Alan White

University of Toronto - Rotman School of Management

Peter L. Mitchelson / SIT Investment Associates Foundation Professor of Investment Strategy

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 1,272

in Total Papers Downloads

17,340

CITATIONS
Rank 1,456

SSRN RANKINGS

Top 1,456

in Total Papers Citations

381

Scholarly Papers (23)

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 2,210 (3,112)
Citation 81

Abstract:

2.

Valuing Derivatives: Funding Value Adjustments and Fair Value

Financial Analysts Journal, Forthcoming, Rotman School of Management Working Paper No. 2245821
Number of pages: 27 Posted: 07 Apr 2013 Last Revised: 26 Mar 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 1,916 (4,509)
Citation 2

Abstract:

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 1,803 (4,856)
Citation 55

Abstract:

4.

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 1,123 (12,324)
Citation 11

Abstract:

Credit derivatives, correlation, structural model, CDO, valuation

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 1,107 (9,040)
Citation 2

Abstract:

LIBOR, OIS, Derivatives, Discounting

6.

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 1,057 (9,117)
Citation 23

Abstract:

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

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 933 (10,270)

Abstract:

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.

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 914 (15,928)
Citation 37

Abstract:

9.
Downloads 617 ( 32,109)
Citation 2

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 617 (31,608)
Citation 2

Abstract:

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 2

Abstract:

collateral agreements, over-the-counter derivatives transactions, collateral agreements

10.

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 565 (31,608)
Citation 3

Abstract:

11.

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 483 (28,621)
Citation 165

Abstract:

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 320 (46,488)

Abstract:

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

13.

Optimal Delta Hedging for Options

Rotman School of Management Working Paper No. 2658343
Number of pages: 34 Posted: 09 Sep 2015 Last Revised: 26 Dec 2016
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 298 (13,756)

Abstract:

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

14.

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: 24 Dec 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 265 (69,720)

Abstract:

Interest Rate Models, Short Rate, Trees, Derivatives

15.

The Valuation of Market-Leveraged Stock Units

Rotman School of Management Working Paper No. 2294785
Number of pages: 17 Posted: 17 Jul 2013 Last Revised: 08 Jan 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 96 (193,304)

Abstract:

employee compensation, MSU, RSU, option, valuation

16.

Multi-Curve Modeling Using Trees

Rotman School of Management Working Paper No. 2601457
Number of pages: 27 Posted: 03 May 2015 Last Revised: 28 Nov 2015
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 73 (157,298)

Abstract:

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

17.

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:

LIBOR, OIS, derivatives, discounting

18.

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

Abstract:

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

19.

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

Abstract:

CDO, implied copula, parameterization, bespokes

20.

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

Abstract:

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

21.

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

Abstract:

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

22.

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

Abstract:

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

23.

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

Abstract: