#ed

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

#average #big #big difference #briefly #concerned

I didn't become interested in derivatives until 1982, 1983. ↗

— John Hull

#derivatives #i #interested #until

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

#area #black #bond #caps #european

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

#concerns #earlier #extreme #fat #i

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

#different #fairly #few #first #had

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

#back #beginning #cannot #concluded #delta

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

#branches #center #changes #curve #extreme

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

#conferences #contact #derivatives #giving #our

Everybody is excited to play so I think who plays with whom is a minor thing at this point. ↗

— Mats Sundin

#excited #i #i think #minor #play

We get a ton of email; everybody does now. It gives us a kind of a pulse that you can feel.We hear people saying, thank you for being fair, for being balanced. ↗

— Brit Hume

#being #does #email #everybody #fair