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Author:Abken, Peter A. 

Journal Article
The role of currency derivatives in internationally diversified portfolios

Diversification is widely practiced by investors seeking to reduce risk. In recent years investors have been turning to foreign markets to obtain even greater scope for diversification than domestic markets offer. With the internationalization of security portfolios, however, also comes an additional risk-foreign exchange risk. ; The use of currency derivatives in internationally diversified portfolios can help mitigate foreign exchange risk. This article investigates the impact of currency hedging on these portfolios, in particular index portfolios of stocks and bonds from markets in seven ...
Economic Review , Volume 82 , Issue Q 3 , Pages 34-59

Journal Article
Covered call options: a proposal to ease LDC debt

Economic Review , Issue Mar , Pages 2-13

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
Innovations in modeling the term structure of interest rates

Economic Review , Issue Jul , Pages 2-27

Journal Article
Beyond plain vanilla: a taxonomy of swaps

Economic Review , Issue Mar , Pages 12-29

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

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

Proceedings , Paper 555

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
Over-the-counter financial derivatives: risky business?

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

Journal Article
Commercial paper

An abstract for this article is not available.
Economic Review , Volume 67 , Issue Mar , Pages 11-21