Search Results

Showing results 1 to 10 of approximately 26.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Abken, Peter A. 

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

FRB Atlanta Working Paper , Paper 94-7

Working Paper
A survey and analysis of index-linked certificates of deposit

FRB Atlanta Working Paper , Paper 89-1

Journal Article
Interest-rate caps, collars, and floors

Economic Review , Issue Nov , Pages 2-25

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
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
An introduction to portfolio insurance

Economic Review , Issue Nov , Pages 2-25

Journal Article
Commercial paper

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

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

Economic Review , Issue Mar , Pages 2-13

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

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

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

Proceedings , Paper 555

PREVIOUS / NEXT