John C. Hull

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 1,131

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Top 1,131

in Total Papers Downloads

25,363

SSRN CITATIONS
Rank 2,836

SSRN RANKINGS

Top 2,836

in Total Papers Citations

149

CROSSREF CITATIONS

275

Scholarly Papers (31)

1.

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 3,214 (3,672)
Citation 3

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2.

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 2,438 (5,837)
Citation 8

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Derivatives, FVA, Fair Value

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 2,388 (6,040)
Citation 29

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

4.

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 2,339 (6,262)
Citation 1

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5.

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 2,148 (7,210)
Citation 33

Abstract:

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LIBOR, OIS, Derivatives, Discounting

6.

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 2,070 (7,686)
Citation 5

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

7.

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 2,021 (8,020)
Citation 7

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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

8.

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 1,330 (15,655)
Citation 39

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Credit derivatives, correlation, structural model, CDO, valuation

9.

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 1,168 (19,070)
Citation 102

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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 1,124 (20,203)
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 900 (27,921)
Citation 2

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12.

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 785 (33,805)
Citation 1

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Derivatives, Changes, Trading, Clearing, Collateral

13.
Downloads 781 ( 34,050)
Citation 16

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 781 (33,535)
Citation 10

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

Collateral and Credit Issues in Derivatives Pricing

Journal of Credit Risk, Vol. 10, No. 3, 2014
Number of pages: 26 Posted: 06 Jun 2016
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 0
Citation 3
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collateral agreements, over-the-counter derivatives transactions, collateral agreements

14.

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 758 (35,493)
Citation 4

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

15.

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) - Sloan School of Management and Sloan School of Management, MIT
Downloads 529 (56,959)
Citation 3

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

16.

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 436 (72,308)
Citation 2

Abstract:

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Interest Rate Models, Short Rate, Trees, Derivatives

17.

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 238 (140,738)
Citation 3

Abstract:

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options, implied volatility movements, neural networks, deep learning

18.

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 220 (151,859)

Abstract:

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

19.

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 194 (170,741)

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20.

Deep Hedging of Derivatives Using Reinforcement Learning

Number of pages: 21 Posted: 27 Jan 2020 Last Revised: 31 Jul 2020
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 162 (199,995)

Abstract:

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Deep hedging, derivatives, reinforcement learning

21.

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 120 (254,109)

Abstract:

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

22.

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 (726,093)

Abstract:

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employee compensation, MSU, RSU, option, valuation

23.

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

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LIBOR, OIS, derivatives, discounting

24.

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

25.

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

26.

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)

27.

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 - School of Economics & Finance

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

28.

Merton's Model, Credit Risk and Volatility Skews

Posted: 28 Apr 2005
John C. Hull, Izzy Nelken and Alan White
University of Toronto - Rotman School of Management, Super Computer Consulting, Inc. and University of Toronto - Rotman School of Management

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Merton's model, credit risk, volatility skews, credit default swap market

29.

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

30.

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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31.

Using Hull-White Interest Rate Trees

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

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