John C. Hull

Finance · 1989–2017

A researcher in the Science corpus: 19 papers; trusts 21 researchers and is trusted by 28 researchers here, as inferred from the citation graph.

Subfields

• Finance — 58 citations into it; #1,386 of 10,518 by trust here, #903 by citations
• Economics and Econometrics — 20 citations into it; #8,120 of 23,481 by trust here, #8,853 by citations
• Accounting — 13 citations into it; #4,217 of 8,970 by trust here, #2,166 by citations

Whom John C. Hull trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jon Gregory
2. Leif Andersen
3. Jean Paul Laurent
4. David X. Li
5. Alan G. White
6. Jakob Sidenius
7. Edward I. Altman
8. Roberto Blanco Escolar
9. Rama Cont
10. Andrew Ang

Who trusts John C. Hull overall

1. Peter A. Forsyth
2. Samuli Ikonen
3. Donald MacKenzie
4. Lars Stentoft
5. Lisa Borland
6. N. Arora
7. D. Schrager
8. Kabir K. Dutta
9. Scott H. Irwin
10. Carol Alexander

Papers from John C. Hull's perspective

Ordered by how strongly the researchers John C. Hull trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Analyzing rating transitions and rating drift with continuous observations
3. Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings
4. An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps
5. Valuing Credit Default Swaps I: No Counterparty Default Risk
6. The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
7. The Dynamics of the S&P 500 Implied Volatility Surface
8. Stochastic Models of Implied Volatility Surfaces
9. Do Credit Spreads Reflect Stationary Leverage Ratios
10. Basket Default Swaps, Cdos and Factor Copulas

Their papers

• Valuing Credit Default Swaps I (2000) — 343 citations
• Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation (2004) — 578 citations
• Valuing Credit Derivatives Using an Implied Copula Approach (2006) — 170 citations
• Optimal Delta Hedging for Options (2017) — 98 citations
• CVA and Wrong-Way Risk (2012) — 114 citations
• The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010) — 128 citations
• Dynamic Models of Portfolio Credit Risk (2008) — 58 citations
• Volatility surfaces: theory, rules of thumb, and empirical evidence (2007) — 84 citations
• Risk Management And Financial Institutions (2006) — 743 citations
• Merton's model, credit risk and volatility skews (2005) — 212 citations
• Bond Prices, Default Probabilities and Risk Premiums (2005) — 163 citations
• The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004) — 1,152 citations
• How to Value Employee Stock Options (2004) — 157 citations
• Options, futures & other derivatives (2003) — 415 citations
• A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model (2002) — 122 citations
• The General Hull–White Model and Supercalibration (2001) — 73 citations
• Fundamentals of Futures and Options Markets (2001) — 328 citations
• Forward Rate Volatilities, Swap Rate Volatilities, and the Implementation of the Libor Market Model (2000) — 145 citations
• Options, Futures, and Other Derivatives (1989)