Stock Image

Hull-White on Derivatives

Hull, John; White, Alan

Published by Risk Books
ISBN 10: 1899332456 / ISBN 13: 9781899332458
New / Soft cover / Quantity Available: 1
From Kennys Bookstore (Olney, MD, U.S.A.)
Available From More Booksellers
View all  copies of this book
Add to basket
List Price:
Price: 81.77
Convert Currency
Shipping: 0
Within U.S.A.
Destination, Rates & Speeds

Save for Later

About the Book

Bibliographic Details


Title: Hull-White on Derivatives

Publisher: Risk Books

Binding: Soft cover

Book Condition: New

Description:

This text provides an in-depth look at the impact of stochastic volatility on the pricing and hedging of options. It also examines how trees and lattices provide an alternative to the more complicated implicit finite difference method when valuing derivative instruments. Num Pages: 356 pages, bibliography, index. BIC Classification: KFFL; KFFM; KJMD. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 232 x 157 x 25. Weight in Grams: 742. . 1996. 1st Edition. Paperback. . . . . Books ship from the US and Ireland. Bookseller Inventory # V9781899332458

About this title:

Book ratings provided by GoodReads:
0 avg rating
(0 ratings)

Synopsis: This book brings together classic papers on derivatives theory and implementation written by Professor John Hull and Alan White of the University of Toronto. The authors are two of the derivative industry's leading experts and together created the standard Hull-White model for pricing interest rate options. Professor Hull and White have provided introductions for each of the book's five main sections, clarifying the importance of each chapter to industry practitioners. Parts I and II provide you with a comprehensive treatment of stochastic volatility and its effect on option pricing and hedging, and describe some of the best numerical procedures for valuing derivatives. Part III looks at how to approach a key concern in the derivatives industry today - the assessment and valuation of the credit risk generated by derivatives portfolios. The final two sections offer an expansive treatment of the Hull-White approach to modeling the yield curve and valuing interest rate derivatives. With full explanations of both the theoretical background, and the necessary numerical procedures for implementing one- and two-factor models - essential reading for all those involved in the interest rate markets.

About the Author: John Hull is a professor of finance at the University of Toronto, and has written widely in the area of derivative securities. Recently, his research has focused on the valuation and hedging of interest rate options and on credit risk issues. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on interest rate derivatives. He has acted as consultant to many North American and European financial institutions and has written two successful books: Options, Futures, and Other Derivative Securities and Introduction to Futures and Options Markets. John Hull is an Associate Editor of the Journal of Financial & Quantitative Analysis, Journal of Derivatives, Applied Mathematical Finance, Journal of Financial Engineering, Derivates Use, Trading & Regulation and the Review of Derivatives Research. Alan White is a professor of finance at the University of Toronto, and has published many articles on derivatives-related topics in both practitioner and academic journals. His research has included the pricing of derivative securities and their use by financial institutions for risk management. More recently, his research has focused on modelling the term structure of interest rates in a way that is consistent with observed market data. This work has found application with many money-centre banks involved in the trading of interest rate options and other similar securities. Other current research examines the pricing and hedging of credit risk, and the valuation of path-dependent securities such as indexed amortizing interest-rate swaps. Alan White is an Associate Editor of the Journal of Financial & Quantitative Analysis and the Journal of Derivatives.

"About this title" may belong to another edition of this title.

Bookseller & Payment Information

Payment Methods

This bookseller accepts the following methods of payment:

  • American Express
  • MasterCard
  • Visa

[Search this Seller's Books]

[List this Seller's Books]

[Ask Bookseller a Question]

Bookseller: Kennys Bookstore
Address: Olney, MD, U.S.A.

AbeBooks Bookseller Since: 09 October 2009
Bookseller Rating: 5-star rating

Terms of Sale:

We guarantee the condition of every book as it's described on the Abebooks web
sites. If you're dissatisfied with your purchase (Incorrect Book/Not as
Described/Damaged) or if the order hasn't arrived, you're eligible for a refund
within 30 days of the estimated delivery date. For any queries please use the contact seller link or send an email to books@kennys.ie,

Conor Kenny


Shipping Terms:

All books securely packaged. Some books ship from Ireland.


Store Description: We carry a comprehensive range of out of print and rare books.