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Alan White (economist)

From Wikipedia, the free encyclopedia

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]

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"[1] 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]

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Transcription

Selected publications

Papers

  • Corporate Governance and Dual Class Equity; with Chris Robinson and John Rumsey; Canadian Journal of Administrative Sciences; forthcoming
  • Using Hull-White Interest Rate Trees; with John Hull; Journal of Derivatives; Issue: Vol.3; 1996; Pages: pp. 26–36
  • A Note on the Models of Hull and White for Pricing Options on the Term Structure: Response; with John Hull; Journal of Fixed Income; Issue: Vol.5; 1995; Pages: pp. 97–102
  • The Impact of Default Risk on the Prices of Options and other Derivative Securities; Journal of Banking and Finance; Issue: June; 1995; Pages: pp. 299–322

Books

  • Hull-White on Derivatives with John Hull; London: Risk Publications; 1996

References

  1. ^ a b c d "Bio". utoronto.ca. Retrieved December 9, 2017.
  2. ^ a b "Alan White". Retrieved December 9, 2017.
  3. ^ "Papers". ssrn.com. Retrieved December 9, 2017.



This page was last edited on 30 August 2023, at 12:43
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