Journal Article
The role of currency derivatives in internationally diversified portfolios
Shrikhande, Milind M.; Abken, Peter A. (1997-07-03)
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
The economics of gold price movements
Abken, Peter A. (1980-03)
An abstract for this article is not available
Economic Review , Volume 66 , Issue Mar , Pages 3-13

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

Working Paper
A survey and analysis of index-linked certificates of deposit
Abken, Peter A. (1989)
FRB Atlanta Working Paper , Paper 89-1

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

Working Paper
Valuation of default-risky interest-rate swaps
Abken, Peter A. (1991)
FRB Atlanta Working Paper , Paper 91-4

Working Paper
Pricing S&P 500 index options using a Hilbert space basis
Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Buddhavarapu Sailesh (1996)
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

Journal Article
Covered call options: a proposal to ease LDC debt
Feinstein, Steven P.; Abken, Peter A. (1990-03)
Economic Review , Issue Mar , Pages 2-13

Journal Article
Inflation and the yield curve
Abken, Peter A. (1993-05)
Economic Review , Issue May , Pages 13-31

Journal Article
Commercial paper
Abken, Peter A. (1981-03)
An abstract for this article is not available.
Economic Review , Volume 67 , Issue Mar , Pages 11-21