Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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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

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

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

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

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

Does model fit matter for hedging? Evidence from FTSE 100 options pp. 609-638: Carol 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

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 Fausti and Bashir A. Qasmi

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

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

Regime‐dependent smile‐adjusted delta hedging pp. 203-229: Carol 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

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

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