink , Development , Within , Healthy
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.
Author: John Hull - MathematicianYou , Time , Long , Modeling
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.
Author: John Hull - MathematicianTime , Black , Long , Bond
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.
Author: John Hull - MathematicianImportant , Fat , Low , Problem
Our research led on to other things, such as the fact that exchange rates are not lognormally distributed.
Author: John Hull - MathematicianResearch , Things , Fact , Exchange
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Design is a plan for arranging elements in such a way as best to accomplish a particular purpose (Charles Eames)
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