Phrase by 'John Hull'
Warning: We collect thousands of phrases from different public resources. We are not responsible for any incorrect content or inaccurately information related to the phrases we collect on our website. Famous phrases, proverbs, short phrases, phrases from kids. Phrases about friendship, love, cinema, family, humor, motivation, mindfullness, improvement, life and much more. Our only goal is to offer you these phrases as an inspiration so that you can make unique dedications, express your thoughts and emotions or share on your social networks. Enjoy our content.
Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.
Author: John Hull - MathematicianFind , Way , Trying , Mean
Our tree is actually a tree of the short-term interest rate. The average direction in which the short-term interest rate moves depends on the level of the rate. When the rate is very high, that direction is downward; when the rate is very low, it is upward.
Author: John Hull - MathematicianTree , Low , High , Direction
The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper.
Author: John Hull - MathematicianReading , Remember , Important , Paper
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.
Author: John Hull - MathematicianYou , Single , Problem , Modeling
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.
Author: John Hull - MathematicianYou , Value , Challenge , Real
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.
Author: John Hull - MathematicianLike , Important , Risk , Challenges
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.
Author: John Hull - MathematicianYou , People , Beginning , Alone
We started giving presentations at practitioner conferences in 1986, and since then all of our derivatives research has been stimulated by contact with practitioners.
Author: John Hull - MathematicianResearch , Giving , Started , Contact
When interest rates are high you want the average direction in which interest rates are moving to be downward; when interest rates are low you want the average direction to be upward.
Author: John Hull - MathematicianYou , Want , Moving , Direction
Phrase of the day
www.todofrases.com
El que no aplique nuevos remedios debe esperar nuevos males, porque el tiempo es el máximo innovador. (Sir Francis Bacon)Affiliated links: In case you want to support this project, you can do it by using these links. There will be no cost to you and they may be a little help to the creativity of this project.
