John Hull Quotes

Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as far as the pricing is concerned if you get the average volatility right. It makes a big difference as far as hedging is concerned.

We test everything on a one- and a three-year cycle. And you want to stress-test a model, and the three-year test usually does that because you have a growth and value bias. You have different interest rate environments.

The big question is: When will the term structure of interest rates change? That's the question to be worried about.

With interest rates rising, gold doesn't pay an interest rate, but every other currency - it becomes not only less important to hold gold as an alternative, but more expensive to hold it as an insurance policy and so that will be a burden on the price of gold.

We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize.

My principal contribution to the Black-Scholes option-pricing theory was to show that the dynamic trading strategy prescribed by Black and Scholes to offset the risk exposure of an option would provide a perfect hedge in the limit of continuous trading.

There are challenges in terms of the measurement of VAR for what are known as nonlinear derivatives, where things like gamma and vega are important dimensions of the risk.

I have a quantitative background, but really, derivatives appealed to me because they require so much creativity.

The options and futures traded on exchanges are derivatives contracts.

In an ideal world, one populated by vegetarians and Esperanto speakers, derivatives would be used for one thing only: reducing levels of risk. The list of individual traders who have lost more than a billion dollars at a time betting on derivatives is not short.

For a long time, the film business was a single-digit business on investment return. Now, because of home video, it's a low double-digit business, and the studios want to make sure it doesn't go back into the single-digit business.

A banker who is allowed to borrow money at X and loan it out at X plus Y will just go crazy and do too much of it if the civilization doesn't have rules that prevent it.

Risk models are a substitute for historical knowledge, because they tend to work with just three years' worth of data. But three years is not a long time in financial history.

If you're a wounded company, the other companies that have been around for a hundred years will smell it, and they will take advantage of you in a heartbeat. It takes a long time to get back in fighting form.

Well, it's taken a long time to get the Department of Homeland Security established. It's taken a long time for the Congress to decide how much it wanted to fund.

Big data has been used by human beings for a long time - just in bricks-and-mortar applications. Insurance and standardized tests are both examples of big data from before the Internet.

The real challenge was to model all the interest rates simultaneously, so you could value something that depended not only on the three-month interest rate, but on other interest rates as well.

The farmers in Kansas are sorely in need of a credit system meeting their special requirements, that they may more readily obtain money on short or long time for their farming operations, or that they may become owners of farms.

The trade of banks is the buying and selling of interest and exchange.

I played golf for 25 years before I made a hole-in-one of any kind. I was on the tour for years before it finally happened. Eventually I made 23, but boy, that first one was a long time coming. It was the price I paid for not shooting at every flag.

The problem with interest rates are that you are not modeling a single number, you are modeling a whole term structure, so it is a sort of different type of problem.

Fannie Mae has never publicly disclosed how much money it could lose if interest rates rose 1.5 percentage points in a very short period of time.

A week is a long time in politics.

We were doing the dance routine and I dislocated my knee. I've been doing stunts for a long time and it's kind of weird that I'd dislocate my knee just dancing.

The special sphere of finance within economics is the study of allocation and deployment of economic resources, both spatially and across time, in an uncertain environment. To capture the influence and interaction of time and uncertainty effectively requires sophisticated mathematical and computational tools.