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
Inflation uncertainty and the nominal term structure: a survey
Abken, Peter A. (1994)
FRB Atlanta Working Paper , Paper 94-7

Journal Article
Globalization of stock, futures, and options markets
Abken, Peter A. (1991-07)
Economic Review , Issue Jul , Pages 1-22

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

Working Paper
Generalized method of moments tests of forward rate processes
Abken, Peter A. (1993)
FRB Atlanta Working Paper , Paper 93-7

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
Beyond plain vanilla: a taxonomy of swaps
Abken, Peter A. (1991-03)
Economic Review , Issue Mar , Pages 12-29

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

Journal Article
Innovations in modeling the term structure of interest rates
Abken, Peter A. (1990-07)
Economic Review , Issue Jul , Pages 2-27