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Author:Abken, Peter A. 

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

FRB Atlanta Working Paper , Paper 94-8

Working Paper
The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods

This paper develops a model in which information losses may be an important part of the cost of an OTC derivatives dealer's failure. A dealer failure forces solvent counterparties of a failed dealer to seek replacement hedges with other dealers. However, by forcing good firms into the derivatives market, the failure provides camouflage for insolvent firms seeking to speculate with a dealer that does not know their credit status. The paper models this information loss and uses the model to quantitatively evaluate a range of scenarios. The results suggest that a market breakdown is unlikely but ...
FRB Atlanta Working Paper , Paper 96-6

Journal Article
Corporate pensions and government insurance: deja vu all over again?

Economic Review , Issue Mar , Pages 1-16

Working Paper
Pricing S&P 500 index options using a Hilbert space basis

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

Working Paper
Discrete option replication with transactions costs: an analysis of hedging errors

FRB Atlanta Working Paper , Paper 88-10

Journal Article
Innovations in modeling the term structure of interest rates

Economic Review , Issue Jul , Pages 2-27

Working Paper
Valuation of default-risky interest-rate swaps

FRB Atlanta Working Paper , Paper 91-4

Journal Article
Globalization of stock, futures, and options markets

Economic Review , Issue Jul , Pages 1-22

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
Inflation and the yield curve

Economic Review , Issue May , Pages 13-31