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
Slippage in futures markets: Evidence from the Sydney Futures Exchange pp. 1129-1146: Alex Frino and Teddy Oetomo
Information flows and option bid/ask spreads pp. 1147-1172: Fredrik Berchtold and Lars Nordén
Structurally sound dynamic index futures hedging pp. 1173-1202: Paul Kofman and Patrick McGlenchy
Recovering market expectations of FOMC rate changes with options on federal funds futures pp. 1203-1242: John Carlson, Ben R. Craig and Will Melick

A contango‐constrained model for storable commodity prices pp. 1025-1044: Diana R. Ribeiro and Stewart D. Hodges
Futures and options expiration‐day effects: The Indian evidence pp. 1045-1065: Vipul
Execution quality in open‐outcry futures markets pp. 1067-1092: Alexander Kurov
Consistent calibration of HJM models to cap implied volatilities pp. 1093-1120: Flavio Angelini and Stefano Herzel
A note on the superiority of the OLS hedge ratio pp. 1121-1126: Donald Lien

Pricing foreign equity options under Lévy processes pp. 917-944: Shian‐Chang Huang and Mao‐Wei Hung
Position limits for cash‐settled derivative contracts pp. 945-965: Hans R. Dutt and Lawrence E. Harris
Price discovery in the aluminum market pp. 967-988: Isabel Figuerola‐Ferretti and Christopher L. Gilbert
Is it important to consider the jump component for pricing and hedging short‐term options? pp. 989-1009: In Joon Kim and Sol Kim
Estimating the optimal hedge ratio with focus information criterion pp. 1011-1024: Donald Lien and Keshab Shrestha

What moves option‐implied bond market expectations? pp. 817-843: Sami Vähämaa, Sebastian Watzka and Janne Äijö
Option pricing under extended normal distribution pp. 845-871: Hosam Ki, Byungwook Choi, Kook‐Hyun Chang and Miyoung Lee
A comparative study of alternative extreme‐value volatility estimators pp. 873-892: Turan G. Bali and David Weinbaum
The response of volume and returns to the information shocks in China's commodity futures markets pp. 893-916: Gongmeng Chen, Michael Firth and Yu Xin

Is investor misreaction economically significant? Evidence from short‐ and long‐term S&P 500 index options pp. 717-752: Charles Cao, Haitao Li and Fan Yu
Information content of the fed funds rates pp. 753-774: Jahangir Sultan
Option pricing with a non‐zero lower bound on stock price pp. 775-794: Ming Dong
Survival of commodity trading advisors: 1990–2003 pp. 795-816: Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah

Derivative pricing model and time‐series approaches to hedging: A comparison pp. 613-641: Henry L. Bryant and Michael S. Haigh
Technical analysis and genetic programming: Constructing and testing a commodity portfolio pp. 643-660: Matthew C. Roberts
The use of term structure information in the hedging of mortgage‐backed securities pp. 661-678: Jason Fink, Kristin E. Fink and Stephen Lange
Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets pp. 679-715: Aysegul Ates and George H. K. Wang

What moves the tail? The determinants of the option‐implied probability density function of the DAX index pp. 515-536: Ernst Glatzer and Martin Scheicher
Minimum‐variance futures hedging under alternative return specifications pp. 537-552: Eric Terry
Intradaily periodicity and volatility spillovers between international stock index futures markets pp. 553-585: Chunchi Wu, Jinliang Li and Wei Zhang
An empirical analysis of multi‐period hedges: Applications to commercial and investment assets pp. 587-606: Jimmy E. Hilliard and Pinghsun Huang
A note on asymmetric stochastic volatility and futures hedging pp. 607-612: Donald Lien

Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market pp. 419-442: Owain ap Gwilym, Ian Mcmanus and Stephen Thomas
A realistic model of market liquidity and depth pp. 443-464: Vassilis Polimenis
Forecasting volatility pp. 465-490: Louis H. Ederington and Wei Guan
Price relations among hog, corn, and soybean meal futures pp. 491-514: Qingfeng “Wilson” Liu

Price risk in the NYMEX energy complex: An extreme value approach pp. 309-337: Tim Krehbiel and Lee Adkins
The forecast quality of CBOE implied volatility indexes pp. 339-373: Charles Corrado and Thomas W. Miller, Jr.
How electronic trading affects bid‐ask spreads and arbitrage efficiency between index futures and options pp. 375-398: Kevin H. K. Cheng, Joseph K. W. Fung and Yiuman Tse
Asymmetric volatility of basis and the theory of storage pp. 399-418: Andre H. Gao and George H. K. Wang

Drift matters: An analysis of commodity derivatives pp. 211-241: Olaf Korn
Volatility trade design pp. 243-279: J. Scott Chaput and Louis H. Ederington
Bias and backwardation in natural gas futures prices pp. 281-308: Nahid Movassagh and Bagher Modjtahedi

Traders' strategic behavior in an index options market pp. 105-133: Kyong Shik Eom and Sang Buhm Hahn
Pricing vulnerable options in incomplete markets pp. 135-170: Mao‐Wei Hung and Yu‐Hong Liu
Implied correlation index: A new measure of diversification pp. 171-197: Vasiliki Skintzi and Apostolos‐Paul N. Refenes
Forecasting futures returns in the presence of price limits pp. 199-210: Arie Harel, Giora Harpaz and Joseph Yagil

Canonical valuation of options in the presence of stochastic volatility pp. 1-19: Philip Gray and Scott Newman
On the errors and comparison of Vega estimation methods pp. 21-38: San‐Lin Chung and Mark Shackleton
The global market for OTC derivatives: An analysis of dealer holdings pp. 39-77: Ekaterina E. Emm and Gerald D. Gay
Is it time to reduce the minimum tick sizes of the E‐mini futures? pp. 79-104: Alexander Kurov and Tatyana Zabotina