J
John Hull
Researcher at University of Toronto
Publications - 116
Citations - 25493
John Hull is an academic researcher from University of Toronto. The author has contributed to research in topics: Credit risk & Volatility smile. The author has an hindex of 46, co-authored 115 publications receiving 24892 citations. Previous affiliations of John Hull include Cranfield University & York University.
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Options, Futures, and Other Derivatives
TL;DR: The Black-Scholes analysis of stock option prices was used in this paper to model the behavior of stock prices and the Yield Curve of stock options, as well as the Black's model for option pricing.
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The Pricing of Options on Assets with Stochastic Volatilities
John Hull,Alan White +1 more
TL;DR: In this article, the option price is determined in series form for the case in which the stochastic volatility is independent of the stock price, and the solution of this differential equation is independent if (a) the volatility is a traded asset or (b) volatility is uncorrelated with aggregate consumption, if either of these conditions holds, the risk-neutral valuation arguments of Cox and Ross [4] can be used in a straightfoward way.
Journal ArticleDOI
Pricing Interest-Rate-Derivative Securities
John Hull,Alan White +1 more
TL;DR: In this paper, the extended Vasicek model is shown to be very tracta-ble analytically, and option prices are compared with those obtained using a number of other models.
Book
Options, futures, and other derivative securities
TL;DR: In this article, the authors present a model of the behavior of stock prices and a general approach to pricing Derivative Securities based on the Black-Scholes analysis, which is used in this paper.
Journal ArticleDOI
The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
TL;DR: In this paper, the relationship between credit default swap spreads and bond yields was examined and conclusions on the benchmark risk-free rate used by participants in the credit derivatives market were reached.