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HullWhite On Derivatives,Used
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This book brings together classic papers on derivatives theory and implementation written by Professor John Hull and Alan White of the University of Toronto. The authors are two of the derivative industry's leading experts and together created the standard HullWhite model for pricing interest rate options. Professor Hull and White have provided introductions for each of the book's five main sections, clarifying the importance of each chapter to industry practitioners. Parts I and II provide you with a comprehensive treatment of stochastic volatility and its effect on option pricing and hedging, and describe some of the best numerical procedures for valuing derivatives. Part III looks at how to approach a key concern in the derivatives industry today the assessment and valuation of the credit risk generated by derivatives portfolios. The final two sections offer an expansive treatment of the HullWhite approach to modeling the yield curve and valuing interest rate derivatives. With full explanations of both the theoretical background, and the necessary numerical procedures for implementing one and twofactor models essential reading for all those involved in the interest rate markets.
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