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Our research led on to other things, such as the fact that exchange rates are not lognormally distr
Our research led on to other things, such as the fact that exchange rates are not lognormally distr
Our research led on to other things, such as the fact that exchange rates are not lognormally distr
Our research led on to other things, such as the fact that exchange rates are not lognormally distr
Our research led on to other things, such as the fact that exchange rates are not lognormally distr
Our research led on to other things, such as the fact that exchange rates are not lognormally distr
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John 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, butJohn Hull:
We started giving presentations at practitioner conferences in 1986, and since then all of our deriJohn Hull:
When interest rates are high you want the average direction in which interest rates are moving to bJohn Hull:
Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. Wh