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

Price discovery in the treasury futures market pp. 1021-1051: 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: Turan G. Bali, Susan R. Hume and Terrence F. Martell
Forecasting performance of extreme‐value volatility estimators pp. 1085-1105: 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: Lester Hadsell and Hany A. Shawky

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

Approximate basket option valuation for a simplified jump process pp. 819-837: 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: Manuel Illueca and Juan Angel Lafuente
Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates pp. 867-891: Jia‐Hau Guo and Mao‐Wei Hung
Equity swaps in a LIBOR market model pp. 893-920: Ting‐Pin Wu and Son Nan Chen

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

Is volatility risk priced in the securities market? Evidence from S&P 500 index options pp. 617-642: Yakup Arisoy, Aslihan Salih and Levent Akdeniz
Long memory models for daily and high frequency commodity futures returns pp. 643-668: 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: Chang Mo Ahn, D. Chinhyung Cho and Keehwan Park
Order imbalance and the pricing of index futures pp. 697-717: Joseph K.W. Fung

The hidden martingale restriction in Gram‐Charlier option prices pp. 517-534: Charles Corrado
Target redemption notes pp. 535-554: 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: Joseph K. W. Fung
A simplified approach to modeling the co‐movement of asset returns pp. 575-598: Richard Harris, Evarist Stoja and Jon Tucker
The finite sample properties of the GARCH option pricing model pp. 599-615: George Dotsis and Raphael Markellos

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

On inverse carrying charges and spatial arbitrage pp. 305-336: Donald Larson
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility pp. 337-359: 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: 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: Sascha Wilkens and Jens Wimschulte

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

Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements pp. 105-126: 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: Donald Lien and Keshab Shrestha
Trend derivatives: Pricing, hedging, and application to executive stock options pp. 151-186: Markus Leippold and Jürg Syz
A comment on “A hedging deficiency in eurodollar futures” pp. 187-193: Ira G. Kawaller
Reply to “A comment on 'A hedging deficiency in eurodollar futures'” pp. 195-201: Don M. Chance

Options listings and individual equity volatility pp. 1-27: Daniel Jubinski and Marc Tomljanovich
An efficient approximation method for American exotic options pp. 29-59: 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: Lorne Switzer and Mario El‐Khoury
Back to the future: Futures margins in a future credit default swap index futures market pp. 85-104: Hans Byström