Search Results

Showing results 1 to 10 of approximately 26.

(refine search)
Author:Abken, Peter A. 

Journal Article
Using Eurodollar futures options: gauging the market's view of interest rate movements

Investors and analysts frequently use financial market prices in their attempts to divine market expectations--a difficult exercise because of the myriad influences on financial market prices. This article focuses on shifts in market outlook regarding the direction of interest rate movements since 1988 as well as market reaction to specific events influencing interest rate changes in the short run--namely, Federal Reserve monetary policy and its periodic Federal Open Market Committee meetings. ; The discussion examines the Eurodollar futures options traded at the Chicago Mercantile Exchange ...
Economic Review , Volume 80 , Issue Mar , Pages 10-30

Journal Article
Options and volatility

Because volatility of the underlying asset price is a critical factor affecting option prices and hedge ratios, the modeling of volatility and its dynamics is of vital interest to traders, investors, and risk managers. This modeling is a difficult task because the path of volatility during the life of an option is highly unpredictable. There has been a proliferation of volatility specifications since the original, simple constant-volatility assumption of the famous Black and Scholes option pricing model. This article gives an overview of different specifications of asset price volatility that ...
Economic Review , Volume 81 , Issue Dec , Pages 21-35

Journal Article
Globalization of stock, futures, and options markets

Economic Review , Issue Jul , Pages 1-22

Journal Article
Innovations in modeling the term structure of interest rates

Economic Review , Issue Jul , Pages 2-27

Journal Article
Inflation and the yield curve

Economic Review , Issue May , Pages 13-31

Working Paper
Generalized method of moments estimation of Heath-Jarrow-Morton models of interest-rate contingent claims

FRB Atlanta Working Paper , Paper 94-8

Conference Paper
Valuing default-risky interest rate caps: a Monte Carlo approach

Proceedings , Paper 270

Journal Article
The economics of gold price movements

An abstract for this article is not available
Economic Review , Volume 66 , Issue Mar , Pages 3-13

Journal Article
Over-the-counter financial derivatives: risky business?

Economic Review , Volume 79 , Issue Mar , Pages 1-22

Working Paper
Inflation uncertainty and the nominal term structure: a survey

FRB Atlanta Working Paper , Paper 94-7