Rotman School of Management

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John C. Hull

John C. Hull

Professor of Finance
University Professor
Maple Financial Group Chair in Derivatives and Risk Management
Co-Director, Master of Finance program
Co-Director, Rotman Master of Financial Risk Management program

Degrees:

PhD, Cranfield University
MA, Lancaster University
MA, University of Cambridge
BA, University of Cambridge

Phone:

416-978-8615

Bio

John Hull is the Maple Financial Professor of Derivatives and Risk Management at Rotman. His research has an applied focus and is concerned with risk management, bank regulation, and valuation of derivatives. He is best known for his books Risk Management and Financial Institutions (now in its 4th. edition), Options, Futures, and Other Derivatives (now in its 9th edition), and Fundamentals of Futures and Options Markets (now in its 9th edition). His books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. John is also co-director of the Rotman Master of Financial Risk Management program. 

Academic Positions

  • 2000-Present

    Maple Financial Group Chair in Derivatives and Risk Management,

  • 1990-Present

    Professor, Finance, Rotman School of Management, University of Toronto

  • 1988-1990

    Associate Professor, Finance, Faculty of Management, University of Toronto

  • 1981-1988

    Associate Professor, Finance, Faculty of Administrative Studies, York University

  • 1976-1981

    Lecturer (promoted to Senior Lecturer in 1978), Finance and Accounting, Cranfield School of Management

  • 1973-1976

    Lecturer, Quantitative Aspects of Management, Cranfield School of Management, Cranfield, England

  • 1971-1972

    Senior Research Officer, London Graduate School of Business, London, England

Non-Academic Positions

  • 1969-1971

    Corporate Planning Officer, British Shoe Corporation, Leicester, England

Selected Publications - Papers

  • A Generalized Procedure for Building Trees for the Short Rate and its Application to Determining Market Implied Volatility Functions

    John Hull and Alan White

    Quantitative Finance

    Issue:Vol. 15, No.3

    2015

    Pages: 443-454

  • OIS Discounting, Interest Rate Derivatives and the Modeling of Stochastic Interest Rates

    John Hull and Alan White

    Journal of Investment Management

    Issue:Vol.13, No.1

    2015

    Pages: 64-83

  • Collateral and Credit Issues in Derivatives Pricing

    John Hull and Alan White

    Journal of Credit Risk

    Issue:Vol. 10, No. 3

    2014

    Pages: 3-28

  • Short Rate Joint Measure Models

    John Hull, Alexander Sokol, Alan White

    Risk

    Issue:October

    2014

    Pages: 59-63

  • The Changing Lanscape for Derivatives

    John Hull

    Journal of Financial Engineering

    Issue:Vol. 1, No. 3

    2014

    Pages: 1-8

  • The Valuation of Market Leveraged Stock Units

    John Hull and Alan White

    Journal of Derivatives

    Issue:Vol. 21, No. 3

    2014

    Pages: 85-90

  • Valuing Derivatives: Funding Value Adjustments and Fair Value

    John Hull and Alan White

    Financial Analysts Journal

    Issue:Vol. 70, No. 3

    2014

    Pages: 46-56

  • LIBOR vs OIS: The Derivatives Discounting Dilemma

    John Hull and Alan White

    Journal of Investment Management

    Issue:Vol. 11, No. 3

    2013

    Pages: 14-27

  • CCPs: Their Risks and How They Can Be Reduced

    John Hull

    Journal of Derivatives

    Issue:Vol. 20, No. 1

    2012

    Pages: 26-29

  • CVA and Wrong Way Risk

    John Hull and Alan White

    Financial Analysts Journal

    Issue:Vol. 68, No. 5

    2012

    Pages: 58-69

  • Ratings Arbitrage and Structured Products

    John Hull and Alan White

    Journal of Derivatives

    Issue:Vol. 20, No. 1

    2012

    Pages: 80-86

  • An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches

    John Hull and Alan White

    Journal of Investment Management

    Issue:8, 3

    2010

    Pages: 11-31

  • OTC Derivatives and Central Clearing: Can All Transactions Be Handled

    John Hull

    Financial Stability Review

    Issue:July

    2010

    Pages: 71-80

  • The Risk of Tranches Created from Residential Mortgages

    John Hull and Alan White

    Financial Analysts Journal

    Issue:66, 5

    2010

    Pages: 54-67

  • The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model

    John Hull, Mirela Predescu, and Alan White

    Journal of Credit Risk

    Issue:6, 3

    2010

    Pages: 99-132

  • The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can Be Learned?

    John Hull

    Journal of Credit Risk

    Issue:5, 2

    2009

    Pages: 3-18

  • Dynamic Models of Portfolio Credit Risk

    John Hull and Alan White

    Journal of Derivatives

    Issue:15, 4

    2008

    Pages: 9-28

  • Forwards and European Options on CDO Tranches

    John Hull and Alan White

    Journal of Credit Risk (Summer)

    Issue:Vol 3, No. 2

    2007

    Pages: 63-73

  • Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence

    John Hull, Toby Daglish and Wulin Suo

    Quantitative Finance (October)

    Issue:Vol. 7, No. 5

    2007

    Pages: 507-524

  • Valuing Credit Derivatives Using an Implied Copula Approach

    John Hull and Alan White

    Journal of Derivatives (Winter)

    Issue:Vol. 14, No. 2

    2006

    Pages: 8-28

  • Bond Prices, Default Probabilities, and Risk Premiums

    John Hull, Mirela Predescu and Alan White

    Journal of Credit Risk

    Issue:Vol. 1, No. 2

    2005

    Pages: 53-60

  • Accounting for Employee Stock Options

    John Hull and Alan White

    Journal of Derivatives Accounting

    Issue:Vol. 1, No. 1

    2004

    Pages: 3-9

  • How to Value Employee Stock Options

    John Hull and Alan White

    Financial Analysts Journal

    Issue:Vol. 60, No.1

    2004

    Pages: 114-119

  • Merton's Model, Credit Risk, and Volatility Skews

    John Hull, Izzy Nelken and Alan White

    Journal of Credit Risk

    Issue:Vol. 1, No. 1

    2004

    Pages: 1-27

  • Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

    John Hull, Mirela Predescu and Alan White

    Journal of Banking and Finance

    Issue:Vol. 28

    2004

    Pages: 2789-2811

  • Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation

    John Hull and Alan White

    Journal of Derivatives

    Issue:Vol. 12, No. 2

    2004

    Pages: 8-23

  • Valuing Credit Default Swaps

    John Hull and Alan White

    Journal of Derivatives

    Issue:Vol 10, No. 3

    2003

    Pages: 40-50

  • A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model

    John Hull and Wulin Suo

    Journal of Financial and Quantitative Analysis

    Issue:Vol. 37, No. 2

    2002

    Pages: 297-318

  • One Factor Term Structure Models and SuperCalibration

    John Hull and Alan White

    Financial Analysts Journal

    Issue:Vol. 57, No. 6 (Nov/Dec)

    2001

    Pages: 34-43

  • Valuing Credit Default Swaps II: Modeling Default Correlations

    John Hulln and Alan White

    Journal of Derivatives

    Issue:Vol. 8 No. 3 (Spring)

    2001

    Pages: 12-22

  • Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the LIBOR Market Model

    John Hull and Alan White

    Journal of Fixed Income

    Issue:Vol. 10, No. 3 (September)

    2000

    Pages: 46-62

  • Valuing Credit Default Swaps I: No Counterparty Default Risk

    John Hull and Alan White

    Journal of Derivatives

    Issue:Vol. 8, No. 1

    2000

    Pages: 29-40

  • Valuing Credit Default Swaps I: No Counterparty Default Risk

    John hull and Alan White

    Journal of Derivatives

    Issue:Vol. 8 No. 1 (Fall)

    2000

    Pages: 29-40

  • Incorporating Volatility Updating into the Historical Simulation Method for VaR

    John Hull and Alan White

    Journal of Risk (Fall)

    Issue:Vol. 1, No. 1

    1998

    Pages: 5-19

  • Value at Risk When Daily Changes in Market Variables are not Normally Distributed

    John Hull and White

    Journal of Derivatives (Spring)

    Issue:Vol. 5, No. 3

    1998

    Pages: 9-19

  • Using Hull-White Interest Rate Trees

    John Hull and Alan White

    Journal of Derivatives (Spring)

    Issue:Vol. 3, No. 3

    1996

    Pages: 26-36

  • The Impact of Default Risk on the Prices of Options and Other Derivative Securities

    John Hull and Alan White White

    Journal of Banking and Finance

    Issue:Vol 19

    1995

    Pages: 299-322

  • Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models

    John Hull and Alan White

    Journal of Derivatives (Fall)

    Issue:Fall

    1994

    Pages: 7-16

  • Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models

    John Hull and Alan White

    Journal of Derivatives, (Winter)

    Issue:Winter

    1994

    Pages: 37-48

  • Bond Option Pricing Based on a Model for the Evolution of Bond Prices

    John Hull and Alan White

    Advances in Futures and Options Research

    Issue:Vol. 6

    1993

    Pages: 1-13

  • Efficient Procedures for Valuing European and American Path-dependent Options

    John Hull and Alan White

    Journal of Derivatives (Fall)

    Issue:Vol. 1, No. 1

    1993

    Pages: 21-31

  • One Factor Interest Rate Models and the Valuation of Interest rate Derivative Securities

    John Hull and Alan White

    Journal of Financial and Quantitative Analysis

    Issue:Vol. 28, No. 2, (June)

    1993

    Pages: 235-254

  • Pricing Interest-rate Derivative Securities

    John Hull and Alan White

    The Review of Financial Studies

    Issue:Vol. 3, No. 4

    1990

    Pages: 573-592

  • Valuing Derivative Securities Using the Explicit Finite Difference Method

    John Hull and White

    Journal of Financial and Quantitative Analysis

    Issue:Vol. 25, No. 1 (March)

    1990

    Pages: 87-99

  • Assessing Credit Risk in a Financial Institution's Off-balance Sheet Commitments

    John Hull

    Journal of Financial and Quantitative Analysis

    Issue:Vol. 24, No. 4 (December)

    1989

    Pages: 489-502

  • An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility

    John Hull and White

    Advances in Options and Futures Research

    Issue:Vol. 3

    1988

    Pages: 29-61

  • The Pricing of Options on Assets with Stochastic Volatility

    John hull and White

    Journal of Finance

    Issue:Vol. 42, No. 2

    1987

    Pages: 281-300

Selected Publications - Books and Chapters

  • Credit Derivatives

    John Hull and Alan White

    Chapter 22 in Handbook of Economics and Finance, edited by George Constantinides, Milton Harris, and Rene Stulz, Elsevier

  • Should a Derivatives Dealer Make a Funding Value Adjustment

    John Hull and Alan White

    Chapter 10 in Counterparty Credit Risk edited by Eduardo Canabarro and Michael Pykhtin, Risk Books

  • Fundamentals of Futures and Options Markets

    John Hull

    Prentice Hall

    Issue:9th Edition

    2016

  • Multicurve Modeling with Trees

    John Hull and Alan White

    in Challenges in Derivatives, edited by Kathrin Glau, Matthias Scherer, and Rudi Zagst, Springer

    2016

  • Risk Management and Financial Institutions

    John Hull

    Wiley

    Issue:4th Edition

    2015

  • My Research Philosophy

    John Hull

    in Eminent Economists-Their Life and Work Philosophies, edited by Michael Szenburg and Lall Ramrattan, Cambridge University Press

    2014

  • Options, Futures and Other Derivatives

    John Hull

    Prentice Hall

    Issue:10th Edition

    2014

  • Ratings, Mortgage Securitizations, and the Apparent Creation of Value

    John Hull and Alan White

    Chapter 7 in Rethinking the Financial System, edited by Alan Blinder, Bob Solow, and Andrew Lo, Russell Sage/Century Foundation

    2012

  • Hull-White on Derivatives

    Risk Publications

    1996

Featured Work

 

Research and Teaching Interests

Derivatives, regulation and risk management including market risk, credit risk, credit derivatives, interest rate derivatives, and numerical procedures for valuing derivatives. Author of three popular books on derivatives and risk management.

Honors and Awards

  • 2016

    Fellowship, Fields Institute

  • 2016

    University Professor, University of Toronto

  • 2013

    Harry M. Markowitz Award for Best Paper, Journal of investment Management

  • 2013

    Canadian Risk manager of the Year Award, PRMIA

  • 2013

    Outstanding contribution to RiskMinds, ICBI

  • 2010

    Graham and Dodd Scroll Award, Financial Analysts Journal

  • 2010

    Harry Markowitz Special Distinction Award, Journal of Investment Management

  • 2010

    Lifetime Achievement Award, Risk magazine

  • 2010

    Higher Standard Award, PRMIA

  • 2009

    Elected to Fixed Income Hall of Fame, FIASI

  • 2008

    History Makers Award, PRMIA

  • 2006

    In an industry survey by ICBI voted the academic who has made the most contribution to the derivatives industry over the previous five years,

  • 2002

    Included by the magazine Risk in its Hall of Fame as one of the 50 people who have made a profound contribution to the field of risk management,

  • 2002

    Winner of the University of Toronto's Northrop Frye Award for successfully linking teaching and research,

  • 2001

    Appointed Chairman of Moodys Academic Advisory Committee,

  • 1999

    IAFE Financial Engineer of the Year,

  • 1999

    Roger and Nancy Martin Award for Excellence in Teaching, Rotman

  • 1999

    Best Second Year Teacher Award, Rotman

  • 1996

    Outstanding Teacher Award, Rotman

  • 1989

    (With Alan White) Nikko-LOR Research Competition,

  • 1989

    The GBC Award presented in recognition of outstanding service by a faculty member to the students of the Faculty of Management, Rotman

Academic / Professional Service

  • 2010 to present

    Financial Services Advisory Board, Rotman

  • 2007-present

    Co-director, Master of Finance Program, Rotman

  • 2013

    Member of Subcommittee on Costs of regulation, bank for international settlements

  • 2001-2010

    Chairman, Academic & Advisory Research Committee, Moody's

  • 2015 to present

    Co-Director, Master of Financial Risk Management program, Rotman

  • 2010-2012

    Member of Oversight Committee, Global Risk Institute

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