“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.Quote by John HullTopics: Quotes about John HullShare on:FacebookPinterestWhatsApp
The real challenge was to model all the interest rates simultaneously, so you could value...#John Hull
Briefly speaking, our conclusion is that stochastic volatility does not make a huge difference as...#John Hull
