Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 31, issue 12, 2011

Editor's note pp. 1115-1115

Robert I. Webb

The impact of liquidity on option prices pp. 1116-1141

Robin K. Chou, San‐Lin Chung, Yu‐Jen Hsiao and Yaw‐Huei Wang

Intraday price formation and bid–ask spread components: A new approach using a cross‐market model pp. 1142-1169

Doojin Ryu

The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index pp. 1170-1201

San‐Lin Chung, Wei-Che Tsai, Yaw‐Huei Wang and Pei‐Shih Weng

The performance of alternative futures buy‐write strategies pp. 1202-1227

Sanry Y.S. Che and Joseph K.W. Fung

Volume 31, issue 11, 2011

A robust model of the convenience yield in the natural gas market pp. 1011-1051

Thomas Volmer

Volatility spillover effects and cross hedging in corn and crude oil futures pp. 1052-1075

Feng Wu, Zhengfei Guan and Robert J. Myers

Long memory and structural breaks in commodity futures markets pp. 1076-1113

Jerry Coakley, Jian Dollery and Neil Kellard

Volume 31, issue 10, 2011

Dominant markets, staggered openings, and price discovery pp. 915-946

Bahram Adrangi, Arjun Chatrath, Rohan A. Christie‐David and Kiseop Lee

On the calibration of mortality forward curves pp. 947-970

Johnny Siu‐Hang Li, Andrew Cheuk‐Yin Ng and Wai‐Sum Chan

American option valuation: Implied calibration of GARCH pricing models pp. 971-994

Michael Weber and Marcel Prokopczuk

The Fed's policy decisions and implied volatility pp. 995-1010

Sami Vähämaa and Janne Äijö

Volume 31, issue 9, 2011

Numerical pricing of American options under infinite activity Lévy processes pp. 809-829

Nisha Rambeerich, Desire Yannick Tangman and Muddun Bhuruth

Pricing basket and Asian options under the jump‐diffusion process pp. 830-854

Kwangil Bae, Jangkoo Kang and Hwa‐Sung Kim

Optimal partial hedging of options with small transaction costs pp. 855-897

A. Elizabeth Whalley

Small traders in currency futures markets pp. 898-914

Andreas Röthig and Carl Chiarella

Volume 31, issue 8, 2011

Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets pp. 703-726

Spyros Spyrou, Andrianos Tsekrekos and Georgia Siougle

Density forecasts of crude‐oil prices using option‐implied and ARCH‐type models pp. 727-754

Esben Høg and Leonidas Tsiaras

Open interest, cross listing, and information shocks pp. 755-778

Samir Aguenaou, Owain ap Gwilym and Mark Rhodes

Time‐varying market price of risk in the crude oil futures market pp. 779-807

Ramaprasad Bhar and Damien Lee

Volume 31, issue 7, 2011

A new look at the forward premium “puzzle” pp. 599-628

Haitham A. Al‐Zoubi

Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998 pp. 629-658

Charles Cao, Eric Ghysels and Frank Hatheway

Convexity meets replication: Hedging of swap derivatives and annuity options pp. 659-678

Wendong Zheng and Yue Kuen Kwok

Oil volatility and the option value of waiting: An analysis of the G‐7 pp. 679-702

Don Bredin, John Elder and Stilianos Fountas

Volume 31, issue 6, 2011

Why do expiring futures and cash prices diverge for grain markets? pp. 503-533

Nicole M. Aulerich, Raymond P. H. Fishe and Jeffrey Harris

Risk premiums and predictive ability of BAX futures pp. 534-561

Nikolay Gospodinov and Ibrahim Jamali

On the rate of convergence of binomial Greeks pp. 562-597

San‐Lin Chung, Weifeng Hung, Han‐Hsing Lee and Pai‐Ta Shih

Volume 31, issue 5, 2011

Pricing average options on commodities pp. 407-439

Kenichiro Shiraya and Akihiko Takahashi

Pricing and hedging in the freight futures market pp. 440-464

Marcel Prokopczuk

Cash trading and index futures price volatility pp. 465-486

Jinliang Li

Market efficiency among futures with different maturities: Evidence from the crude oil futures market pp. 487-501

Kaoru Kawamoto and Shigeyuki Hamori

Volume 31, issue 4, 2011

A simplified pricing model for volatility futures pp. 307-339

Brice Dupoyet, Robert T. Daigler and Zhiyao Chen

Capped equity swaps under the double‐jump stochastic volatility model with stochastic interest rates pp. 340-370

Jia‐Hau Guo

Maturity effects in the Mexican interest rate futures market pp. 371-393

Pedro Gurrola Perez and Renata Herrerías

Optimal arbitrage strategies on stock index futures under position limits pp. 394-406

Min Dai, Yifei Zhong and Yue Kuen Kwok

Volume 31, issue 3, 2011

Sources of variation in holding returns for fed funds futures contracts pp. 205-229

James Hamilton and Tatsuyoshi Okimoto

Pricing real options under the constant elasticity of variance diffusion pp. 230-250

José Carlos Dias and João Pedro Vidal Nunes

The performance of VIX option pricing models: Empirical evidence beyond simulation pp. 251-281

Zhiguang Wang and Robert T. Daigler

Price discovery and investor structure in stock index futures pp. 282-306

Martin T. Bohl, Christian A. Salm and Michael Schuppli

Volume 31, issue 2, 2011

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options pp. 103-125

Alexander Van Haastrecht and Antoon Pelsser

Demutualization and customer protection at self‐regulatory financial exchanges pp. 126-164

David Reiffen and Michel Robe

A Markov regime‐switching ARMA approach for hedging stock indices pp. 165-191

Chao‐Chun Chen and Wen-Jen Tsay

Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets pp. 192-203

Ivan Paya and David Peel

Volume 31, issue 1, 2011

No chills or burns from temperature surprises: An empirical analysis of the weather derivatives market pp. 1-33

Ludwig Chincarini

Asymmetric pricing of implied systematic volatility in the cross‐section of expected returns pp. 34-54

Jared DeLisle, James Doran and David R. Peterson

Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper pp. 55-80

Ahmed Khalifa, Hong Miao and Sanjay Ramchander

Do individual index futures investors destabilize the underlying spot market? pp. 81-101

Martin T. Bohl, Christian A. Salm and Bernd Wilfling

Volume 30, issue 12, 2010

Editor's note pp. 1107-1107

Robert I. Webb

Exchange traded contracts for difference: Design, pricing, and effects pp. 1108-1149

Christine Brown, Jonathan Dark and Kevin Davis

A modified static hedging method for continuous barrier options pp. 1150-1166

San‐Lin Chung, Pai‐Ta Shih and Wei-Che Tsai

Forecasting volatility: Roles of sampling frequency and forecasting horizon pp. 1167-1191

Wing Chan, Xin Cheng and Joseph K.W. Fung

The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets pp. 1192-1209

Hung‐Gay Fung, Qingfeng “Wilson” Liu and Yiuman Tse

Volume 30, issue 11, 2010

A new simple square root option pricing model pp. 1007-1025

António Câmara and Yaw‐huei Wang

Efficient quadrature and node positioning for exotic option valuation pp. 1026-1057

San‐Lin Chung, Kunyi Ko, Mark Shackleton and Chung‐Ying Yeh

Economic determinants of default risks and their impacts on credit derivative pricing pp. 1058-1081

Szu‐Lang Liao and Jui‐Jane Chang

Optimal approximations of nonlinear payoffs in static replication pp. 1082-1099

Qiang Liu

A note on the relationship between the variability of the hedge ratio and hedging performance pp. 1100-1104

Donald Lien

Volume 30, issue 10, 2010

The early news catches the attention: On the relative price impact of similar economic indicators pp. 909-937

Dieter Hess and Alexandra Niessen

Currency option pricing: Mean reversion and multi‐scale stochastic volatility pp. 938-956

Hoi Ying Wong and Jing Zhao

The dynamics of long forward rate term structures pp. 957-982

Xingguo Luo and Jin E. Zhang

Alternative tilts for nonparametric option pricing pp. 983-1006

M. Ryan Haley and Todd Walker

Volume 30, issue 9, 2010

The new market for volatility trading pp. 809-833

Jin E. Zhang, Jinghong Shu and Menachem Brenner

How firms should hedge: An extension pp. 834-845

Olaf Korn

Delivery horizon and grain market volatility pp. 846-873

Berna Karali, Jeffrey Dorfman and Walter Thurman

The incremental value of a futures hedge using realized volatility pp. 874-896

Yu‐Sheng Lai and Her‐Jiun Sheu

Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices pp. 897-908

Wei‐Han Liu

Volume 30, issue 8, 2010

Further analysis of the speed of response to large trades in interest rate futures pp. 705-724

James Richard Cummings and Alex Frino

Performance and persistence of Commodity Trading Advisors: Further evidence pp. 725-752

Greg N. Gregoriou, Georges Hübner and Maher Kooli

Regime‐switching in stock index and Treasury futures returns and measures of stock market stress pp. 753-779

Naresh Bansal, Robert Connolly and Chris Stivers

Hedging and value at risk: A semi‐parametric approach pp. 780-794

Zhiguang Cao, Richard Harris and Jian Shen

Effects of omitting information variables on optimal hedge ratio estimation: A note pp. 795-800

Donald Lien

Optimal hedge ratios in the presence of common jumps pp. 801-807

Wing Chan

Volume 30, issue 7, 2010

The effects of structural breaks and long memory on currency hedging pp. 607-632

Donald Lien and Li Yang

A reality check on technical trading rule profits in the U.S. futures markets pp. 633-659

Cheol‐Ho Park and Scott Irwin

Valuation of housing index derivatives pp. 660-688

Melanie Cao and Jason Wei

Estimating financial risk measures for futures positions: A nonparametric approach pp. 689-703

John Cotter and Kevin Dowd

Volume 30, issue 6, 2010

Empirical tests of canonical nonparametric American option‐pricing methods pp. 509-532

Jamie Alcock and Diana Auerswald

Information content of volatility spreads pp. 533-558

Byung Jin Kang, Tong Suk Kim and Sun‐Joong Yoon

Equilibrium pricing of contingent claims in tradable permit markets pp. 559-589

Masaaki Kijima, Akira Maeda and Katsumasa Nishide

Price discovery in electronic foreign exchange markets: The sterling/dollar market pp. 590-606

Russell Poskitt

Volume 30, issue 5, 2010

General equilibrium and preference free model for pricing options under transformed gamma distribution pp. 409-431

Luiz Vitiello and Ser-Huang Poon

Size clustering in the FTSE100 index futures market pp. 432-443

Owain ap Gwilym and Lei Meng

Option pricing under Markov‐switching GARCH processes pp. 444-464

Chao‐Chun Chen and Ming‐Yang Hung

Examination of long‐term bond iShare option selling strategies pp. 465-489

David P. Simon

Persistence in some energy futures markets pp. 490-507

Juncal Cuñado, Luis A. Gil‐Alana and Fernando Pérez de Gracia

Volume 30, issue 4, 2010

The bias in time series volatility forecasts pp. 305-323

Louis H. Ederington and Wei Guan

Option prices and risk‐neutral densities for currency cross rates pp. 324-360

Stephen J. Taylor and Yaw‐Huei Wang

The impact of off‐market trading on liquidity: Evidence from the Australian options market pp. 361-377

Andrew Lepone and Jin Young Yang

The economic significance of conditional skewness in index option markets pp. 378-406

Ranjini Jha and Madhu Kalimipalli

Volume 30, issue 3, 2010

Narrow framing: Professions, sophistication, and experience pp. 203-229

Yu‐Jane Liu, Ming‐Chun Wang and Longkai Zhao

Volatility components: The term structure dynamics of VIX futures pp. 230-256

Zhongjin Lu and Yingzi Zhu

Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator pp. 257-277

Berna Karali, Jeffrey Dorfman and Walter Thurman

The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution pp. 278-289

Donald Lien

Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”? pp. 290-304

Gabriel Power and Dmitry Vedenov

Volume 30, issue 2, 2010

A maximal affine stochastic volatility model of oil prices pp. 101-133

W. Keener Hughen

The information content of implied volatility: Evidence from Australia pp. 134-155

Bart Frijns, Christian Tallau and Alireza Tourani‐Rad

Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets pp. 156-174

Libin Tao and Frank Song

Pricing American options by canonical least‐squares Monte Carlo pp. 175-187

Qiang Liu

Threshold levels, strike price grid, and other market microstructure issues associated with exchange‐traded equity options pp. 188-201

Edwin Maberly, Raylene Pierce and Patrick Catania

Volume 30, issue 1, 2010

Local trader profitability in futures markets: Liquidity and position taking profits pp. 1-24

Alex Frino, Elvis Jarnecic and Roger Feletto

Corporate usage of financial derivatives, information asymmetry, and insider trading pp. 25-47

Hoa Nguyen, Robert Faff and Allan Hodgson

The CBOE S&P 500 three‐month variance futures pp. 48-70

Jin E. Zhang and Yuqin Huang

Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches pp. 71-99

Sung Y. Park and Sang Young Jei