… require frequent valuation of securities portfolios to determine current value and to gauge
portfolios’ sensitivities to market risk factors, including changes in volatility (see Peter A. Abken …

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 …

… PETER A. 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 …

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 …

… Peter A. Abken is an Economist with the Federal Reserve Bank of Atlanta. … Abken, PA (1987b):
“Risk Premia in Heating Oil Futures,” Working Paper 87-6, Federal Reserve Bank of Atlanta …

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

… rate or anticipated movements in this rate translate into changes in longer-term yields (see
Peter A. Abken 1993). The purchase of fed funds is equivalent to an unsecured loan, and thus …

… According to the expectations theory of the term structure, longer-term real interest rates
are averages of current and future expected short—term real interest rates (see Peter A …

The phrase" term structure of interest rates" refers to the relationship between interest rates
on bonds of different maturities. Financial economists have long sought to characterize, and …