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Working Paper
Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities
Ronn, Ehud I.; Bliss, Robert R. (1997)
Previous studies on interest rate derivatives have been limited by the relatively short history of most traded derivative securities. The prices for callable U.S. Treasury securities, available for the period 1926?95, provide the sole source of evidence concerning the implied volatility of interest rates over this extended period. Using the prices of callable, as well as non-callable, Treasury instruments, this paper estimates implied interest rate volatilities for the past seventy years. Our technique for estimating implied volatilities enables us to address two important issues concerning ...
FRB Atlanta Working Paper , Paper 97-1

Working Paper
Netting, financial contracts, and banks: the economic implications
Johnson, Christian A.; Bergman, William J.; Kaufman, George G.; Bliss, Robert R. (2004)
Derivatives and certain other off-balance sheet contracts enjoy special legal protection on insolvent counterparties through a process referred to as 'close-out netting.' This paper explores the legal status and economic implications of this protection. While this protection benefits major derivatives dealers and derivatives markets, it is less clear that other market participants or markets in general are better or worse off. While we are not able to conclude whether or not these protections are socially optimal, we outline the wide range of issues that a general consideration of the pros ...
Working Paper Series , Paper WP-04-02

Journal Article
New uses for new macro derivatives
Wolfers, Justin (2006)
Economic forecasters often look to the performance of futures markets to help predict such economic developments as movements in the price of oil and other commodities. In addition, relatively new financial market instruments, like TIPS, help policymakers get a handle on the public's inflation expectations. ; In the last few years, derivatives markets involving bets on future economic events have emerged. In October 2002, Goldman Sachs and Deutsche Bank joined forces to form a market in what they call "Economic Derivatives." More recently, other U.S.-based markets have been created for ...
FRBSF Economic Letter

Journal Article
Currency derivatives in internationally diversified investment portfolios
anonymous (1997-10)
Economics Update , Issue Oct , Pages 5

Journal Article
Statement to Congress, June 21, 2000 (S. 2697, the Commodity Futures Modernization Act of 2000)
Greenspan, Alan (2000-08)
Federal Reserve Bulletin , Issue Aug , Pages 579-581

Speech
The longer-term challenges ahead
Dudley, William (2010)
Remarks at the Council of Society Business Economists Annual Dinner, London, United Kingdom.
Speech , Paper 18

Working Paper
Derivatives on volatility: some simple solutions based on observables
Heston, Steven L.; Nandi, Saikat (2000)
Proposals to introduce derivatives whose payouts are explicitly linked to the volatility of an underlying asset have been around for some time. In response to these proposals, a few papers have tried to develop valuation formulae for volatility derivatives?derivatives that essentially help investors hedge the unpredictable volatility risk. This paper contributes to this nascent literature by developing closed-form/analytical formulae for prices of options and futures on volatility as well as volatility swaps. The primary contribution of this paper is that, unlike all other models, our model ...
FRB Atlanta Working Paper , Paper 2000-20

Journal Article
Statement to Congress, June 10, 1998, (issues relating to the application of the Commodity Exchange Act to over-the-counter derivatives transactions).
anonymous (1998-08)
Federal Reserve Bulletin , Issue Aug , Pages 636-639

Working Paper
Dealer polling in the presence of possibly noisy reporting
Berkowitz, Jeremy (1998)
The value of a vast array of financial assets are functions of rates or prices determined in OTC, interbank, or other off-exchange markets. In order to price such derivative assets, underlying rate and price indexes are routinely sampled and estimated. To guard against misreporting, whether unintentional or for market manipulation, many standard contracts utilize a technique known as trimmed-means. This paper points out that this polling problem falls within the statistical framework of robust estimation. Intuitive criteria for choosing among robust valuation procedures are discussed. In ...
Finance and Economics Discussion Series , Paper 1998-33

Journal Article
Statement to Congress, October 1, 1997, (Federal Reserve Board's views on proposed accounting standards for derivatives and risk-management activities issued by FASB)
Phillips, Susan M. (1997-12)
Federal Reserve Bulletin , Issue Dec

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