Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 34, issue 12, 2014

Monte Carlo Simulation of the CGMY Process and Option Pricing pp. 1095-1121

Laura Ballotta and Ioannis Kyriakou

Deviations from Put–Call Parity and Volatility Prediction: Evidence from the Taiwan Index Option Market pp. 1122-1145

Chin‐Ho Chen, Huimin Chung and Shu‐Fang Yuan

Stochastic Skew in the Interest Rate Cap Market pp. 1146-1169

Kwai S. Leung, Hon Y. Ng and Hoi Y. Wong

Pricing Bounds on Barrier Options pp. 1170-1184

Yukihiro Tsuzuki

A Stochastic Dynamic Program for Valuing Options on Futures pp. 1185-1201

Mohamed A. Ayadi, Hatem Ben‐Ameur, Tymur Kirillov and Robert Welch

Volume 34, issue 11, 2014

Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing pp. 1003-1039

Andrew Caminschi and Richard Heaney

High Moment Variations and Their Application pp. 1040-1061

Geon Ho Choe and Kyungsub Lee

The Pattern of Price Linkages Among Commodities pp. 1062-1076

Jeffrey Dorfman and Berna Karali

Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter? pp. 1077-1094

I‐Ming Jiang, Jui‐Cheng Hung and Chuan‐San Wang

Volume 34, issue 10, 2014

Noisy Inventory Announcements and Energy Prices pp. 911-933

Marketa W. Halova, Alexander Kurov and Oleg Kucher

Volatility Discovery Across Stock Limit Order Book and Options Markets pp. 934-956

Qin Wang

Pricing Vulnerable Options with Correlated Credit Risk Under Jump‐Diffusion Processes pp. 957-979

Lihui Tian, Guanying Wang, Xingchun Wang and Yongjin Wang

S&P 500 Index‐Futures Price Jumps and Macroeconomic News pp. 980-1001

Hong Miao, Sanjay Ramchander and J. Kenton Zumwalt

Volume 34, issue 9, 2014

Multiscale Stochastic Volatility with the Hull–White Rate of Interest pp. 819-837

Jeong‐Hoon Kim, Ji‐Hun Yoon and Seok‐Hyon Yu

Do Option Strategy Traders Have a Disadvantage? Evidence from the Australian Options Market pp. 838-852

Anthony Flint, Andrew Lepone and Jin Young Yang

Price Discovery in Futures and Options Markets pp. 853-867

Naomi Boyd and Peter Locke

Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches pp. 868-882

Caihong Xu

Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions pp. 883-910

Yun‐Yi Wang

Volume 34, issue 8, 2014

Editor's Note pp. 703-703

Robert I. Webb

Hedging Industrial Metals With Stochastic Volatility Models pp. 704-730

Qingfu Liu, Michael T. Chng and Dongxia Xu

Trading Patience, Order Flows, and Liquidity in an Index Futures Market pp. 731-756

Caihong Xu

Causes and Implications of Shifts in Financial Participation in Commodity Markets pp. 757-787

Bassam Fattouh and Lavan Mahadeva

The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components pp. 788-806

Biao Guo, Qian Han and Bin Zhao

Commonality in Liquidity Across International Borders: Evidence from Futures Markets pp. 807-818

Alex Frino, Vito Mollica and Zeyang Zhou

Volume 34, issue 7, 2014

The Predictive Content of Commodity Futures pp. 607-636

Menzie Chinn and Olivier Coibion

Options on Troubled Stock pp. 637-657

António Câmara, Ivilina Popova and Betty Simkins

A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio pp. 658-675

Massimiliano Barbi and Silvia Romagnoli

Incremental Value of a Futures Hedge Using Realized Ranges pp. 676-689

Her‐Jiun Sheu and Yu‐Sheng Lai

Static Hedging with Traffic Light Options pp. 690-702

Michael Schmutz and Thomas Zürcher

Volume 34, issue 6, 2014

Editor's Note pp. 497-497

Robert I. Webb

Option‐Implied Preference with Model Uncertainty pp. 498-515

Byung Jin Kang, Tong Suk Kim and Hyo Seob Lee

How Informed Investors Take Advantage of Negative Information in Options and Stock Markets pp. 516-547

Jangkoo Kang and Hyoung‐Jin Park

Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit pp. 548-579

José Da Fonseca and Riadh Zaatour

A Random Field LIBOR Market Model pp. 580-606

Tao L. Wu and Shengqiang Xu

Volume 34, issue 5, 2014

Exercise to Lose Money? Irrational Exercise Behavior from the Chinese Warrants Market pp. 399-419

Li Liao, Zhisheng Li, Weiqiang Zhang and Ning Zhu

Do Seasonal Tropical Storm Forecasts Affect Crack Spread Prices? pp. 420-433

Jason Fink and Kristin Fink

Municipal Bonds and Monetary Policy: Evidence from the Fed Funds Futures Market pp. 434-450

Carlo Rosa

Option Valuation Under a Double Regime‐Switching Model pp. 451-478

Yang Shen, Kun Fan and Tak Kuen Siu

A Filtering Process to Remove the Stochastic Component from Intraday Seasonal Volatility pp. 479-495

Jang Hyung Cho and Robert T. Daigler

Volume 34, issue 4, 2014

Closing Call Auctions at the Index Futures Market pp. 299-319

Björn Hagströmer and Lars Nordén

Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options pp. 320-345

Jamie Alcock and Godfrey Smith

Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations pp. 346-373

Jukka Sihvonen and Sami Vähämaa

Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach pp. 374-398

Enrique Salvador and Vicent Aragó

Volume 34, issue 3, 2014

Price Discovery in Interrelated Markets pp. 203-219

Donald Lien and Keshab Shrestha

Recursive Formula for Arithmetic Asian Option Prices pp. 220-234

Kyungsub Lee

A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis pp. 235-260

Adam Schmitz, Zhiguang Wang and Jung‐Han Kimn

The Return‐Implied Volatility Relation for Commodity ETFs pp. 261-281

Chaiyuth Padungsaksawasdi and Robert T. Daigler

Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach pp. 282-297

Shiqing Xie and Taiping Mo

Volume 34, issue 2, 2014

The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts pp. 103-123

David Ding, Yiuman Tse and Michael R. Williams

Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models pp. 124-144

Jacinto Marabel Romo

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures pp. 145-172

Junmao Chiu, Huimin Chung and George H. K. Wang

Optimal Futures Hedging Under Multichain Markov Regime Switching pp. 173-202

Her‐Jiun Sheu and Hsiang‐Tai Lee

Volume 34, issue 1, 2014

Pricing Multiasset Cross‐Currency Options pp. 1-19

Kenichiro Shiraya and Akihiko Takahashi

The Impact of Co‐Location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity pp. 20-33

Alex Frino, Vito Mollica and Robert I. Webb

Aggregate Volatility and Market Jump Risk: An Option‐Based Explanation to Size and Value Premia pp. 34-55

Yakup Arisoy

The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints pp. 56-73

Christine Brown, Astrophel Kim Choo and Sean Pinder

Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX pp. 74-92

Robert T. Daigler, Ann Marie Hibbert and Ivelina Pavlova

The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks pp. 93-101

Lin Gao and Lu Liu