__NOTOC__
Alan D. White is a
University of Toronto finance professor, a specialist in
financial engineering
Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathe ...
, best known for the
Hull-White interest rate model and associated
numerical procedures, authored with
John Hull.
He is the Peter L. Mitchelson/SIT Investment Associates Foundation Chair in Investment Strategy and Professor of Finance at the
Rotman School of Management
The Joseph L. Rotman School of Management (commonly known as the Rotman School of Management, the Rotman School or just Rotman) is the University of Toronto's graduate business school, located in Downtown Toronto. The University of Toronto has be ...
. He is the associate editor of ''
Journal of Financial and Quantitative Analysis'' and the ''
Journal of Derivatives''. Previously, he was
assistant professor
Assistant Professor is an academic rank just below the rank of an associate professor used in universities or colleges, mainly in the United States and Canada.
Overview
This position is generally taken after earning a doctoral degree and general ...
at
York University.
His highest cited paper is ''The pricing of options on assets with stochastic volatilities'' at 4900 citations, according to Google Scholar.
His research is in the areas of
executive stock options, the rating of
structured finance products and in best practice risk management approaches.
With John Hull, he has made "seminal contribution
to the literature on
stochastic volatility models, and
credit derivative
In finance, a credit derivative refers to any one of "various instruments and techniques designed to separate and then transfer the ''credit risk''"The Economist ''Passing on the risks'' 2 November 1996 or the risk of an event of default of a corp ...
models. He is the co-author of ''Hull-White On Derivatives'' ().
He holds a
PhD Finance (
University of Toronto 1983),
MBA (
McMaster University) and
BEng
A Bachelor of Engineering (BEng) or a Bachelor of Science in Engineering (BSE) is an academic undergraduate degree awarded to a student after three to five years of studying engineering at an accredited college or university.
In the UK, a Ba ...
(
McGill University).
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
University of Toronto alumni
Year of birth missing (living people)
Living people
Financial economists
University of Toronto faculty
McGill University Faculty of Education alumni
McMaster University alumni
Canadian economists
{{Canada-economist-stub