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. 1101-1101: Robert I. Webb
Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange pp. 1102-1129: Robin K. Chou and Yun‐Yi Wang
Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth pp. 1130-1160: 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: William Lin and David Sun
The impact of volatility derivatives on S&P500 volatility pp. 1190-1213: Paul Dawson and Sotiris K. Staikouras

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

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

Is volatility risk priced in the KOSPI 200 index options market? pp. 797-825: Sun‐Joong Yoon and Suk Joon Byun
Trinomial or binomial: Accelerating American put option price on trees pp. 826-839: Jiun Hong Chan, Mark Joshi, Robert Tang and Chao Yang
The value of mortgage prepayment and default options pp. 840-861: 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: Lorella Fatone, Francesca Mariani, Maria Recchioni and Francesco Zirilli

Empirical evidence on the dependence of credit default swaps and equity prices pp. 695-712: Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou and Bruno Rémillard
An expanded model for the valuation of employee stock options pp. 713-735: 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: Mark Bertus, Jonathan Godbey and Jimmy E. Hilliard
Options on normal underlyings with an application to the pricing of survivor swaptions pp. 757-774: Paul Dawson, Kevin Dowd, Andrew J. G. Cairns and David Blake
A brighter future with lower transactions costs? pp. 775-796: Lars Nordén

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

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

A new scheme for static hedging of European derivatives under stochastic volatility models pp. 397-413: Akihiko Takahashi and Akira Yamazaki
Do investors learn about analyst accuracy? A study of the oil futures market pp. 414-429: Charles Chang, Hazem Daouk and Albert Wang
Expiration‐day effects—An Asian twist pp. 430-450: 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: 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: Jia‐Hau Guo, Mao‐Wei Hung and Leh‐Chyan So

Risk management with options and futures under liquidity risk pp. 297-318: Axel F. A. Adam‐Müller and Argyro Panaretou
Implied deterministic volatility functions: An empirical test for Euribor options pp. 319-347: 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: Hyung‐Suk Choi and Narayanan Jayaraman
A new information share measure pp. 377-395: Donald Lien and Keshab Shrestha

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

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

Efficient static replication of European options under exponential Lévy models pp. 1-15: Akihiko Takahashi and Akira Yamazaki
The information content of an open limit‐order book pp. 16-41: Charles Cao, Oliver Hansch and Xiaoxin Wang
How potent are news reversals?: Evidence from the futures markets pp. 42-73: 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: Yu‐Lun Chen and Yin-Feng Gau