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Fundamentals of futures and op...
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Derivat
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Hull, John
191
White, Alan
80
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8
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8
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8
Cao, Jay
7
Predescu, Mirela
7
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5
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4
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2
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The journal of derivatives : the official publication of the International Association of Financial Engineers
22
Always learning
9
wi - Wirtschaft
8
Financial analysts' journal : FAJ
7
Journal of financial and quantitative analysis : JFQA
7
Risk : managing risk in the world's financial markets
7
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6
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5
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4
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3
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3
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81
Masterclass - The power law - In the third of a series explaining recent developments in risk management and derivatives pricing, the author considers the power law as a means of estimating the extreme tail of the loss distribution.
Hull, John
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
3
,
pp. 72-75
Persistent link: https://www.econbiz.de/10007719364
Saved in:
82
Dynamic Models of Portfolio Credit Risk: A Simplified Approach
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 9-28
Persistent link: https://www.econbiz.de/10008064533
Saved in:
83
VALUE AT RISK WHEN DAILY CHANGES IN MARKET VARIABLES ARE NOT NORMALLY DISTRIBUTED
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
5
(
1998
)
3
,
pp. 9-19
Persistent link: https://www.econbiz.de/10007359463
Saved in:
84
MASTERCLASS: Defining copulas - Copulas--a function for creating a joint probability distribution for two or more marginal distributions-- have become part of the derivatives pricing mainstream. This article gives a brief explanation of Gaussian, Student-t and multivariate copulas.
Hull, John
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
10
,
pp. 62-65
Persistent link: https://www.econbiz.de/10007377740
Saved in:
85
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/10007177496
Saved in:
86
USING HULL-WHITE INTEREST RATE TREES
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
3
(
1996
)
3
,
pp. 26-36
Persistent link: https://www.econbiz.de/10007316720
Saved in:
87
TAKING RATES TO THE LIMITS - How a combination of normal and lognormal distributions can be used to match both low and high interest rate regimes
Hull, John
;
White, Alan
- In:
Risk : managing risk in the world's financial markets
10
(
1997
)
12
,
pp. 168-169
Persistent link: https://www.econbiz.de/10007066157
Saved in:
88
MASTERCLASS VAR vs expected shortfall - Value-at-risk is often criticised as not presenting a full picture of the risks a company faces. In the second of a series of articles explaining recent developments in risk management and derivatives pricing, the author discusses the limitations of VAR and the relative advantages of an alternative measure, expected shortfall.
Hull, John
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
12
,
pp. 48-49
Persistent link: https://www.econbiz.de/10007393841
Saved in:
89
The valuation of correlation-dependent credit derivatives using a structural model
Hull, John
;
Predescu, Mirela
;
White, Alan
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
3
,
pp. 99-132
Persistent link: https://www.econbiz.de/10009932490
Saved in:
90
An improved implied copula model and its application to the valuation of bespoke CDO tranches
Hull, John
;
White, Alan
- In:
Journal of investment management : JOIM
8
(
2010
)
3
,
pp. 11-31
Persistent link: https://www.econbiz.de/10009910837
Saved in:
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