Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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How Different Types of Traders Behave in the Taiwan Futures Market pp. 1097-1117: Hung Chih Li, Chao Hsien Lin, Teng Yuan Cheng and Syouching Lai
Long‐term Futures Curves and Seasonal Structures of Wheat in the European Union and the United States pp. 1118-1142: Sergio Lence, Hervé G. Ott and Chad Hart
A Quasi‐Analytical Pricing Model for Arithmetic Asian Options pp. 1143-1166: Jianqiang Sun, Langnan Chen and Shiyin Li
Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach pp. 1167-1190: Haiqiang Chen, Qian Han, Yingxing Li and Kai Wu
A Note on Exports and Hedging Exchange Rate Risks: The Multi‐Country Case pp. 1191-1196: Kit Pong Wong

Editor's Note pp. 993-993: Robert I. Webb
Dynamic Implied Correlation Modeling and Forecasting in Structured Finance pp. 994-1023: Sebastian Löhr, Olga Mursajew, Daniel Rösch and Harald Scheule
Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets pp. 1024-1045: Joakim Westerlund and Paresh Narayan
Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market pp. 1046-1070: Sobhesh Kumar Agarwalla and Ajay Pandey
Investigating the Information Content of the Model‐Free Volatility Expectation by Monte Carlo Methods pp. 1071-1095: Yuanyuan Zhang, Stephen J. Taylor and Lili Wang

Can the Indicative Price System Mitigate Expiration‐Day Effects? pp. 891-910: J.B. Chay, Sol Kim and Hyeuk‐Sun Ryu
Inflation Derivatives Under Inflation Target Regimes pp. 911-938: Mordecai Avriel, Jens Hilscher and Alon Raviv
Market Reaction to Information Shocks—Does the Bloomberg and Briefing.com Survey Matter? pp. 939-964: Linda H. Chen, George J. Jiang and Qin Wang
Strategic and Tactical Roles of Enhanced Commodity Indices pp. 965-992: Georgios Rallis, Joëlle Miffre and Ana-Maria Fuertes

A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables pp. 795-826: Tian‐Shyr Dai, Chuan‐Ju Wang and Yuh‐Dauh Lyuu
Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM pp. 827-867: Jui‐Jane Chang, Son-Nan Chen and Ting‐Pin Wu
The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio pp. 868-888: Jean-François Carpantier and Besik Samkharadze
Valuing Stock Options When Prices are Subject to a Lower Boundary: A Correction pp. 889-890: Markus Hertrich and Dirk Veestraeten

Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies pp. 696-723: Donald Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
Exogenous Shocks and Information Transmission in Global Copper Futures Markets pp. 724-751: Libo Yin and Liyan Han
Volatility Information in the Trading Activity of Stocks, Options, and Volatility Options pp. 752-773: Yaw‐Huei Wang
Bid–Ask Spreads and Implied Volatilities of Key Players in a FX Options Market pp. 774-794: Dan Galai and Ben Schreiber

The Valuation of Equity Futures on the Tokyo Stock Exchange: 1920–1923 pp. 601-628: Toby Daglish and Lyndon Moore
Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction pp. 629-652: Biao Guo, Qian Han and Doojin Ryu
Cross Hedging with Currency Forward Contracts pp. 653-674: Kit Pong Wong
Commercial Real‐Estate Inventory and Theory of Storage pp. 675-694: Helyette Geman and Radu Tunaru

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

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

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

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

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

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 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