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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 22, issue 12, 2002

Editor's note pp. 1117-1117 Downloads
Robert I. Webb
Excessive variation in risk‐factor correlations and volatilities pp. 1119-1146 Downloads
Turan G. Bali, Hans Genberg and Salih Neftci
Economic significance of risk premiums in the S&P 500 option market pp. 1147-1178 Downloads
R. Brian Balyeat
Multiperiod hedging with futures contracts pp. 1179-1203 Downloads
Aaron Low, Jayaram Muthuswamy, Sudipto Sakar and Eric Terry
Hedging foreign currency, freight, and commodity futures portfolios—A note pp. 1205-1221 Downloads
Michael S. Haigh and Matthew Holt

Volume 22, issue 11, 2002

Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market pp. 1019-1035 Downloads
Carlos Tolmasky and Dmitry Hindanov
Nonlinear dynamics in high‐frequency intraday financial data: Evidence for the UK long gilt futures market pp. 1037-1057 Downloads
David G. McMillan and Alan E. H. Speight
Cross‐market correlations and transmission of information pp. 1059-1082 Downloads
Salim M. Darbar and Partha Deb
An empirical examination of the relation between futures spreads volatility, volume, and open interest pp. 1083-1102 Downloads
Paul Berhanu Girma and Mbodja Mougoué
A note on the valuation of compound options pp. 1103-1115 Downloads
Fatma Lajeri‐Chaherli

Volume 22, issue 10, 2002

Factors explaining movements in the implied volatility surface pp. 915-937 Downloads
Scott Mixon
The effect of multiple listings on the bid–ask spread in option markets: The case of Montreal Exchange pp. 939-957 Downloads
Nabil Khoury and Klaus Fischer
Implied volatility forecasts in the grains complex pp. 959-981 Downloads
David P. Simon
Trading activity in stock index futures markets: The evidence of emerging markets pp. 983-1003 Downloads
Yu Chuan Huang
Approximation for convenience yield in commodity futures pricing pp. 1005-1017 Downloads
Richard Heaney

Volume 22, issue 9, 2002

Measuring implied volatility: Is an average better? Which average? pp. 811-837 Downloads
Louis H. Ederington and Wei Guan
Pricing and hedging American fixed‐income derivatives with implied volatility structures in the two‐factor Heath–Jarrow–Morton model pp. 839-875 Downloads
Samuel Yau Man Zeto
Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts pp. 877-900 Downloads
Quentin C. Chu and Wen‐Liang Gideon Hsieh
Futures price limit moves as options pp. 901-913 Downloads
Mark E. Holder, Christopher K. Ma and James E. Mallett

Volume 22, issue 8, 2002

Fragmentation and complementarity: The case of EFPs pp. 697-727 Downloads
Sharon Brown‐Hruska and Paul A. Laux
Risk–return relationships in foreign‐currency futures following macroeconomic announcements pp. 729-764 Downloads
Li‐Ming Han and Onem Ozocak
On the valuation of warrants pp. 765-782 Downloads
John C. Handley
Role of delivery options in basis convergence pp. 783-809 Downloads
Jana Hranaiova and William G. Tomek

Volume 22, issue 7, 2002

Pricing options using implied trees: Evidence from FTSE‐100 options pp. 601-626 Downloads
Kian Guan Lim and Da Zhi
The realized volatility of FTSE‐100 futures prices pp. 627-648 Downloads
Nelson M. P. C. Areal and Stephen J. Taylor
Index futures leadership, basis behavior, and trader selectivity pp. 649-677 Downloads
Arjun Chatrath, Rohan Christie‐David, Kanwalroop K. Dhanda and Timothy W. Koch
What moves German Bund futures contracts on the Eurex? pp. 679-696 Downloads
Hee‐Joon Ahn, Jun Cai and Yan‐Leung Cheung

Volume 22, issue 6, 2002

Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data pp. 497-518 Downloads
Martin Martens
An intraday test of pricing and arbitrage opportunities in the New Zealand bank bill futures market pp. 519-555 Downloads
Russell Poskitt
The accuracy and efficiency of alternative option pricing approaches relative to a log‐transformed trinomial model pp. 557-577 Downloads
Hsuan‐Chi Chen, David M. Chen and San‐Lin Chung
The drift factor in biased futures index pricing models: A new look pp. 579-598 Downloads
W. Brian Barrett and Thomas B. Sanders

Volume 22, issue 5, 2002

Modeling seasonality in agricultural commodity futures pp. 393-426 Downloads
Carsten Sørensen
The effect of net positions by type of trader on volatility in foreign currency futures markets pp. 427-450 Downloads
Changyun Wang
The pricing of stock index futures spreads at contract expiration pp. 451-469 Downloads
Alex Frino and Michael D. McKenzie
A note on rational call option exercise pp. 471-482 Downloads
Malin Engström
A note on the relationships between some risk‐adjusted performance measures pp. 483-495 Downloads
Donald Lien

Volume 22, issue 4, 2002

Mean reversion in stock index futures markets: A nonlinear analysis pp. 285-314 Downloads
Michael Monoyios and Lucio Sarno
On the enhanced convergence of standard lattice methods for option pricing pp. 315-338 Downloads
Martin Widdicks, Ari D. Andricopoulos, David P. Newton and Peter W. Duck
Delivery risk and the hedging role of options pp. 339-354 Downloads
Donald Lien and Kit Pong Wong
Complements or substitutes? Equivalent futures contract markets—the case of corn and soybean futures on U.S. and Japanese exchanges pp. 355-370 Downloads
Mark E. Holder, R. Daniel Pace and Michael J. Tomas
What to do if a dollar is not a dollar? The impact of inflation risk on production and risk management pp. 371-386 Downloads
Axel F. A. Adam‐Müller
Substitution between revenue futures and price futures contracts: A note pp. 387-391 Downloads
David Hennessy

Volume 22, issue 3, 2002

The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship pp. 197-218 Downloads
Alexander Kurov and Dennis J. Lasser
The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange pp. 219-240 Downloads
Matthew Roope and Ralf Zurbruegg
Asymmetric information and corporate derivatives use pp. 241-267 Downloads
Peter Dadalt, Gerald D. Gay and Jouahn Nam
Interdependencies between agricultural commodity futures prices on the LIFFE pp. 269-280 Downloads
P. J. Dawson and Ben White

Volume 22, issue 2, 2002

An analysis of the relationship between electricity and natural‐gas futures prices pp. 95-122 Downloads
Gary W. Emery and Qingfeng (Wilson) Liu
Risk aversion, disappointment aversion, and futures hedging pp. 123-141 Downloads
Donald Lien and Yaqin Wang
The Binomial Black–Scholes model and the Greeks pp. 143-153 Downloads
San‐Lin Chung and Mark Shackleton
Step‐reset options: Design and valuation pp. 155-171 Downloads
L. Paul Hsueh and Y. Angela Liu
The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange pp. 173-196 Downloads
Robin K. Chou and Jie‐Haun Lee

Volume 22, issue 1, 2002

Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach pp. 1-30 Downloads
Dimitris Flamouris and Daniel Giamouridis
A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts pp. 31-58 Downloads
Paul Draper and Joseph K. W. Fung
Hedging in Futures and Options Markets with Basis Risk pp. 59-72 Downloads
Olivier Mahul
Valuation and Hedging of Differential Swaps pp. 73-94 Downloads
Chuang‐Chang Chang, San‐Lin Chung and Min-Teh Yu
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