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"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).
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"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, Vol.
28, 1, ii, pp. 201-218, 1977.
"The Impact of Inflation on Corporate Financial Performance," Management Decision,
Vol. 14, 1. pp. 7-16, 1976. Reprinted in Managerial Finance, 1977 (with Bill Alexander)
"A Note on Risk Simulation," Omega, Vol. 3, 3, p. 358, 1975.
"Utility and Its Measurement," Journal of the Royal Statistical Society, A,
Vol. 136, 2, pp. 226-247, 1973 (with Peter Moore and Howard Thomas).
8
"The Application of Decision Analysis to a New Product Planning Decision - A
Comment," Operational Research Quarterly, Vol. 24, 3, pp. 469-471, 1973.
Other Articles
“The Power Law,” Risk, 20, 3 (March 2007), 72-74
“VaR vs Expected Shortfall,” Risk, 19, 12 (December 2006), 48-49
“Defining Copulas” Risk, 19, 10 (October 2006), 62-64.
“New layers of protection” in Mastering Risk section of Financial Times, Sept 16, 2005
with Alan White)
“The Credit Spread Puzzle” Journal of Financial Transformation, 13 (April 2005), 131-134
(with Mirela Predescu and Alan White)
"Advisor's guide to risk management" co-editor, 2002.
"Approaches to managing portfolio risk" in Advisor's guide to risk management, pp 14-
18, 2002.
"Advisor's guide to new investment opportunities" co-editor, 2001.
"Avoiding irrational exuberance" in Advisor's guide to new investment opportunities, pp
20-25 (with Alan White), 2001.
"Using derivatives to achieve international diversification" in Advisor's guide to
international financial research, pp 42-47, 2000 (with Alan White)
"Advisors guide to international financial research" co-editor, 2000
"Advisors guide to financial research" co-editor, 1999
"Taking rates to the limits," RISK (December 1997) pp 168-169 (with Alan White)
"Pricing credit risk: Introduction" Chapter 5 in Derivative Credit Risk, Risk Publications,
1995 (with Alan White).
"Branching Out," RISK (July, 1994), pp 34-37. Reprinted as Chapter 47 in Over the
Rainbow, Risk Publications, Nov 1995 (with AlanWhite)
"Finding the keys," RISK (September, 1993), pp 109-112. Reprinted as Chapter 32 in
Over the Rainbow, Risk Publications, Nov 1995 (with Alan White)
9
"The price of default," RISK (September, 1992) pp 101-103. Reprinted in Chapter 5 of
Derivative Credit Risk, Risk Publications, 1995 (with Alan White) . Reprinted in Credit
Technology, September 1998, pp 23-34.
"In the common interest" RISK (March 1991) pp 64-68 (with Alan White).
"Buying and selling interest rate options: the new over-the-counter market" Canadian
Investment Review Vol III, No. 2, 1991, pp 71-74 (with Alan White)
"Over-the-counter interest-rate options" The Treasurer, November 1991, pp 12-15 (with
Alan White).
"Modern Greek," RISK Vol. 4 No. 1 (Dec. 1990 - Jan. 1991) pp. 65-67. Reprinted as
chapter 8 in From Black-Scholes to Black Holes (with Alan White).
"New ways with the yield curve," RISK Vol. 3 No. 9 (October 1990) pp 13-17. Reprinted
as chapter 15 in From Black--Scholes to Black Holes (with Alan White).
"Root and branch," RISK Vol.3 No. 8 (September 1990) pp 69-72. Reprinted as chapter
14 in From Black-Scholes to Black Holes (with Alan White).
"Coming to terms," RISK, Vol. 3 No. 1 (Dec 1989-Jan 1990) pp 21-25. Reprinted as
chapter 16 in From Black-Scholes to Black Holes (with Alan White).
"Currency Options and the Bank," Canadian Banker, pp. 46-50, February 1985 (with
Alan White).
"When to Opt for Vendor Mortgage Takeback", Financial Times, p. 28, March 8, 1982.
"Adjusting Mark-ups for Inflation," Management Accounting, pp. 155-156, April 1977.
"Obtaining Probability Distributions for the Evaluation of Investment Risk,"
Management Accounting, pp. 349-351, October 1976.
"Evaluating Investment Risk," Management Accounting, pp. 138-141, April 1976.
"Financial Planning: Terminal Case'', Management Today, pp. 37-47, December 1973
(with Brian Wheeler).
Working Papers
“The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model”
(with Mirela Predescu and Alan White)
“Dynamic Models of Portfolio Credit Risk: A Simplified Approach,”(with Alan White)
“Forwards and European Options on CDO Tranches,” (with Alan White)
10
Current Research Interests
All aspects of financial engineering including: market risk, credit risk, the valuation of
interest rate derivatives, numerical procedures for valuing derivatives, executive stock
options, and credit derivatives.
Other Activities
Founder and Director (1997 to present) of the Centre for Finance. The Centre is
concerned with funding research in all aspects of finance at the Joseph L. Rotman School
of Management, University of Toronto and disseminating the results of that research to
the business community.
Consulting
Consulting projects include litigation support and development of models for valuing,
hedging, and managing non-standard derivatives. Clients include major financial
institutions, their external auditors, and software companies in North America, Europe,
Japan, and Australia. Appointed chairman of the Moody's Academic Advisory
Committee in 2001.
Executive Education
Have provided executive training for employees of many financial institutions throughout
the world. Regular presenter at ICBI's annual Global Risk Management conference in
Geneva and ICBI's annual Global Derivatives conference in Europe. Consistently rated a
top instructor at these conferences.

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