Alan White (economist)

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Alan D. White is a University of Toronto finance professor, a specialist in financial engineering, best known for the Hull-White interest rate model and associated numerical procedures, authored with John Hull. [1]

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He is the Peter L. Mitchelson/SIT Investment Associates Foundation Chair in Investment Strategy and Professor of Finance at the Rotman School of Management. He is also the associate editor of Journal of Financial and Quantitative Analysis and the Journal of Derivatives . Previously, he was assistant professor at York University. [1] His highest cited paper is The pricing of options on assets with stochastic volatilities at 4900 citations, according to Google Scholar. [2]

His research is in the areas of executive stock options, the rating of structured finance products and in best practice risk management approaches. [2] [3] With John Hull, he has made "seminal contributions" to the literature on stochastic volatility models, and credit derivative models. He is the co-author of Hull-White On Derivatives ( ISBN   1899332456). [1] He holds a PhD Finance (University of Toronto 1983), MBA (McMaster University) and BEng (McGill University). [1]

Selected publications

Papers

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Related Research Articles

Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade". Its concern is thus the interrelation of financial variables, such as share prices, interest rates and exchange rates, as opposed to those concerning the real economy. It has two main areas of focus: asset pricing and corporate finance; the first being the perspective of providers of capital, i.e. investors, and the second of users of capital. It thus provides the theoretical underpinning for much of finance.

Volatility risk is the risk of a change of price of a portfolio as a result of changes in the volatility of a risk factor. It usually applies to portfolios of derivatives instruments, where the volatility of its underlying is a major influencer of prices.

<span class="mw-page-title-main">Short-rate model</span>

A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written .

In financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively straightforward to translate the mathematical description of the evolution of future interest rates onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model.

John C. Hull is a Professor of Derivatives and Risk Management at the Rotman School of Management at the University of Toronto.

Financial risk management is the practice of protecting economic value in a firm by managing exposure to financial risk - principally operational risk, credit risk and market risk, with more specific variants as listed aside. As for risk management more generally, financial risk management requires identifying the sources of risk, measuring these, and crafting plans to address them. See Finance § Risk management for an overview.

In finance, a bond option is an option to buy or sell a bond at a certain price on or before the option expiry date. These instruments are typically traded OTC.

In financial economics, asset pricing refers to a formal treatment and development of two main pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, but correspondingly, these stem from either general equilibrium asset pricing or rational asset pricing, the latter corresponding to risk neutral pricing.

Financial modeling is the task of building an abstract representation of a real world financial situation. This is a mathematical model designed to represent the performance of a financial asset or portfolio of a business, project, or any other investment.

In mathematical finance, the Black–Derman–Toy model (BDT) is a popular short-rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see Lattice model (finance) § Interest rate derivatives. It is a one-factor model; that is, a single stochastic factor—the short rate—determines the future evolution of all interest rates. It was the first model to combine the mean-reverting behaviour of the short rate with the log-normal distribution, and is still widely used.

<span class="mw-page-title-main">Lattice model (finance)</span> Method for evaluating stock options that divides time into discrete intervals

In finance, a lattice model is a technique applied to the valuation of derivatives, where a discrete time model is required. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at "all" times before and including maturity. A continuous model, on the other hand, such as Black–Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par. The method is also used for valuing certain exotic options, where because of path dependence in the payoff, Monte Carlo methods for option pricing fail to account for optimal decisions to terminate the derivative by early exercise, though methods now exist for solving this problem.

The following outline is provided as an overview of and topical guide to finance:

In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of "three-factor model" as it describes interest rate movements as driven by three sources of market risk. It was the first stochastic mean and stochastic volatility model and it was published in 1994 by Lin Chen, economist, theoretical physicist and former lecturer/professor at Beijing Institute of Technology, Yonsei University of Korea, and Nanyang Tech University of Singapore.

The Rendleman–Bartter model in finance is a short-rate model describing the evolution of interest rates. It is a "one factor model" as it describes interest rate movements as driven by only one source of market risk. It can be used in the valuation of interest rate derivatives. It is a stochastic asset model.

<span class="mw-page-title-main">Option (finance)</span> Right to buy or sell a certain thing at a later date at an agreed price

In finance, an option is a contract which conveys to its owner, the holder, the right, but not the obligation, to buy or sell a specific quantity of an underlying asset or instrument at a specified strike price on or before a specified date, depending on the style of the option. Options are typically acquired by purchase, as a form of compensation, or as part of a complex financial transaction. Thus, they are also a form of asset and have a valuation that may depend on a complex relationship between underlying asset price, time until expiration, market volatility, the risk-free rate of interest, and the strike price of the option. Options may be traded between private parties in over-the-counter (OTC) transactions, or they may be exchange-traded in live, public markets in the form of standardized contracts.

Damiano Brigo is a mathematician known for research in mathematical finance, filtering theory, stochastic analysis with differential geometry, probability theory and statistics, authoring more than 130 research publications and three monographs. From 2012 he serves as full professor with a Chair in mathematical finance at the Department of Mathematics of Imperial College London, where he headed the Mathematical Finance group in 2012-2019. He is also a well known quantitative finance researcher, manager and advisor in the industry. His research has been cited and published also in mainstream industry publications, including Risk Magazine, where he has been the most cited author in the twenty years 1998-2017. He is often requested as a plenary or invited speaker both at academic and industry international events. Brigo's research has also been used in court as support for legal proceedings.

Eduardo Saul Schwartz is a professor of finance at SFU's Beedie School of Business, where he holds the Ryan Beedie Chair in Finance. He is also a Distinguished Research Professor at the University of California, Los Angeles. He is known for pioneering research in several areas of finance, particularly derivatives. His major contributions include: the real options method of pricing investments under uncertainty; the Longstaff–Schwartz model - a multi-factor short-rate model; the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation; the use of Finite difference methods for option pricing.

Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative structuring or pricing, risk management, investment management and other related finance occupations. The occupation is similar to those in industrial mathematics in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns.

<span class="mw-page-title-main">Mathematical finance</span> Application of mathematical and statistical methods in finance

Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets.

References

  1. 1 2 3 4 "Bio". utoronto.ca. Retrieved December 9, 2017.
  2. 1 2 "Alan White" . Retrieved December 9, 2017.
  3. "Papers". ssrn.com. Retrieved December 9, 2017.