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Montreal Exchange's IOM Award Competition for a paper entitled "Hedging
through the cap : implications for market efficiency, hedging and option pricing."
1985: Won with Alan White first prize in the Practical/Professional section of the
Montreal Exchange's 1984-85 IOM Awards Competition for a paper entitled "The
Use of Exchange-traded Currency Options to Hedge the Risks from writing Non-
Exchange-Traded Currency Options."
1984: Won with Nahum Biger first prize in the Practical/Professional section of the
Montreal Exchange's 1983-84 IOM Awards Competition for a paper entitled, "The
Valuation of Currency Options."
1965-68: Won a total of three prizes and a scholarship at Cambridge University.
Obtained first class honors in all three years. Graduated as Wrangler.
Journal Appointments
Associate Editor, Journal of Financial and Quantitative Analysis, 1991 to 1999.
Associate Editor, Journal of Derivatives, 1993 to present.
Associate Editor, Applied Mathematical Finance, 1993 to present.
Associate Editor, Review of Derivatives Research, 1993 to present.
Associate Editor, Journal of Financial Engineering, 1994 to 1998.
Associate Editor, Journal of Derivatives Use, Trading & Regulation, 1994 to present
Associate Editor, Canadian Journal of Administrative Studies, 1996 to present.
Associate Editor, Journal of Risk, 1998 to present
Associate Editor, Journal of Bond Trading and Management, 2001 to present.
Associate Editor, Journal of Derivatives Accounting, 2002 to present (chair, supervisory
academic committee)
Associate Editor, Journal of Credit Risk, 2004 to present
Associate Editor, Journal of Risk Managemnt in Financial Institutions, 2007 to present
3
Books Authored
“Options, Futures, and Other Derivatives,” Prentice-Hall, Englewood Cliffs, New Jersey,
U.S.A., First edition 1989; second edition; 1993; third edition 1997, fourth edition 2000,
fifth edition 2003, sixth edition 2006 (includes instructor's manual, solution’s manual,
slides, and software; translated into many languages including German, French, Italian,
Korean, Japanese, Mandarin, Spanish, and Portuguese).
“Fundamentals of Futures and Options Markets,”Prentice-Hall, Englewood Cliffs, New
Jersey, U.S.A., first Edition 1991; second edition, 1995; third edition 1998; fourth edition
2001, fifth edition 2004, sixth edition, 2007 (includes instructors' manual, slides, and
software; translated into several languages including Italian, Japanese, Polish,
Portuguese, and Singaporean)
“Risk Management and Financial Institutions,” Prentice Hall, 2006 (includes instructor’s
manual, slides and software), translated into several languages.
Articles in Academic Journals and Books
Forwards and European Options on CDO Tranches” Journal of Credit Risk, 3, 2
(Summer 2007), 63-73 (with Alan White).
"Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence," forthcoming,
Quantitative Finance (with Toby Daglish and Wulin Suo)
“Valuing Credit Derivatives Using an Implied Copula Approach,” Journal of
Derivatives, 14, 2 (Winter 2006), 8-28 (with Alan White)
“Bond Prices, Default Probabilities, and Risk Premiums”, Journal of Credit Risk, 1, 2
(2005) 53-60. (with Mirela Predescu and Alan White)
"Merton's Model, Credit Risk, and Volatility Skews" Journal of Credit Risk, 1, 1 (2004),
1-27, (with Izzy Nelken and Alan White)
"The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit
Rating Announcements," Journal of Banking and Finance, 28 (Nov 2004), 2789-2811
(with Mirela Predescu and Alan White)
"Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation,"
Journal of Derivatives, 12, 2 (Winter 2004), 8-23 (with Alan White)
"Accounting for Employee Stock Options: A Practical Approach to Handling Valuation
Issues" Journal of Derivatives Accounting, 1, 1 (March 2004), 3-9 (with Alan White).
4
"How to Value Employee Stock Options," Financial Analysts Journal, 60, 1,
(January/February 2004), 114-119. (with Alan White)
“Valuing Credit Default Swap Options" Journal of Derivatives, 10, 3 (Spring 2003), 40-
50 (with Alan White)
“A methodology for assessing model risk and its application to the implied volatility
function model.” Journal of Financial and Quantitative Analysis, Vol. 37, No.2 (June
2002), 297-318 (with Wulin Suo)
“The general Hull-White model and supercalibration” Financial Analysts Journal, Vol.
57, No. 6 (Nov/Dec 2001), 34-43 (with Alan White)
“The Estimation of Default Probabilities: A Review of Alternative Methodologies and
Why They Give Different Results” pp171-180 in Mastering Risk, Volume 2, ed: Carol
Alexander, 2001, Prentice Hall, (with Alan White).
“Risk-neutral and real-world measures of default risk" in Visions of Risk, ed: Carol
Alexander, Pearson Education, 2000. (with Alan White)
“Valuing credit default swaps I: No counterparty default risk” Journal of Derivatives,
Vol. 8 No. 1 (Fall 2000), pp 29-40 (with Alan White)
“Valuing credit default swaps II: Modeling default correlations” Journal of Derivatives
Vol. 8 No. 3 (Spring 2001) pp12-22 (with Alan White)
“Forward rate volatilities, swap rate volatilities, and the implementation of the LIBOR
market model” Journal of Fixed Income, Vol. 10, No. 3, September 2000, pp 46-62
(with Alan White)
“Quantifying credit risk: Why different approaches give different answers” Canadian
Journal of Administrative Studies, September 1999, Vol. 16, No. 3 (with Alan White;
invited article)
“Incorporating volatility updating into the historical simulation method for VaR”
The Journal of Risk, Fall 1998, Vol 1, No 1, pp 5-19 (with Alan White)
"Value at risk when daily changes in market variables are not normally distributed"
Journal of Derivatives, Spring, 1998, Vol 5, No3, pp 9-19 (with Alan White)
"Evaluating the impact of skewness and kurtosis on derivative prices" Net Exposure, Dec
1997, pp 81-90 (with Alan White)
5
"A Note on the models of Hull and White for pricing options on the term structure:
Response" Journal of Fixed Income, Vol 5, No 2 (Sept 1995), pp 97-102 (with Alan
White).
"Using Hull-White interest rate trees," Journal of Derivatives, Vol. 3, No. 3 (Spring
1996), pp 26-36 (with Alan White).
"Numerical procedures for implementing term structure models I," Journal of
Derivatives, Fall 1994, pp 7-16 (with Alan White).
"Numerical procedures for implementing term structure models II," Journal of
Derivatives, Winter 1994, pp 37-48 (with Alan White).
"The impact of default risk on the prices of options and other derivative securities,''
Journal of Banking and Finance, Vol 19 (1995), pp 299-322 (with Alan White).
"Interest-Rate Options: Choosing a Model for Trading" in Advanced Strategies in
Financial Risk Management, Chapter 3, pp 49-58 (with Alan White).
"The pricing of options on interest rate caps and floors using the Hull-White model" in
Advanced Strategies in Financial Risk Management, Chapter 4, pp 59-67. Reprinted in
Journal of Financial Engineering, Vol 2, No 3 (September 1993), pp 287-296 (with
Alan White)
"Bond option pricing based on a model for the evolution of bond prices" Advances in
Futures and Options Research, Vol 6 (1993) pp 1-13 (with Alan White).
"Efficient procedures for valuing European and American path-dependent options,"
Journal of Derivatives, Vol 1, No 1 (Fall 1993), pp 21-31 (with Alan White).
"One factor interest rate models and the valuation of interest rate derivative securities,"
Journal of Financial and Quantitative Analysis, Vol 28, No 2, (June 1993) pp 235-254
(with Alan White)
"Analisi del rischio connesso al credito e indici di inadeguatezza del capitale" Rivista di
Sistemi Finanziari, Vol 3, No.3, (1991) (with Alan White).
"Pricing interest-rate derivative securities", The Review of Financial Studies, Vol 3, No. 4
(1990) pp. 573-592 (reprinted in Options: Recent Developments in Theory and Practice,
Vol 2, 1992, pp 160-180. (with Alan White). Also reprinted in Options Markets by
George Constantinides and A. G. Malliaris and The Debt Market by Stephen Ross.
(These are two volumes of the Critical Writings in Financial Economics series edited by
Richard Roll)
"Contingent claim valuation with a random evolution of interest rates: Commentary" The
Review of Futures Markets, Vol 9, No. 1 (1990) pp. 77-78.
6
"Monitoring a company's operating cash flow using variance analysis", Accounting
Horizons, Vol. 4, No. 3 (Sept. 1990), pp 50-57.
"Valuing derivative securities using the explicit finite difference method" Journal of
Financial and Quantitative Analysis, Vol. 25 No. 1 (March 1990), pp 87-99 (with Alan
White).
"Assessing credit risk in a financial institution's off-balance sheet commitments" Journal
of Financial and Quantitative Analysis, Vol. 24 No. 4 (Dec. 1989) pp 489-502.
"An analysis of the bias in option pricing caused by a stochastic volatility" Advances in
Options and Futures Research, Vol. 3, 1988, pp 29-61 (with Alan White).
"An analysis of the credit risks in interest rate swaps and currency swaps" in Recent
Developments in International Banking and Finance, Vol III, 1989.
"The Use of the Control Variate Technique in Option Pricing", Journal of Financial and
Quantitative Analysis, Sept. 1988, pp 237-251 (with Alan White).
"An Overview of Contingent Claims Pricing" Canadian Journal of Administrative
Sciences, Sept. 1988, pp 55-61 (with Alan White).
"Hedging through the Cap: Implications for Market Efficiency, Hedging and Option
Pricing" International Options Journal, Vol 4, pp 17-22, 1987 (with Alan White).
"The Management of a Bank's Off-Balance Sheet Exposures: The Case of Interest Rate
Swaps" Banking Law and Finance Review, Vol. 2, No. 1, pp 47-60, 1987.
"The Pricing of Options on Assets with Stochastic Volatilities" Journal of Finance, Vol.
42, No. 2, pp. 281-300, June 1987 (with Alan White). Reprinted in "Options: Classic
Approaches to Pricing and Modeling," edited by Lane Hughston.
"Hedging the Risks from Writing Foreign Currency Options" Journal of International
Money and Finance, Vol. 6, No. 2, pp 131-152, June 1987 (with Alan White).
"A Note on the Risk-Adjusted Discount Rate Method" Journal of Business Finance and
Accounting, Vol. 13, No. 3, pp. 445-450, 1986.
"Risk in Capital Investment Proposals: Three Viewpoints," Managerial Finance, Vol. 12,
No. 3, pp. 12-15, 1986.
"The Use of Exchange-Traded Currency Options to Hedge the Risks from Writing Non-
Exchange-Traded Currency Options'', International Options Journal, Vol. 2, pp. 7-18,
1985 (with Alan White).
7
"The Effect of a Stochastic Variance on Option Pricing," International Options Journal,
Vol. 2, pp. 39-47, 1985 (with Alan White).
"The Valuation of Currency Options - Reply," Financial Management, Vol. 13, 2, 1984.
"The Impact of Taxes on the Valuation of Low-Interest Household Mortgages,"
Canadian Tax Journal, Vol. 31, No. 5, pp. 797-804, 1983.
"Valuation of Currency Options," Financial Management, Vol. 12, 1, pp. 24-28, 1983.
Reprinted in International Options Journal, Vol. 1, 1, pp. 5-11, 1984 (with Nahum
Biger).
"The Bargaining Positions of the Parties to a Lease Agreement," Financial Management,
Vol. 11, 3, pp. 71-79, 1982.
"Conflicts of Interest Between Shareholders and Managers," The Investment Analyst,
Vol. 67, pp. 4-8, September 1982.
"The Impact of Stock Relief on the Attractiveness of Capital Investment Opportunities,"
Accounting and Business Research, No. 45, pp. 30-34, Winter 1981.
"Lease Evaluation in the U.K. Current Theory and Practice," Journal of Business Finance
and Accounting, Vol. 7, 4, pp. 619-637,1980 (with Graham Hubbard).
"The Interpretation of the Output from a Sensitivity Analysis in Investment Appraisal,"
Journal of Business Finance and Accounting, Vol. 5, 1. pp. 109-122, 1978.
"The Accuracy of the Means and Standard Deviations of Subjective Probability
Distributions," Journal of the Royal Statistical Society, A., Vol. 141, 1, pp. 79-85, 1978.
"Reducing the Number of Probabilistic Variables in a Risk Simulation," Omega, Vol. 5,
5, pp. 605-608, 1977.
"The Input to and Output from Risk Evaluation Models," European Journal of
Operational Research, Vol. 1, 6, pp. 368-375, 1977.
"Dealing with Dependence in Risk Simulations," Operational Research Quarterly,
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