Hull-White on Derivatives

Preface

Stochastic Volatility

Introduction

The Pricing of Options on Assets with Stochastic Volatitlities

An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility

Hedging the Risks from Writing Foreign Currency Options

Numerical Procedures

Introduction

Valuing Derivative Securities Using the Explicit Finite Difference Method

The Use of the Control Variate Technique in Option Pricing

Efficient Procedures for Valuing European and American Path-dependent Options

Credit Risk

Introduction

Assessing Credit Risk in a Financial Institution’s Off-balance

Sheet Commitments

The Impact of Default Risk on the Valuation of Options and Other Derivative Securities

Term Structure Models: Theory

Introduction

Pricing Interest Rate Derivative Securities

Bond Option Pricing Based on a Model for the Evolution of Bond Prices

The Pricing of Options on Interest Rate Caps and Floors Using the Hull-White Model

Term Structure Models: Implementation

Introduction

Single-factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities

Numerical procedures for Implementing Term Structure Models

Single-Factor Models

Numerical Procedures for Implementing Term Structure Models

Two-Factor Models

Using Hull-White Interest Rate Trees

Index

John Hull is the Maple Financial Group Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto and Director of the Bonham Center for Finance. He is an internationally recognized authority on derivatives. Recently his research has been concerned with credit risk, executive stock options, volatility surfaces, market risk, and interest rate derivatives. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model. He has acted as consultant to many North American, Japanese, and European financial institutions.