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D-Index & Metrics

Economics and Finance

D-Index
47
Citations
33364
World Ranking
1532
National Ranking
38

Overview

John C. Hull is affiliated with the University of Toronto in Canada. Their recent research contributions primarily focus on financial modeling, volatility forecasting, and reinforcement learning applications in hedging strategies.

Key recent papers include:

  • Variational Autoencoders: A Hands-Off Approach to Volatility (2021, SSRN Electronic Journal)
  • Narrative Monetary Policy Uncertainty (2023, SSRN Electronic Journal)
  • Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning (2022, SSRN Electronic Journal)
  • A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces (2023, SSRN Electronic Journal)
  • Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning (2022, SSRN Electronic Journal)

Their work is frequently published in the SSRN Electronic Journal, where they have contributed to at least nine publications.

Main fields of study encompass Economics, Econometrics and Finance, and Decision Sciences. Within these, their subfields include Finance, Management Science and Operations Research, Electrical and Electronic Engineering, and Economics and Econometrics.

The primary topics of research covered involve:

  • Stochastic processes and financial applications
  • Forecasting Techniques and Applications
  • Stock Market Forecasting Methods
  • Financial Risk and Volatility Modeling
  • Energy Load and Power Forecasting
  • Risk and Portfolio Optimization
  • Advanced Bandit Algorithms Research

Frequent co-authors collaborating with John C. Hull include:

  • Zissis Poulos
  • Yuntao Wu
  • Jun Yuan
  • Jacky Chen
  • Andreas Veneris

Best Publications

  • Options, Futures, and Other Derivatives

    John C. Hull

  • The Pricing of Options on Assets with Stochastic Volatilities

    John Hull;Alan White

  • Pricing Interest-Rate-Derivative Securities

    John Hull;Alan White

  • Options, futures, and other derivative securities

    John C. Hull

  • The relationship between credit default swap spreads, bond yields, and credit rating announcements

    John Hull;Mirela Predescu;Alan White

  • Fundamentals of Futures and Options Markets

    John C. Hull

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

    John C Hull;Alan D White

  • Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation

    John C Hull;Alan D White

  • Valuing Credit Default Swaps I: No Counterparty Default Risk

    John C. Hull;Alan D White

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

    John Hull;Alan White

  • Valuing Credit Default Swaps II: Modeling Default Correlations

    John C Hull;Alan D White

  • Options, futures & other derivatives

    John Hull

  • Valuing Derivative Securities Using the Explicit Finite Difference Method

    John Hull;Alan White

  • The impact of default risk on the prices of options and other derivative securities

    John Hull;Alan White

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

    Mirela Predescu;John C. Hull;Alan White;Alan White

  • INCORPORATING VOLATILITY UPDATING INTO THE HISTORICAL SIMULATION METHOD FOR VALUE AT RISK

    John Hull;Alan White

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

    John C Hull;Alan D White

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

    John C Hull;Alan D White

  • Merton's model, credit risk and volatility skews

    John Hull;Izzy Nelken;Alan White

  • The Use of the Control Variate Technique in Option Pricing

    John Hull;Alan White

Frequent Co-Authors

Alan White
Alan White University of Toronto
Damiano Brigo
Damiano Brigo Imperial College London

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