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Journal Article
The world's newest currency
Monograph
Eurodollars
Journal Article
The Euro-dollar market: some first principles
Newsletter
What is the role of public authorities in retail payment systems?
On June 21?22, 2010, the Chicago Fed and the University of Granada co-sponsored a conference that brought together policymakers, academics and industry practitioners to discuss evolving retail payment systems and the role of public authorities, with several panels focusing on the Single Euro Payments Area.
Working Paper
Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options
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 ...
Journal Article
Eurodollars
An abstract for this article is not available.
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 ...