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Author:Abken, Peter A. 

Journal Article
Globalization of stock, futures, and options markets

Economic Review , Issue Jul , Pages 1-22

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
Beyond plain vanilla: a taxonomy of swaps

Economic Review , Issue Mar , Pages 12-29

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

Proceedings , Paper 555

Journal Article
Innovations in modeling the term structure of interest rates

Economic Review , Issue Jul , Pages 2-27

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

Economic Review , Issue Mar , Pages 1-16

Journal Article
Inflation and the yield curve

Economic Review , Issue May , Pages 13-31

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

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

FRB Atlanta Working Paper , Paper 89-1

Journal Article
An introduction to portfolio insurance

Economic Review , Issue Nov , Pages 2-25