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John Hull Quotes

I didn’t become interested in derivatives until 1982, 1983 Picture Quote #1

I guess any simple idea that is really good will catch on quickly Picture Quote #1

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 Picture Quote #1

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 Picture Quote #1

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 Picture Quote #1

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 Picture Quote #1

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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 Picture Quote #1

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 Picture Quote #1

We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners Picture Quote #1

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 Picture Quote #1

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 Picture Quote #1

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I didn’t become interested in derivatives until 1982, 1983 (John Hull Quotes) I guess any simple idea that is really good will catch on quickly (John Hull Quotes) 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 (John Hull Quotes) 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 (John Hull Quotes) 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 (John Hull Quotes) 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 (John Hull Quotes) 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 (John Hull Quotes) 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 (John Hull Quotes) We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners (John Hull Quotes) 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 (John Hull Quotes) 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 (John Hull Quotes)