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John Hull
 
Date of birth: Unknown
Date of death: Alive (or unknown)
Country Of Origin: America
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Top quote contributors for John Hull: Bruce(31)
Approached topics: interest art problem age war

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John Hull quotes
" Alan White and I have not as yet written anything on VAR but we have done a number of consulting projects in this area and expect to do more. "

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. "

John Hull
" 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
" For interest rate models, one factor captures about 7580 percent of what we actually observe. The second factor captures perhaps another 15 percent of movements. Once everyone is comfortable with two factors it is natural to consider a third factor to capture some of that last 510 percent. "

John Hull
" HJM propose a two-factor model. In a one-factor model all rates move in the same direction over any short period of time. "

John Hull
" I didn't become interested in derivatives until 1982, 1983. "

John Hull
" I guess any simple idea that is really good will catch on quickly. "

John Hull
" I guess we are in the 9095 percent range with a two-factor model But let us not forget that an important objective for the researcher is to produce a model that traders feel comfortable with as well as one that captures reality as closely as possible. "

John Hull
" I noticed that HoLee did not have any mean-reversion in their model. This worried me a little bit, because I think that most of us would agree that when interest rates become really high, there are economic forces pulling them back down again. "

John Hull
" I think VAR is a very healthy development within the industry. "

John Hull
" 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. "

John Hull
" 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. "

John Hull
" 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
" Our research led on to other things, such as the fact that exchange rates are not lognormally distributed. "

John Hull
" Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model. "

John Hull
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