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John C. Hull

Hull

    John C. Hull

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

    Degrees: PhD, Cranfield University
    MA, Lancaster University
    MA, University of Cambridge
    BA, University of Cambridge
    Email: Send an email to John C. Hull
    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

    • 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
    • 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
    • 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
    • The Changing Lanscape for Derivatives; John Hull; Journal of Financial Engineering; Issue: Vol. 1, No. 3; 2014; Pages: 1-8
    • 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
    • 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
    • CVA and Wrong Way Risk; John Hull and Alan White; Financial Analysts Journal; Issue: Vol. 68, No. 5; 2012; Pages: 58-69
    • CCPs: Their Risks and How They Can Be Reduced; John Hull; Journal of Derivatives; Issue: Vol. 20, No. 1; 2012; Pages: 26-29
    • Ratings Arbitrage and Structured Products; John Hull and Alan White; Journal of Derivatives; Issue: Vol. 20, No. 1; 2012; Pages: 80-86
    • 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
    • OTC Derivatives and Central Clearing: Can All Transactions Be Handled; John Hull; Financial Stability Review; Issue: July; 2010; Pages: 71-80
    • 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
    • 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
    • How to Value Employee Stock Options; John Hull and Alan White; Financial Analysts Journal; Issue: Vol. 60, No.1; 2004; Pages: 114-119
    • Accounting for Employee Stock Options; John Hull and Alan White; Journal of Derivatives Accounting; Issue: Vol. 1, No. 1; 2004; Pages: 3-9
    • 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
    • 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
    • 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
    • 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
    • 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
    • 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
    • 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

    • 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
    • Options, Futures and Other Derivatives; John Hull; Prentice Hall; Issue: 10th Edition; 2014
    • My Research Philosophy; John Hull; in Eminent Economists-Their Life and Work Philosophies, edited by Michael Szenburg and Lall Ramrattan, Cambridge University Press; 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
    • 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

    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

    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

    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.  

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