… Hobson and Rogers consider one simple form in detail in their paper. They show that even
a simple version of the offset function, with m = 1, can give option prices that when substituted …

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 …

Scenario simulation was proposed by Jamshidian and Zhu (1997) as a method to separate
computationally intensive portfolio revaluations from the simulation step in VaR by Monte …

… ABKEN AND MILIND M. SHRIKHANDE Abkeri is a senior economist in the financial
section of the Atlanta F ea’s research department. Shrihhanrle is an assistant professor …

Since their introduction over a decade ago, swaps have become an important tool for
financial risk management. Generally, swaps alter the cash flows from assets or liabilities into …

… Abken is an Economist with the Federal Reserve Bank of Atlanta. … Abken, PA (1987a): “Three
Empirical Studies of Risk Premia in Commodity Futures," unpublished Ph.D. thesis, Brown …

The globalization of financial markets fragments traditional financial transactions marketplaces
and integrates them via electronic means. Physical marketplaces (the trading floors) are …

… Abken 1990). Thus, real rates anywhere along the maturity speetrum are interrelated via the
expectations mechanism. However, the term structure of real interest rates is only indirectly …

… Abken 1993). The purchase of fed funds is equivalent to an unsecured loan, and thus the
fed funds rate also includes a component for credit risk. Similarly, three-month LIBOR also …

The current structure of OTC derivatives markets and the various types of risk, including
systemic risk, present in these markets are discussed. Internal controls and audit procedures at …