John C. Hull
10th Most Prolific Credit Author in DefaultRisk.com
5th Most Popular Author in DefaultRisk.com
Financial Engineer of the Year for 1999
University of Toronto -- Finance Group
Director, Bonham Center for Finance and
Maple Financial Group Chair in Derivatives and Risk Management
Rotman School of Management
105 St. George St.
Toronto, Ontario
M5S 3E6
Canada
- Cranfield University, Ph. D. (Finance) (1976)
- His most popular books include "Options, Futures, and Other Derivatives" (now in its seventh edition) and "Fundamentals of Futures and Options Markets" (now in its sixth edition). Both books (published by Prentice Hall) have been translated into several languages and are widely used in trading rooms throughout the world.
- Financial risk management, credit risk and valuation of defaultable securities, valuation and hedging of derivative securities, term structure of interest rate modeling, financial innovation and security design.
| Contact: | | Email address secured by Enkoder. |
| Phone | +1 (416) 978-8615 |
| Fax | +1 (416) 971-3048 |
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Publications: that are posted on DefaultRisk.com
Credit Pricing
Bond Prices, Default Probabilities and Risk Premiums
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(136K PDF) -- 11 pages -- September 2004
Hull, John and Alan White, "The Impact of Default Risk on the Prices of Options and Other Derivative Securities", Journal of Banking & Finance, Vol. 19, No. 2, (May 1995), pp. 299-322. [Abstract]
Credit Modeling
Dynamic Models of Portfolio Credit Risk: A simplified approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(394K PDF) -- 43 page -- November 2007
Merton's Model, Credit Risk, and Volatility Skews
by John Hull of the University of Toronto,
Izzy Nelken of Super Computer Consulting Incorporated, and
Alan White of the University of Toronto
(333K PDF) -- 38 pages -- September 2004
Credit Derivatives
The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(243K PDF) -- 38 pages -- January 2004
The Valuation of Credit Default Swap Options
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(209K PDF) -- 28 pages -- January 2003
Valuing Credit Default Swaps I: No Counterparty Default Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(368K PDF) -- 35 pages -- April 2000
Collateralized Debt Obligations
An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(1,056K PDF) -- 38 pages -- June 2008
Forwards and European Options on CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(67K PDF) -- 17 pages -- March 2007
Valuing Credit Derivatives Using an Implied Copula Approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(431K PDF) –- 41 pages -- November 2006
The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
by John Hull of the University of Toronto,
Mirela Predescu of the Oxford University, and
Alan White of the University of Toronto
(208K PDF) –- 36 pages -- November 2006
Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(287K PDF) -- 40 pages -- September 2004
Credit Correlation
Valuing Credit Default Swaps II: Modeling Default Correlations
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(308K PDF) -- 26 pages -- April 2000
Other Credit Papers
Hull, John, "Assessing Credit Risk in a Financial Institution's Off-Balance Sheet Commitments", Journal of Financial and Quantitative Analysis, Vol. 24, No. 4, (December 1989), pp. 489-501. [Abstract]
Related Papers
Hull, John and Alan White, "Numerical procedures for implementing term structure models II: Two-Factor Models", Journal of Derivatives, Vol. 2, No. 2, (Winter 1994), pp. 37-49. [Abstract]
Hull, John and Alan White, "Numerical procedures for implementing term structure models I: Single-Factor Models", Journal of Derivatives, Vol. 2, No. 1, (Fall 1993), pp. 7-16. [Abstract]
Hull, John and Alan White, "Pricing Interest-Rate-Derivative Securities", Review of Financial Studies, Vol. 3, No. 4, (Winter 1990), pp. 573-592. [Abstract]
Books:
 | Options, Futures and Other Derivatives, 7th Edition, with CD-ROM
by John C. Hull,
Prentice Hall, (May 2008), Hardcover, 744 pages |
 | Fundamentals of Futures and Options Markets, 6th Edition
by John C. Hull
Prentice Hall College Div, (June 1, 2007), Hardcover, 540 pages |
 | Risk Management and Financial Institutions
by John C. Hull,
Prentice Hall, (May 31, 2006), Hardcover, 528 pages |
 | Hull-White on Derivatives
by John Hull and Alan White,
Risk Books, (June 1, 1996), Paperback, 365 pages |
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