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If each of your time steps is one week long, you are not modeling the stock price terribly well ove
If each of your time steps is one week long, you are not modeling the stock price terribly well ove
If each of your time steps is one week long, you are not modeling the stock price terribly well ove
If each of your time steps is one week long, you are not modeling the stock price terribly well ove
If each of your time steps is one week long, you are not modeling the stock price terribly well ove
If each of your time steps is one week long, you are not modeling the stock price terribly well ove
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John Hull:
In the interest rate area, traders have for a long time used a version of what is known as Black'sJohn Hull:
One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is conJohn Hull:
Our research led on to other things, such as the fact that exchange rates are not lognormally distrJohn Hull:
Our starting point then was trying to find a way to incorporate mean reversion into the HoLee modelJohn Hull:
Our tree is actually a tree of the short-term interest rate. The average direction in which the shoJohn Hull:
The HoLee model was the first term structure model. I remember reading their paper soon after it waJohn Hull:
The problem with interest rates are that you are not modeling a single number, you are modeling a wJohn Hull:
The real challenge was to model all the interest rates simultaneously, so you could value somethingJohn Hull:
There are challenges in terms of the measurement of VAR for what are known as nonlinear derivativesJohn Hull:
We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but