Hull-White on Derivatives
- 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
A classic collection of the writing of John Hull and Alan White.
ISBN | 9781906348298 |
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Navision code | MO |
Publication date | 3 Jun 1996 |
Size | 170mm x 245mm |
John Hull and Alan White
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.
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