EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Journal of Futures Markets
2012 - 2013
Edited by Robert I. Webb
from John Wiley & Sons, Ltd.
Access Statistics for this journal.
RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series .
Volume 33, issue 6 , 2013
Editor's Note pp. 493-493 Robert I. Webb A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface pp. 494-517 José DA FONSECA and Katrin Gottschalk The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis pp. 518-554 Tong Suk Kim , Yuen Jung Park and Jaesun Noh Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices pp. 555-572 Ihsan Badshah , Bart Frijns and Alireza Tourani‐Rad Transmigration Across Price Discovery Categories: Evidence from the U.S. CDS and Equity Markets pp. 573-599 Vincent Xiang , Michael Chng and Victor Fang Volume 33, issue 5 , 2013
Who Makes Markets? Liquidity Providers Versus Algorithmic Traders pp. 397-420 Joon Chae , Jaeuk Khil and Eun Jung Lee A Term Structure Model for VIX Futures pp. 421-442 Bujar Huskaj and Marcus Nossman The Intraday and Overnight Behavior of SPY Options and Adjusted Delta Hedging pp. 443-468 David P. Simon Option Pricing Using the Martingale Approach with Polynomial Interpolation pp. 469-491 Ming‐Chieh Wang , Li‐Jhang Huang and Szu‐Lang Liao Volume 33, issue 4 , 2013
Risk Management of Nonstandard Basket Options with Different Underlying Assets pp. 299-326 Georges Dionne , Geneviève Gauthier and Nadia Ouertani Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis pp. 327-342 Donald Lien , Gerui Lim , Li Yang and Chunyang Zhou A Markowitz Optimization of Commodity Futures Portfolios pp. 343-368 Leyuan You and Robert T. Daigler A Forward Monte Carlo Method for American Options Pricing pp. 369-395 Daniel Wei‐Chung Miao and Yung‐Hsin Lee Volume 33, issue 3 , 2013
Valuation Bounds on Barrier Options Under Model Uncertainty pp. 199-234 Yi Hong Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation pp. 235-265 Ihsan Badshah Impact of Liquidity on the Futures‐Cash Basis: Evidence from the Indian Market pp. 266-298 Palani‐Rajan Kadapakkam and Umesh Kumar Volume 33, issue 2 , 2013
Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market pp. 103-128 Xiaoneng Zhu Valuing Seller‐Defaultable Options pp. 129-157 Jin‐Ray Lu , Yi‐Chun Chen , Chih‐Chiang Hwang and Yi‐Chun Ting Multifactor Index Variance: The Case of the SPX 2000 to 2010 pp. 158-182 Thaddeus Neururer and Andrew Kumiega Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options pp. 183-198 Qiang Liu and Shuxin Guo Volume 33, issue 1 , 2013
Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations pp. 1-28 Suk Joon Byun and Byungsun Min A Closer Look at Barrier Exchange Options pp. 29-43 Christine A. Brown , John C. Handley and Ken Palmer Some New Results on When Extra Risk Strictly Increases an Option's Value pp. 44-54 James Huang and Deyuan Zhang Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level pp. 55-76 Owain ap Gwilym and Thanos Verousis A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges pp. 77-102 Eduardo Rossi and Paolo Santucci de Magistris Volume 32, issue 12 , 2012
Editor's Note pp. 1091-1091 Robert I. Webb The Term Structure of VIX pp. 1092-1123 Xingguo Luo and Jin E. Zhang Does International Order Flow Contribute to Price Discovery in Futures Markets? pp. 1124-1143 Alex Frino , Robert I. Webb and Hui Zheng Are Derivative Warrants Overpriced? pp. 1144-1170 Joseph K. W. Fung and Ted Z. X. Zeng Fitting and testing for the implied volatility curve using parametric models pp. 1171-1191 Chuang‐Chang Chang , Pin‐Huang Chou and Tzu‐Hsiang Liao Volume 32, issue 11 , 2012
A cointegrated commodity pricing model pp. 995-1033 Katsushi Nakajima and Kazuhiko Ohashi Lévy betas: Static hedging with index futures pp. 1034-1059 Hoi Ying Wong , Edwin Kwan Hung Cheung and Shiu Fung Wong What risks do corporate bond put features insure against? pp. 1060-1090 Redouane Elkamhi , Jan Ericsson and Hao Wang Volume 32, issue 10 , 2012
Optimal hedging with higher moments pp. 909-944 Chris Brooks , Alešs Černý and Joëlle Miffre Production and hedging under state‐dependent preferences pp. 945-963 Kit Pong Wong Commonality in trading activity and futures‐cash basis: Evidence from the Taiwan futures and stock markets pp. 964-994 Hsiu‐Chuan Lee , Cheng‐Yi Chien and Tzu‐Hsiang Liao Volume 32, issue 9 , 2012
Trader Survival: Evidence from the Energy Futures Markets pp. 809-836 Naomi E. Boyd and Alexander Kurov The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated pp. 837-876 Ted Juhl , Ira G. Kawaller and Paul D. Koch The Quanto Adjustment and the Smile pp. 877-908 Jacinto Marabel Romo Volume 32, issue 8 , 2012
Editor's Note pp. 713-713 Robert I. Webb Liquidity Considerations in Estimating Implied Volatility pp. 714-741 Rohini Grover and Susan Thomas Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model pp. 742-772 Youngsoo Choi , Steven J. Jordan and Soonchan Ok Pricing and Hedging the Smile with SABR : Evidence from the Interest Rate Caps Market pp. 773-791 Tao L. Wu The Information Content of Model‐Free Implied Volatility pp. 792-806 Xin Cheng and Joseph K.W. Fung Volume 32, issue 7 , 2012
Does model fit matter for hedging? Evidence from FTSE 100 options pp. 609-638 Carol O Alexander and Andreas Kaeck Time‐varying jump risk premia in stock index futures returns pp. 639-659 Wing Chan and Liling Feng The impact of a pro‐rata algorithm on liquidity: Evidence from the NYSE LIFFE pp. 660-682 Andrew Lepone and Jin Young Yang Has the introduction of S&P 500 ETF options LED to improvements in price discovery of SPDRs? pp. 683-711 Wei‐Peng Chen and Huimin Chung Volume 32, issue 6 , 2012
A random walk down the options market pp. 505-535 George J. Jiang and Yisong S. Tian Does the price of crude oil respond to macroeconomic news? pp. 536-559 Arjun Chatrath , Hong Miao and Sanjay Ramchander A comparative study of range‐based stock return volatility estimators for the German market pp. 560-586 Neda Todorova and Sven Husmann Variance risk premiums and predictive power of alternative forward variances in the corn market pp. 587-608 Zhiguang Wang , Scott William Fausti and Bashir A. Qasmi Volume 32, issue 5 , 2012
Hedging under model misspecification: All risk factors are equal, but some are more equal than others … pp. 397-430 Nicole Branger , Eva Krautheim , Christian Schlag and Norman Seeger Multivariate downside risk: Normal versus Variance Gamma pp. 431-458 Martin Wallmeier and Martin Diethelm The convenience yield implied in European natural gas hub trading pp. 459-479 Markus Hochradl and Margarethe Rammerstorfer Equity volatility, bond yields, and yield spreads pp. 480-503 Daniel Jubinski and Amy F. Lipton Volume 32, issue 4 , 2012
Types of liquidity and limits to arbitrage—the case of credit default swaps pp. 301-329 Karan Bhanot and Liang Guo Options on federal funds futures and interest rate volatility pp. 330-359 Jahangir Sultan Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market pp. 360-388 Youngsoo Choi and SoonChan Ok A note on the performance of regime switching hedge strategy pp. 389-396 Donald Lien Volume 32, issue 3 , 2012
Regime‐dependent smile‐adjusted delta hedging pp. 203-229 Carol O Alexander , Alexander Rubinov , Markus Kalepky and Stamatis Leontsinis The role of the temporary component in spot prices in the revision of expected future spot prices: Evidence from index futures quotes pp. 230-251 Hyung Cheol Kang , Dong Wook Lee , Eun Jung Lee and Kyung Suh Park The relationship between currency carry trades and U.S. stocks pp. 252-271 Yiuman Tse and Lin Zhao An empirical analysis of dynamic multiscale hedging using wavelet decomposition pp. 272-299 Thomas Conlon and John Cotter Volume 32, issue 2 , 2012
Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China pp. 99-121 Jian Yang , Zihui Yang and Yinggang Zhou Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates pp. 122-151 Aaron Tornell and Chunming Yuan Quantitative impact of correlation errors on basket options with time‐varying correlations pp. 152-165 Amy S.K. Wong An analytical formula for VIX futures and its applications pp. 166-190 Song‐Ping Zhu and Guang‐Hua Lian Comment on “A new simple square root option pricing model” pp. 191-198 Hwa‐Sung Kim , Jangkoo Kang and Jeongwoo Shin Reply to “A comment on “A new simple square root option pricing model”” pp. 199-202 Yaw‐Huei Wang Volume 32, issue 1 , 2012
Are speculators informed? pp. 1-23 Krista Schwarz Causality in the VIX futures market pp. 24-46 Jinghong Shu and Jin E. Zhang Option happiness and liquidity: Is the dynamics of the volatility smirk affected by relative option liquidity? pp. 47-74 Lars Nordén and Caihong Xu On approximating deep in‐the‐money Asian options under exponential Lévy processes pp. 75-91 Leonard Tchuindjo A note on utility‐based futures hedging performance measure pp. 92-97 Donald Lien
EconPapers is hosted by the
Örebro University School of Business.