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

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

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

Conference Paper
Valuing default-risky interest rate caps: a Monte Carlo approach
Abken, Peter A. (1990)
Proceedings , Paper 270

Working Paper
Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options
Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Buddhavarapu Sailesh (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

Working Paper
Pricing S&P 500 index options using a Hilbert space basis
Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Buddhavarapu Sailesh (1996)
This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on S&P 500 index options. Restrictions on the prices of Hermite polynomial risk are imposed that allow all option maturity classes to be used in estimation. These restrictions are rejected by our empirical tests of a four-parameter specification of the model. Nevertheless, the unrestricted four-parameter model, based ...
FRB Atlanta Working Paper , Paper 96-21

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