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Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 29, issue 12, 2009

Editor's note pp. 1101-1101 Downloads
Robert I. Webb
Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange pp. 1102-1129 Downloads
Robin K. Chou and Yun‐Yi Wang
Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth pp. 1130-1160 Downloads
Paul Kofman, David Michayluk and James Moser
Are credit spreads too low or too high? A hybrid barrier option approach for financial distress pp. 1161-1189 Downloads
William Lin and David Sun
The impact of volatility derivatives on S&P500 volatility pp. 1190-1213 Downloads
Paul Dawson and Sotiris K. Staikouras

Volume 29, issue 11, 2009

The performance of traders' rules in options market pp. 999-1020 Downloads
Sol Kim
Model risk adjusted hedge ratios pp. 1021-1049 Downloads
Carol Alexander, Andreas Kaeck and Leonardo M. Nogueira
Liquidity and hedging effectiveness under futures mispricing: International evidence pp. 1050-1066 Downloads
A. Andani, J. A. Lafuente and Alfonso Novales
Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs pp. 1067-1099 Downloads
Hossein Kazemi and Ying Li

Volume 29, issue 10, 2009

Reverse convertible bonds analyzed pp. 895-919 Downloads
Marta Szymanowska, Jenke Ter Horst and Chris Veld
Expiration‐day effects on individual stocks and the overall market: Evidence from Taiwan pp. 920-945 Downloads
Wen‐Liang Gideon Hsieh
A copula‐based regime‐switching GARCH model for optimal futures hedging pp. 946-972 Downloads
Hsiang‐Tai Lee
Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross‐currency Levy processes pp. 973-998 Downloads
Szu‐Lang Liao and Pao‐Peng Hsu

Volume 29, issue 9, 2009

Is volatility risk priced in the KOSPI 200 index options market? pp. 797-825 Downloads
Sun‐Joong Yoon and Suk Joon Byun
Trinomial or binomial: Accelerating American put option price on trees pp. 826-839 Downloads
Jiun Hong Chan, Mark Joshi, Robert Tang and Chao Yang
The value of mortgage prepayment and default options pp. 840-861 Downloads
Yong Chen, Michael Connolly, Wenjin Tang and Tie Su
An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems pp. 862-893 Downloads
Lorella Fatone, Francesca Mariani, Maria Recchioni and Francesco Zirilli

Volume 29, issue 8, 2009

Empirical evidence on the dependence of credit default swaps and equity prices pp. 695-712 Downloads
Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou and Bruno Rémillard
An expanded model for the valuation of employee stock options pp. 713-735 Downloads
Feng‐Yu Liao and Yuh‐Dauh Lyuu
Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry pp. 736-756 Downloads
Mark Bertus, Jonathan Godbey and Jimmy E. Hilliard
Options on normal underlyings with an application to the pricing of survivor swaptions pp. 757-774 Downloads
Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David Blake
A brighter future with lower transactions costs? pp. 775-796 Downloads
Lars Nordén

Volume 29, issue 7, 2009

Option implied cost of equity and its properties pp. 599-629 Downloads
António Câmara, San‐Lin Chung and Yaw‐Huei Wang
Explaining country and cross‐border liquidity commonality in international equity markets pp. 630-652 Downloads
Zheng Zhang, Jun Cai and Yan Leung Cheung
International evidence on alternative models of the term structure of volatilities pp. 653-683 Downloads
Antonio Díaz, Vicente Meneu and Eliseo Navarro
Rolling over stock index futures contracts pp. 684-694 Downloads
Óscar Carchano and Ángel Pardo

Volume 29, issue 6, 2009

Editor's note pp. 495-495 Downloads
Robert I. Webb
The disposition effect and investment performance in the futures market pp. 496-522 Downloads
Hyuk Choe and Yunsung Eom
VIX option pricing pp. 523-543 Downloads
Yueh‐Neng Lin and Chien‐Hung Chang
Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence pp. 544-562 Downloads
Vipul
Derivatives trading, volatility spillover, and regulation: Evidence from the Korean securities markets pp. 563-597 Downloads
Sung C. Bae, Taek Ho Kwon and Jong Won Park

Volume 29, issue 5, 2009

A new scheme for static hedging of European derivatives under stochastic volatility models pp. 397-413 Downloads
Akihiko Takahashi and Akira Yamazaki
Do investors learn about analyst accuracy? A study of the oil futures market pp. 414-429 Downloads
Charles Chang, Hazem Daouk and Albert Wang
Expiration‐day effects—An Asian twist pp. 430-450 Downloads
Joseph K. W. Fung and Haynes H. M. Yung
Analyst forecasts and price discovery in futures markets: The case of natural gas storage pp. 451-477 Downloads
Gerald D. Gay, Betty Simkins and Marian Turac
A generalization of the Barone‐Adesi and Whaley approach for the analytic approximation of American options pp. 478-493 Downloads
Jia‐Hau Guo, Mao‐Wei Hung and Leh‐Chyan So

Volume 29, issue 4, 2009

Risk management with options and futures under liquidity risk pp. 297-318 Downloads
Axel F. A. Adam‐Müller and Argyro Panaretou
Implied deterministic volatility functions: An empirical test for Euribor options pp. 319-347 Downloads
I‐Doun Kuo and Kai‐Li Wang
Is reversal of large stock‐price declines caused by overreaction or information asymmetry: Evidence from stock and option markets pp. 348-376 Downloads
Hyung‐Suk Choi and Narayanan Jayaraman
A new information share measure pp. 377-395 Downloads
Donald Lien and Keshab Shrestha

Volume 29, issue 3, 2009

Cross‐commodity analysis and applications to risk management pp. 197-217 Downloads
Reik Börger, Álvaro Cartea, Rüdiger Kiesel and Gero Schindlmayr
Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited pp. 218-243 Downloads
David G. McMillan and Numan Ülkü
A comparison of alternative approaches for determining the downside risk of hedge fund strategies pp. 244-269 Downloads
Daniel Giamouridis and Ioanna Ntoula
Who knows more about future currency volatility? pp. 270-295 Downloads
Charlie Charoenwong, Nattawut Jenwittayaroje and Buen Sin Low

Volume 29, issue 2, 2009

Estimation of physical intensity models for default risk pp. 95-113 Downloads
Michel Denault, Geneviève Gauthier and Jean‐Guy Simonato
After‐hours trading in equity futures markets pp. 114-136 Downloads
Mardi Dungey, Luba Fakhrutdinova and Charles Goodhart
Do futures lead price discovery in electronic foreign exchange markets? pp. 137-156 Downloads
Juan Cabrera, Tao Wang and Jian Yang
Decimalization, ETFs and futures pricing efficiency pp. 157-178 Downloads
Wei‐Peng Chen, Robin K. Chou and Huimin Chung
On the exit value of a forward contract pp. 179-196 Downloads
Gabriel Power and Calum Turvey

Volume 29, issue 1, 2009

Efficient static replication of European options under exponential Lévy models pp. 1-15 Downloads
Akihiko Takahashi and Akira Yamazaki
The information content of an open limit‐order book pp. 16-41 Downloads
Charles Cao, Oliver Hansch and Xiaoxin Wang
How potent are news reversals?: Evidence from the futures markets pp. 42-73 Downloads
Arjun Chatrath, Rohan A. Christie‐David and Kiseop Lee
Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange pp. 74-93 Downloads
Yu‐Lun Chen and Yin-Feng Gau
Page updated 2020-08-03