Working Paper
Generalized method of moments estimation of Heath-Jarrow-Morton models of interest-rate contingent claims
Cohen, Hugh; Abken, Peter A. (1994)
FRB Atlanta Working Paper , Paper 94-8

Conference Paper
The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods
Abken, Peter A.; Wall, Larry D.; Tallman, Ellis W. (1997)
Proceedings , Paper 555

Working Paper
Discrete option replication with transactions costs: an analysis of hedging errors
Abken, Peter A. (1988)
FRB Atlanta Working Paper , Paper 88-10

Journal Article
Stock market activity in October 1987: the Brady, CFTC, and SEC Reports
Abken, Peter A. (1988-05)
Economic Review , Issue May , Pages 36-43

Journal Article
Corporate pensions and government insurance: deja vu all over again?
Abken, Peter A. (1992-03)
Economic Review , Issue Mar , Pages 1-16

Journal Article
Inflation and the yield curve
Abken, Peter A. (1993-05)
Economic Review , Issue May , Pages 13-31

Journal Article
An introduction to portfolio insurance
Abken, Peter A. (1987-11)
Economic Review , Issue Nov , Pages 2-25

Working Paper
Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options
Madan, Dilip B.; Ramamurtie, Buddhavarapu Sailesh; Abken, Peter A. (1996)
This paper expands and tests the approach of Madan and Milne (1994) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and use the model to price options on Eurodollar futures. Restrictions on the prices of Hermite polynomial risk for contingent claims with different times to maturity are derived. These restrictions are rejected by our empirical tests of a four-parameter model. The unrestricted results indicate skewness and excess kurtosis in the implied risk-neutral density. These characteristics ...
FRB Atlanta Working Paper , Paper 96-5

Journal Article
Over-the-counter financial derivatives: risky business?
Abken, Peter A. (1994-03)
Economic Review , Volume 79 , Issue Mar , Pages 1-22

Journal Article
Interest-rate caps, collars, and floors
Abken, Peter A. (1989-11)
Economic Review , Issue Nov , Pages 2-25