John C. Hull

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

30

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Top 1,120

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23,294

SSRN RANKINGS

Top 1,468

in Total Papers Citations

384

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Scholarly Papers (30)

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 3,059 (3,439)

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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 2,379 (5,252)

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Derivatives, FVA, Fair Value

3.

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 2,311 (5,526)

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4.

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 2,099 (6,465)

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

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 1,962 (7,287)

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LIBOR, OIS, Derivatives, Discounting

6.

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 1,915 (7,589)

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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

7.

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 1,737 (8,925)

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

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 1,307 (14,125)

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Credit derivatives, correlation, structural model, CDO, valuation

9.

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 1,100 (18,381)

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10.

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 1,034 (20,181)

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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 820 (28,349)

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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 757 (31,512)

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Derivatives, Changes, Trading, Clearing, Collateral

13.
Downloads 745 ( 32,179)

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 745 (31,692)

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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
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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 669 (37,272)

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

15.

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 425 (66,409)

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Interest Rate Models, Short Rate, Trees, Derivatives

16.

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 371 (77,979)

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

17.

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 204 (146,472)

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

18.

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 Smith School of Business
Downloads 188 (157,963)

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19.

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 107 (248,870)

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

20.

A Neural Network Approach to Understanding Implied Volatility Movements

Number of pages: 23 Posted: 12 Dec 2018 Last Revised: 23 Jan 2019
Jay Cao, Jacky Chen and John C. Hull
University of Toronto, University of Toronto and University of Toronto - Rotman School of Management
Downloads 105 (252,166)

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options, implied volatility movements, neural networks, deep learning

21.

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 (657,000)

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employee compensation, MSU, RSU, option, valuation

22.

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

23.

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

24.

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

25.

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)

26.

Volatility Surfaces: Theory, Rules of Thumb and Empirical Evidence

Posted: 12 Dec 2009
Wulin Suo, John C. Hull and Toby C. Daglish
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

27.

Merton's Model, Credit Risk and Volatility Skews

Journal of Credit Risk, Vol. 1, No. 1, pp. 3-28, Winter 2004/05
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

28.

How to Value Employee Stock Options

Financial Analysts Journal, Vol. 60, No. 1, pp. 114-119, January/February 2004
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

29.

The General Hull-White Model and Supercalibration

Financial Analysts Journal, Vol. 57, No. 6, November/December 2001
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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30.

Using Hull-White Interest Rate Trees

J. OF DERIVATIVES, Spring 1996
Posted: 03 May 2000
John C. Hull
University of Toronto - Rotman School of Management

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