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Beyond duration : measuring interest rate exposure

Cohen, Hugh I. - In: Economic review 78 (1993) 2, pp. 23-31

Persistent link: https://www.econbiz.de/10001145804

Isolating the wild card option

Cohen, Hugh I. - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 155-165

Persistent link: https://www.econbiz.de/10001185053

Evaluating embedded options

Cohen, Hugh I. - In: Economic review 76 (1991) 6, pp. 9-16

Persistent link: https://www.econbiz.de/10001116751

The wild card option in T-bond futures is relatively worthless

Cohen, Hugh I. - Federal Reserve Bank of Atlanta - 1991

Persistent link: https://www.econbiz.de/10005721703

Beyond duration: measuring interest rate exposure

Cohen, Hugh - In: Economic Review (1993) Mar, pp. 23-31

Persistent link: https://www.econbiz.de/10005361003

Review essay on Junk Bonds: How High Yield Securities Restructured America by Glenn Yago, 1991

Cohen, Hugh - In: Economic Review (1993) Jul, pp. 28-31

Persistent link: https://www.econbiz.de/10005361006

Evaluating embedded options

Cohen, Hugh - In: Economic Review (1991) Nov, pp. 9-16

Persistent link: https://www.econbiz.de/10005361133

Isolating the Wild Card Option

Cohen, Hugh - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 155-166

Persistent link: https://www.econbiz.de/10008223668

ISOLATING THE WILD CARD OPTION

Cohen, Hugh - In: Mathematical Finance 5 (1995) 2, pp. 155-165

Many embedded options are difficult to value the wild card option in the Treasury bond futures contract is one of these embedded options. We illustrate how narrow theoretical bounds on the value of this option, relative to the price of the contract, may be obtained in the presence of other...

Persistent link: https://www.econbiz.de/10008521969

Towards the systematic measurement of systemic risk

Cohen, Hugh; Roberds, William - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005401885