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Our research led on to other things, such as the fact that exchange rates are not lognormally distributed.
John Hull Quotes: Our research led on to
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 Quotes: We concluded that you cannot
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.
John Hull Quotes: The HoLee model was the
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 Quotes: The real challenge was to
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 Quotes: If each of your time
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 Quotes: In the interest rate area,
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 Quotes: Yes, our tree has an
Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.
John Hull Quotes: Our starting point then was
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 Quotes: The problem with interest 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 Quotes: There are challenges in terms
I think VAR is a very healthy development within the industry.
John Hull Quotes: I think VAR is a
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