John C. Hull

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

  • University of Toronto - Rotman School of Management

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SCHOLARLY PAPERS

38

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Top 3,589

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348

Scholarly Papers (38)

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1.

Optimal Delta Hedging for Options

Journal of Banking and Finance, 82, September 2017, 180-190.
Number of pages: 33 Posted: 09 Sep 2015 Last Revised: 18 Sep 2017
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 3,966 (5,485)
Citation 27

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Options, delta, vega, gamma, minimum variance, stochastic volatility

2.

Valuing Credit Default Swaps I: No Counterparty Default Risk

NYU Working Paper No. FIN-00-021
Number of pages: 35 Posted: 04 Nov 2008
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 3,871 (5,715)
Citation 18

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3.

Bond Prices, Default Probabilities and Risk Premiums

Number of pages: 11 Posted: 11 Nov 2012
John C. Hull, Mirela Predescu and Alan White
University of Toronto - Rotman School of Management, BNP Paribas, London and University of Toronto - Rotman School of Management
Downloads 3,610 (6,422)
Citation 32

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risk-neutral default probabilities, historical default probabilities, credit default swaps

4.

LIBOR vs. OIS: The Derivatives Discounting Dilemma

The Journal of Investment Management, Forthcoming, Rotman School of Management Working Paper No. 2211800
Number of pages: 27 Posted: 04 Feb 2013 Last Revised: 11 Apr 2013
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,831 (9,398)
Citation 45

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LIBOR, OIS, Derivatives, Discounting

5.

Modeling the Short Rate: The Real and Risk-Neutral Worlds

Rotman School of Management Working Paper No. 2403067
Number of pages: 19 Posted: 02 Mar 2014 Last Revised: 03 Jul 2014
John C. Hull, Alexander Sokol and Alan White
University of Toronto - Rotman School of Management, CompatibL and University of Toronto - Rotman School of Management
Downloads 2,723 (10,044)
Citation 9

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Real World Measure, Market Price of Risk, PFE, CVA, Limits, Liquidity, Solvency II, Interest Rate Models, Short Rate, Monte Carlo, Long Term Simulation, Potential Future Exposure, Joint Measure

6.

Valuing Derivatives: Funding Value Adjustments and Fair Value

Financial Analysts Journal, volume 70, no.3 (May/June 2014), Rotman School of Management Working Paper No. 2245821
Number of pages: 27 Posted: 07 Apr 2013 Last Revised: 07 Sep 2017
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,713 (10,108)
Citation 10

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Derivatives, FVA, Fair Value

7.

Valuing Credit Default Swaps Ii: Modeling Default Correlations

NYU Working Paper No. FIN-00-022
Number of pages: 26 Posted: 04 Nov 2008
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 2,526 (11,321)
Citation 2

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8.

The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

Rotman School of Management Working Paper No. 2173171
Number of pages: 38 Posted: 10 Nov 2012
Mirela Predescu, John C. Hull and Alan White
BNP Paribas, London, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,680 (21,592)
Citation 114

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9.

The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model

Number of pages: 36 Posted: 21 Mar 2005
John C. Hull, Mirela Predescu and Alan White
University of Toronto - Rotman School of Management, BNP Paribas, London and University of Toronto - Rotman School of Management
Downloads 1,515 (25,243)
Citation 39

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Credit derivatives, correlation, structural model, CDO, valuation

10.

Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the Libor Market Model

NYU Working Paper No. FIN-00-023
Number of pages: 40 Posted: 04 Nov 2008
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,338 (30,365)
Citation 4

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11.

The General Hull-White Model and Super Calibration

NYU Working Paper No. FIN-00-024
Number of pages: 20 Posted: 04 Nov 2008
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,123 (39,065)
Citation 2

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12.

OIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads

Forthcoming in Journal of Investment Management, Rotman School of Management Working Paper No. 2359610
Number of pages: 38 Posted: 27 Nov 2013 Last Revised: 18 Sep 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,107 (39,926)
Citation 4

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OIS, LIBOR, Swaps, Swaptions, Caps, Interest Rate Trees

13.

Collateral and Credit Issues in Derivatives Pricing

Rotman School of Management Working Paper No. 2212953
Number of pages: 36 Posted: 08 Feb 2013 Last Revised: 24 Jun 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,048 (43,222)
Citation 8

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Derivatives Pricing, Collateral, Credit Risk, CVA, DVA, FVA

14.

Funding Long Shots

Rotman School of Management Working Paper No. 3058472
Number of pages: 51 Posted: 25 Oct 2017 Last Revised: 09 Apr 2019
John C. Hull, Andrew W. Lo and Roger Stein
University of Toronto - Rotman School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 1,042 (43,573)
Citation 9

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Capital Budgeting; Impact Investing; Venture Capital; Private Equity; Megafund; Securitization; Portfolio Theory; Research-Backed Obligation

15.

A Neural Network Approach to Understanding Implied Volatility Movements

Number of pages: 29 Posted: 12 Dec 2018 Last Revised: 13 Apr 2020
Jay Cao, Jacky Chen and John C. Hull
University of Toronto, University of Toronto and University of Toronto - Rotman School of Management
Downloads 899 (53,470)
Citation 15

Abstract:

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options, implied volatility movements, neural networks, deep learning

16.

The Changing Landscape for Derivatives

Rotman School of Management Working Paper No. 2428983
Number of pages: 12 Posted: 26 Apr 2014
John C. Hull
University of Toronto - Rotman School of Management
Downloads 858 (57,022)
Citation 2

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Derivatives, Changes, Trading, Clearing, Collateral

17.

Deep Learning for Exotic Option Valuation

Number of pages: 19 Posted: 09 Mar 2021 Last Revised: 10 Jan 2022
Jay Cao, Jacky Chen, John C. Hull and Zissis Poulos
University of Toronto, University of Toronto, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 633 (84,717)
Citation 4

Abstract:

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Exotic options, volatility surfaces, neural networks

18.

Hedging Barrier Options Using Reinforcement Learning

Number of pages: 18 Posted: 09 Sep 2023
Jacky Chen, Yu Fu, John C. Hull, Zissis Poulos, Zeyu Wang and Jun Yuan
University of Toronto, affiliation not provided to SSRN, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 630 (85,240)

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Exotic option, hedging, reinforcement learning

19.

A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces

Number of pages: 31 Posted: 29 Nov 2023
Jacky Chen, John C. Hull, Zissis Poulos, Haris Rasul, Andreas Veneris and Yuntao Wu
University of Toronto, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto and University of Toronto
Downloads 598 (91,128)

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Implied volatility surfaces, variational autoencoders, long short-term memory

20.

A Generalized Procedure for Building Trees for the Short Rate and Its Application to Determining Market Implied Volatility Functions

Rotman School of Management Working Paper No. 2399615
Number of pages: 33 Posted: 23 Feb 2014 Last Revised: 09 Apr 2017
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 508 (111,709)
Citation 2

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Interest Rate Models, Short Rate, Trees, Derivatives

21.

Variational Autoencoders: A Hands-Off Approach to Volatility

Number of pages: 28 Posted: 19 Apr 2021
Maxime Bergeron, Nicholas Fung, Zissis Poulos, John C. Hull and Andreas Veneris
Riskfuel Analytics, University of Toronto - The Edward S. Rogers Sr. Department of Electrical and Computer Engineering, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 384 (154,936)

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Derivatives; Unsupervised learning; Variational autoencoders

22.

Multi-Curve Modeling Using Trees

Rotman School of Management Working Paper No. 2601457
Number of pages: 27 Posted: 03 May 2015 Last Revised: 18 Sep 2017
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 302 (200,927)

Abstract:

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OIS, LIBOR, interest rate trees, multi-curve modeling

23.

A Test of the Use of the Implied Volatility Function Model to Price Exotic Options

NYU Working Paper No. FIN-00-025
Number of pages: 17 Posted: 04 Nov 2008
John C. Hull and Wulin Suo
University of Toronto - Rotman School of Management and Queen's University - Smith School of Business
Downloads 269 (226,403)

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24.

Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning

Number of pages: 11 Posted: 08 Aug 2022 Last Revised: 21 Mar 2023
Jay Cao, Jacky Chen, Soroush Farghadani, John C. Hull, Zissis Poulos, Zeyu Wang and Jun Yuan
University of Toronto, University of Toronto, University of Toronto, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 220 (275,606)
Citation 2

Abstract:

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derivatives trading, hedging, gamma, vega, reinforcement learning

25.

Interest Rate Trees: Extensions and Applications

Rotman School of Management Working Paper No. 2928975
Number of pages: 32 Posted: 09 Mar 2017 Last Revised: 18 Sep 2017
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 207 (291,771)

Abstract:

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Term Structure, No-Arbitrage Model, Tree, Alternative Drift Functions, Real World, Risk-Neutral World, Negative Interest Rates

26.

Forecasting Using Text-Based Uncertainty Measures

Number of pages: 31 Posted: 29 Nov 2023
Kevin Benson, John C. Hull, Yoshio Nozawa, Zissis Poulos, Vasily Strela and Yuntao Wu
Royal Bank of Canada, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto - Rotman School of Management, Royal Bank of Canada and University of Toronto
Downloads 176 (338,177)

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commodities, inflation, narrative uncertainty, machine learning, natural language processing

27.

Narrative Monetary Policy Uncertainty

Number of pages: 27 Posted: 12 Oct 2023
Charles Martineau, Zissis Poulos, Yuntao Wu, Cameron Thompson, Maryam Haghighi, Jun Yuan and John C. Hull
University of Toronto - Rotman School of Management and UTSC Management, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto, Government of Canada - Bank of Canada, University of Toronto and University of Toronto - Rotman School of Management
Downloads 117 (470,039)

Abstract:

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monetary policy uncertainty, risk premia, central bank communication, machine learning, natural language processing

28.

Understanding the Excess Bond Premium

Number of pages: 57 Posted: 05 Dec 2024
Kevin Benson, Ing-Haw Cheng, John C. Hull, Charles Martineau, Yoshio Nozawa, Vasily Strela, Yuntao Wu and Jun Yuan
Royal Bank of Canada, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto, Royal Bank of Canada, University of Toronto and University of Toronto
Downloads 9

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Excess bond premium, textual analysis, credit spreads, macroeconomy

29.

Deep Hedging of Derivatives Using Reinforcement Learning

Posted: 27 Jan 2020 Last Revised: 06 Feb 2021
Jay Cao, Jacky Chen, John C. Hull and Zissis Poulos
University of Toronto, University of Toronto, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Abstract:

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Deep hedging, derivatives, reinforcement learning

30.

The Valuation of Market-Leveraged Stock Units

Rotman School of Management Working Paper No. 2294785, https://doi.org/10.3905/jod.2014.21.3.085
Posted: 20 May 2019
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 0 (1,245,354)

Abstract:

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employee compensation, MSU, RSU, option, valuation

31.

Libor versus OIS: The Derivatives Discounting Dilemma

Journal of Investment Management (JOIM), Third Quarter 2013
Posted: 15 Nov 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Abstract:

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LIBOR, OIS, derivatives, discounting

32.

CVA and Wrong-Way Risk

Financial Analysts Journal, Vol. 68, No. 5, 2012, Rotman School of Management Working Paper No. 2151507
Posted: 25 Sep 2012
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

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Derivatives, Credit Derivatives Markets and Instruments, Modeling and Pricing Credit Derivatives, Portfolio Management, Risk Management, Risk Management, Portfolio Risk Management, Fixed Income

33.

An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches

Journal of Investment Management, Third Quarter, 2010
Posted: 26 Oct 2010
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

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CDO, implied copula, parameterization, bespokes

34.

The Risk of Tranches Created from Mortgages

Financial Analysts Journal, Vol. 66, No. 5, 2010
Posted: 15 Oct 2010
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

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Fixed Income, Structured Products, Asset-Backed Securities (ABS), Collateralized Debt Obligations (CDOs)

35.

Volatility Surfaces: Theory, Rules of Thumb and Empirical Evidence

Posted: 12 Dec 2009
Wulin Suo, John C. Hull and Toby C. Daglish
Queen's University - Smith School of Business, University of Toronto - Rotman School of Management and Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance

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Volatilies, Option Pricing, Strike price, No-arbitrage condition

36.

How to Value Employee Stock Options

Posted: 13 Feb 2004
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

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Equity Investments: fundamental analysis and valuation models; Financial Statement Analysis: accounting and financial reporting issues

37.

The General Hull-White Model and Supercalibration

Posted: 22 Jan 2002
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

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38.

Using Hull-White Interest Rate Trees

Posted: 03 May 2000
John C. Hull
University of Toronto - Rotman School of Management

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