#si

In the interest rate area, traders have for a long time used a version of what is known as Black's model for European bond options; another version of the same model for caps and floors; and yet another version of the same model for European swap options. ↗

— John Hull

#area #black #bond #caps #european

One important measurement issue concerns the fat tails problem that I mentioned earlier. VAR is concerned with extreme outcomes. If the tails of the probability distributions we are using are too thin, our VAR measures are likely to be too low. ↗

— John Hull

#concerns #earlier #extreme #fat #i

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

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

Yes, our tree has an interesting shape. The center branches reflect the shape of the zero curve. When extreme parts of the tree are reached the branching pattern changes to accommodate the mean reversion. ↗

— John Hull

#branches #center #changes #curve #extreme

Jazz was more of a tool for me to use to enhance my musicality. ↗

— John Otto

#jazz #me #more #musicality #tool

We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners. ↗

— John Hull

#conferences #contact #derivatives #giving #our

The applause of a single human being is of great consequence. ↗

— Raymond Hull

#being #consequence #great #human #human being

We have a society in which one of the greatest things you can do is a platform to see victim status, and one of the qualifications for that is that you have these exquisitely tender feelings about things and sensibilities which are easily offended. ↗

— Brit Hume

#easily #exquisitely #feelings #greatest #greatest things