John C. Hull
Bio
John Hull is the Maple Financial Professor of Derivatives and Risk Management and Academic Director, Rotman Financial Innovation Hub at Rotman. His research has an applied focus and is concerned with risk management, bank regulation, valuation of derivatives, and machine learning. He is best known for his books Risk Management and Financial Institutions (now in its 5th. edition), Options, Futures, and Other Derivatives (now in its 10th 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's Master of Financial Risk Management & Master of Finance Programs.
Academic Positions
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2000-Present
Maple Financial Group Chair in Derivatives and Risk Management,
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1990-Present
Professor, Finance, Rotman School of Management, University of Toronto
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1988-1990
Associate Professor, Finance, Faculty of Management, University of Toronto
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1981-1988
Associate Professor, Finance, Faculty of Administrative Studies, York University
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1976-1981
Lecturer (promoted to Senior Lecturer in 1978), Finance and Accounting, Cranfield School of Management
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1973-1976
Lecturer, Quantitative Aspects of Management, Cranfield School of Management, Cranfield, England
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1971-1972
Senior Research Officer, London Graduate School of Business, London, England
Non-Academic Positions
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1969-1971
Corporate Planning Officer, British Shoe Corporation, Leicester, England
Selected Publications - Papers
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Interest Rate Trees: Extensions and Applications
John Hull and Alan White
Quantitative Finance
Issue:Vol 18, No. 7
2018
Pages: 1199-1209
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Optimal Delta Hedging for Options
John Hull and Alan White
Journal of Banking and Finance
Issue:82, Sept
2017
Pages: 180-190
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XVAs: A Gap Between Theory and Practice
John Hull and Alan White
Risk
Issue:May
2016
Pages: 50-52
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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
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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
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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
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Short Rate Joint Measure Models
John Hull, Alexander Sokol, Alan White
Risk
Issue:October
2014
Pages: 59-63
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The Changing Landscape for Derivatives
John Hull
Journal of Financial Engineering
Issue:Vol. 1, No. 3
2014
Pages: 1-8
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The Valuation of Market Leveraged Stock Units
John Hull and Alan White
Journal of Derivatives
Issue:Vol. 21, No. 3
2014
Pages: 85-90
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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
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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
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CCPs: Their Risks and How They Can Be Reduced
John Hull
Journal of Derivatives
Issue:Vol. 20, No. 1
2012
Pages: 26-29
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CVA and Wrong Way Risk
John Hull and Alan White
Financial Analysts Journal
Issue:Vol. 68, No. 5
2012
Pages: 58-69
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Ratings Arbitrage and Structured Products
John Hull and Alan White
Journal of Derivatives
Issue:Vol. 20, No. 1
2012
Pages: 80-86
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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
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OTC Derivatives and Central Clearing: Can All Transactions Be Handled
John Hull
Financial Stability Review
Issue:July
2010
Pages: 71-80
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The Risk of Tranches Created from Residential Mortgages
John Hull and Alan White
Financial Analysts Journal
Issue:66, 5
2010
Pages: 54-67
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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
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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
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Dynamic Models of Portfolio Credit Risk
John Hull and Alan White
Journal of Derivatives
Issue:15, 4
2008
Pages: 9-28
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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
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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
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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
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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
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Accounting for Employee Stock Options
John Hull and Alan White
Journal of Derivatives Accounting
Issue:Vol. 1, No. 1
2004
Pages: 3-9
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How to Value Employee Stock Options
John Hull and Alan White
Financial Analysts Journal
Issue:Vol. 60, No.1
2004
Pages: 114-119
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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
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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
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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
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Valuing Credit Default Swaps
John Hull and Alan White
Journal of Derivatives
Issue:Vol 10, No. 3
2003
Pages: 40-50
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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
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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
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Valuing Credit Default Swaps II: Modeling Default Correlations
John Hull and Alan White
Journal of Derivatives
Issue:Vol. 8 No. 3 (Spring)
2001
Pages: 12-22
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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
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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
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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
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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
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Value at Risk When Daily Changes in Market Variables are not Normally Distributed
John Hull and Alan White
Journal of Derivatives (Spring)
Issue:Vol. 5, No. 3
1998
Pages: 9-19
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Using Hull-White Interest Rate Trees
John Hull and Alan White
Journal of Derivatives (Spring)
Issue:Vol. 3, No. 3
1996
Pages: 26-36
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The Impact of Default Risk on the Prices of Options and Other Derivative Securities
John Hull and Alan White
Journal of Banking and Finance
Issue:Vol 19
1995
Pages: 299-322
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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
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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
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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
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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
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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
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Pricing Interest-rate Derivative Securities
John Hull and Alan White
The Review of Financial Studies
Issue:Vol. 3, No. 4
1990
Pages: 573-592
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Valuing Derivative Securities Using the Explicit Finite Difference Method
John Hull and Alan White
Journal of Financial and Quantitative Analysis
Issue:Vol. 25, No. 1 (March)
1990
Pages: 87-99
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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
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An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility
John Hull and Alan White
Advances in Options and Futures Research
Issue:Vol. 3
1988
Pages: 29-61
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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
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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
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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
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Multicurve modeling with trees
John Hull and Alan White
Springer Proceedings in Mathematics and Statistics
Issue:Innovations in Derivatives
2016
Pages: 171-189
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Fundamentals of Futures and Options Markets
John Hull
Prentice Hall
Issue:9th Edition
2016
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Multicurve Modeling with Trees
John Hull and Alan White
in Challenges in Derivatives, edited by Kathrin Glau, Matthias Scherer, and Rudi Zagst, Springer
2016
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Risk Management and Financial Institutions
John Hull
Wiley
Issue:5th Edition
2015
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My Research Philosophy
John Hull
in Eminent Economists-Their Life and Work Philosophies, edited by Michael Szenburg and Lall Ramrattan, Cambridge University Press
2014
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Options, Futures and Other Derivatives
John Hull
Prentice Hall
Issue:10th Edition
2014
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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
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Hull-White on Derivatives
Risk Publications
1996
Featured Work
"Options, Futures, and Other Derivatives," published by Pearson, now in its 10th edition, and widely used by both academics and practitioners.
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
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2018
Senior Research Fellow, Global Risk institute
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2016
Fellowship, Fields Institute
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2016
University Professor, University of Toronto
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2013
Harry M. Markowitz Award for Best Paper, Journal of investment Management
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2013
Canadian Risk manager of the Year Award, PRMIA
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2013
Outstanding contribution to RiskMinds, ICBI
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2010
Graham and Dodd Scroll Award, Financial Analysts Journal
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2010
Harry Markowitz Special Distinction Award, Journal of Investment Management
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2010
Lifetime Achievement Award, Risk magazine
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2010
Higher Standard Award, PRMIA
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2009
Elected to Fixed Income Hall of Fame, FIASI
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2008
History Makers Award, PRMIA
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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,
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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,
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2002
Winner of the University of Toronto's Northrop Frye Award for successfully linking teaching and research,
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2001
Appointed Chairman of Moodys Academic Advisory Committee,
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1999
IAFE Financial Engineer of the Year,
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1999
Roger and Nancy Martin Award for Excellence in Teaching, Rotman
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1999
Best Second Year Teacher Award, Rotman
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1996
Outstanding Teacher Award, Rotman
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1989
(With Alan White) Nikko-LOR Research Competition,
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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
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2010 to present
Financial Services Advisory Board, Rotman
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2007-present
Co-director, Master of Finance Program, Rotman
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2013
Member of Subcommittee on Costs of regulation, bank for international settlements
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2001-2010
Chairman, Academic & Advisory Research Committee, Moody's
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2015 to present
Co-Director, Master of Financial Risk Management program, Rotman
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2010-2012
Member of Oversight Committee, Global Risk Institute