John Hull

I didn't become interested in derivatives until 1982, 1983. ↗

— John Hull

#derivatives #i #interested #until

I guess any simple idea that is really good will catch on quickly. ↗

— John Hull

#catch #good #guess #i #idea

I think VAR is a very healthy development within the industry. ↗

— John Hull

#healthy #i #i think #industry #think

If each of your time steps is one week long, you are not modeling the stock price terribly well over a one-week time period, because you are saying that there are only two possible outcomes. ↗

— John Hull

#each #long #modeling #only #our time

Our research led on to other things, such as the fact that exchange rates are not lognormally distributed. ↗

— John Hull

#exchange #fact #led #other #our

Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model. ↗

— John Hull

#incorporate #into #mean #model #our

The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem. ↗

— John Hull

#interest #modeling #number #problem #rates

The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well. ↗

— John Hull

#could #depended #interest #model #only

There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk. ↗

— John Hull

#derivatives #dimensions #gamma #important #known

We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize. ↗

— John Hull

#back #beginning #cannot #concluded #delta