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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 27, issue 12, 2007

Editor's note pp. 1127-1127 Downloads
Robert I. Webb
Order imbalance and the dynamics of index and futures prices pp. 1129-1157 Downloads
Joseph K.W. Fung and Philip L.H. Yu
Transactions in futures markets: Informed or uninformed? pp. 1159-1174 Downloads
Alex Frino, Jennifer Kruk and Andrew Lepone
Pricing VIX futures: Evidence from integrated physical and risk‐neutral probability measures pp. 1175-1217 Downloads
Yueh‐Neng Lin
Market microstructure effects on volatility at the TAIFEX pp. 1219-1243 Downloads
Robert I. Webb, Jayaram Muthuswamy and Reuben Segara

Volume 27, issue 11, 2007

Price discovery in the treasury futures market pp. 1021-1051 Downloads
Michael W. Brandt, Kenneth A. Kavajecz and Shane E. Underwood
A new look at hedging with derivatives: Will firms reduce market risk exposure? pp. 1053-1083 Downloads
Turan G. Bali, Susan R. Hume and Terrence F. Martell
Forecasting performance of extreme‐value volatility estimators pp. 1085-1105 Downloads
Vipul and Joshy Jacob
One‐day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data pp. 1107-1125 Downloads
Lester Hadsell and Hany A. Shawky

Volume 27, issue 10, 2007

Is there information in the volatility skew? pp. 921-959 Downloads
James Doran, David R. Peterson and Brian C. Tarrant
On estimating an asset's implicit beta pp. 961-979 Downloads
Sven Husmann and Andreas Stephan
Benchmark tipping and the role of the swap market in price discovery pp. 981-1001 Downloads
Russell Poskitt
The stock closing calland futures price behavior: Evidence from the Taiwan futures market pp. 1003-1019 Downloads
Hsiu‐Chuan Lee, Cheng‐Yi Chien and Yen‐Sheng Huang

Volume 27, issue 9, 2007

Approximate basket option valuation for a simplified jump process pp. 819-837 Downloads
Dimitris Flamouris and Daniel Giamouridis
The effect of futures trading on the distribution of spot index returns: Implications for CVaR in the Spanish market pp. 839-866 Downloads
Manuel Illueca and J.A. Lafuente
Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates pp. 867-891 Downloads
Jia‐Hau Guo and Mao‐Wei Hung
Equity swaps in a LIBOR market model pp. 893-920 Downloads
Ting‐Pin Wu and Son Nan Chen

Volume 27, issue 8, 2007

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models pp. 719-737 Downloads
Andreas Röthig and Carl Chiarella
AN examination of short QQQ option trades pp. 739-770 Downloads
David P. Simon
Canonical valuation and hedging of index options pp. 771-790 Downloads
Philip Gray, Shane Edwards and Egon Kalotay
Richardson extrapolation techniques for the pricing of American‐style options pp. 791-817 Downloads
Chuang‐Chang Chang, San‐Lin Chung and Richard C. Stapleton

Volume 27, issue 7, 2007

Is volatility risk priced in the securities market? Evidence from S&P 500 index options pp. 617-642 Downloads
Yakup Arisoy, Aslihan Salih and Levent Akdeniz
Long memory models for daily and high frequency commodity futures returns pp. 643-668 Downloads
Richard T. Baillie, Young‐Wook Han, Robert J. Myers and Jeongseok Song
The pricing of foreign currency options under jump‐diffusion processes pp. 669-695 Downloads
Chang Mo Ahn, D. Chinhyung Cho and Keehwan Park
Order imbalance and the pricing of index futures pp. 697-717 Downloads
Joseph K.W. Fung

Volume 27, issue 6, 2007

The hidden martingale restriction in Gram‐Charlier option prices pp. 517-534 Downloads
Charles Corrado
Target redemption notes pp. 535-554 Downloads
Chi Chiu Chu and Yue Kuen Kwok
The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash pp. 555-574 Downloads
Joseph K. W. Fung
A simplified approach to modeling the co‐movement of asset returns pp. 575-598 Downloads
Richard Harris, Evarist Stoja and Jon Tucker
The finite sample properties of the GARCH option pricing model pp. 599-615 Downloads
George Dotsis and Raphael Markellos

Volume 27, issue 5, 2007

Long memory in commodity futures volatility: A wavelet perspective pp. 411-437 Downloads
John Elder and Hyun J. Jin
Realized bond—stock correlation: Macroeconomic announcement effects pp. 439-469 Downloads
Charlotte Christiansen and Angelo Ranaldo
Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options pp. 471-494 Downloads
Andros Gregoriou, Jerome Healy and Christos Ioannidis
Optimal hedging with a regime‐switching time‐varying correlation GARCH model pp. 495-516 Downloads
Hsiang‐Tai Lee and Jonathan Yoder

Volume 27, issue 4, 2007

On inverse carrying charges and spatial arbitrage pp. 305-336 Downloads
Donald Larson
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility pp. 337-359 Downloads
Pierre Giot and Sébastien Laurent
The impact of execution delay on the profitability of put‐call‐futures trading strategies—Evidence from Taiwan pp. 361-385 Downloads
Jong‐Rong Chiou, Wen‐Liang Gideon Hsieh and Yuan‐Yi Lin
The pricing of electricity futures: Evidence from the European energy exchange pp. 387-410 Downloads
Sascha Wilkens and Jens Wimschulte

Volume 27, issue 3, 2007

Valuing real options using implied binomial trees and commodity futures options pp. 203-226 Downloads
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
An examination of momentum strategies in commodity futures markets pp. 227-256 Downloads
Qian Shen, Andrew C. Szakmary and Subhash C. Sharma
Pricing American exchange options in a jump‐diffusion model pp. 257-273 Downloads
Snorre Lindset
Multifactor and analytical valuation of treasury bond futures with an embedded quality option pp. 275-303 Downloads
João Pedro Vidal Nunes and Luís Alberto Ferreira De Oliveira

Volume 27, issue 2, 2007

Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements pp. 105-126 Downloads
Jussi Nikkinen, Petri Sahlström and Janne Äijö
An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis pp. 127-150 Downloads
Donald Lien and Keshab Shrestha
Trend derivatives: Pricing, hedging, and application to executive stock options pp. 151-186 Downloads
Markus Leippold and Jürg Syz
A comment on “A hedging deficiency in eurodollar futures” pp. 187-193 Downloads
Ira G. Kawaller
Reply to “A comment on 'A hedging deficiency in eurodollar futures'” pp. 195-201 Downloads
Don M. Chance

Volume 27, issue 1, 2007

Options listings and individual equity volatility pp. 1-27 Downloads
Daniel Jubinski and Marc Tomljanovich
An efficient approximation method for American exotic options pp. 29-59 Downloads
Geunhyuk Chang, Jangkoo Kang, Hwa‐Sung Kim and In Joon Kim
Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets pp. 61-84 Downloads
Lorne Switzer and Mario El‐Khoury
Back to the future: Futures margins in a future credit default swap index futures market pp. 85-104 Downloads
Hans Byström
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