Hull-White on Derivatives - Risk Books
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Hull-White on Derivatives

By John Hull and Alan White

Overview

A classic collection of the writing of John Hull and Alan White.

Publish date: 3 Jun 1996

Availability: In stock

£65.00
OR

Book description

  • Hull and White’s classic analysis of the impact of stochastic volatility on the pricing and hedging of options
  • Examines the valuation of interest-rate options and the problem of how to build a no-arbitrage model of the term structure of interest rates

Book details

ISBN
9781906348298
Publish date
3 Jun 1996
Format
Size
170mm x 245mm

Author biography

John Hull and Alan White

John Hull is a professor of finance at the University of Toronto, and has written widely in the area of derivative securities. Recently, his research has focused on the valuation and hedging of interest rate options and on credit risk issues. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on interest rate derivatives. He has acted as consultant to many North American and European financial institutions and has written two successful books: Options, Futures, and Other Derivative Securities and Introduction to Futures and Options Markets. John Hull is an Associate Editor of the Journal of Financial & Quantitative Analysis, Journal of Derivatives, Applied Mathematical Finance, Journal of Financial Engineering, Derivates Use, Trading & Regulation and the Review of Derivatives Research.

Alan White is a professor of finance at the University of Toronto, and has published many articles on derivatives-related topics in both practitioner and academic journals. His research has included the pricing of derivative securities and their use by financial institutions for risk management. More  recently, his research has focused on modelling the term structure of interest rates in a way that is consistent with observed market data. This work has found application with many money-centre banks involved in the trading of interest rate options and other similar securities. Other current research examines the pricing and hedging of credit risk, and the valuation of path-dependent securities such as indexed amortizing interest-rate swaps. Alan White is an Associate Editor of the Journal of Financial & Quantitative Analysis and the Journal of Derivatives.

Table of contents

Preface

Stochastic Volatility

Introduction

The Pricing of Options on Assets with Stochastic Volatitlities

An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility

Hedging the Risks from Writing Foreign Currency Options

Numerical Procedures

Introduction

Valuing Derivative Securities Using the Explicit Finite Difference Method

The Use of the Control Variate Technique in Option Pricing

Efficient Procedures for Valuing European and American Path-dependent Options

Credit Risk

Introduction

Assessing Credit Risk in a Financial Institution’s Off-balance

Sheet Commitments

The Impact of Default Risk on the Valuation of Options and Other Derivative Securities

Term Structure Models: Theory

Introduction

Pricing Interest Rate Derivative Securities

Bond Option Pricing Based on a Model for the Evolution of Bond Prices

The Pricing of Options on Interest Rate Caps and Floors Using the Hull-White Model

Term Structure Models: Implementation

Introduction

Single-factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities

Numerical procedures for Implementing Term Structure Models

Single-Factor Models

Numerical Procedures for Implementing Term Structure Models

Two-Factor Models

Using Hull-White Interest Rate Trees

Index

Testimonials

“A remarkable piece of work.“

Bruno Dupire

Customer Reviews

Average customer reviews for Hull-White on Derivatives
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