Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.

Quote by John Hull

Topics: Quotes about John Hull

Share on:

Similar quotes

I think VAR is a very healthy development within the industry.

#John Hull

Alan White and I spent the next two or three years working together on this....

#John Hull

Yes, our tree has an interesting shape. The center branches reflect the shape of the...

#John Hull

The problem with interest rates are that you are not modeling a single number, you...

#John Hull

Our tree is actually a tree of the short-term interest rate. The average direction in...

#John Hull

The HoLee model was the first term structure model. I remember reading their paper soon...

#John Hull

In the interest rate area, traders have for a long time used a version of...

#John Hull

There are challenges in terms of the measurement of VAR for what are known as...

#John Hull

If each of your time steps is one week long, you are not modeling the...

#John Hull