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 M5S1S4

Canada

  • University of Toronto - Rotman School of Management

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SCHOLARLY PAPERS

24

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231

CROSSREF CITATIONS

272

Scholarly Papers (24)

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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 3,627 (5,480)
Citation 15

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2.

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 3,390 (6,125)
Citation 32

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

3.

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 3,386 (6,140)
Citation 25

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

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 2,694 (8,757)
Citation 44

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LIBOR, OIS, Derivatives, Discounting

5.

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 2,655 (8,942)
Citation 10

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Derivatives, FVA, Fair Value

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 2,592 (9,298)
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

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 2,466 (10,062)
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 1,558 (20,815)
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 1,465 (22,877)
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 1,262 (28,519)
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 1,072 (36,023)
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 1,025 (38,410)
Citation 4

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

13.

Collateral and Credit Issues in Derivatives Pricing

Downloads 958 (42,262)
Citation 17

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 958 (41,626)
Citation 9

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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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Citation 3
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collateral agreements, over-the-counter derivatives transactions, collateral agreements

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: 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 495 (99,671)
Citation 2

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Interest Rate Models, Short Rate, Trees, Derivatives

15.

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 289 (181,989)

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

16.

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 180 (285,464)

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

17.

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 (1,058,163)

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employee compensation, MSU, RSU, option, valuation

18.

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

19.

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

20.

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

21.

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)

22.

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

23.

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

24.

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

Abstract:

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