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Incorporating volatility updating into the historical simulation method for value-at-risk
Hull, John; White, Alan - In: Innovations in risk management : seminal papers from …, (pp. 35-53). 2004
Persistent link: https://www.econbiz.de/10002600212
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A methodology for assessing model risk and its application to the implied volatility function model
Hull, John; Suo, Wulin - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 2, pp. 297-318
Persistent link: https://www.econbiz.de/10001690149
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Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
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A methodology for assessing model risk and its application to the implied volatility function model
Hull, John (contributor); Suo, Wulin (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001681228
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A neural network approach to understanding implied volatility movements
Cao, Jay; Chen, Jacky; Hull, John - In: Quantitative finance 20 (2020) 9, pp. 1405-1413
Persistent link: https://www.econbiz.de/10012295608
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Optimal delta hedging for options
Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
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A neural network approach to understanding implied volatility movements
Cao, Jay; Chen, Jacky; Hull, John - In: Options - 45 years since the publication of the …, (pp. 235-256). 2023
Persistent link: https://www.econbiz.de/10014366653
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Variational autoencoders : a hands-off approach to volatility
Bergeron, Maxime; Fung, Nicholas; Hull, John; Poulos, Zissis - In: The journal of financial data science 4 (2022) 2, pp. 125-138
Persistent link: https://www.econbiz.de/10014232748