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. 1123-1124: Robert I. Webb
The jump component of the volatility structure of interest rate futures markets: An international comparison pp. 1125-1158: Carl Chiarella and Thuy‐Duong Tô
Discretionary government intervention and the mispricing of index futures pp. 1159-1189: Paul Draper and Joseph K. W. Fung
An empirical investigation of the GARCH option pricing model: Hedging performance pp. 1191-1207: Haynes H. M. Yung and Hua Zhang
Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging pp. 1209-1237: Carolyn W. Chang and Jack S. K. Chang

Asymmetric covariance in spot‐futures markets pp. 1019-1046: Vicente Meneu and Hipolit Torro
The design and pricing of fixed‐ and moving‐window contracts: An application of Asian‐Basket option pricing methods to the hog‐finishing sector pp. 1047-1073: Renyuan Shao and Brian Roe
A two‐mean reverting‐factor model of the term structure of interest rates pp. 1075-1105: Manuel Moreno
Options expiration effects and the role of individual share futures contracts pp. 1107-1118: Donald Lien and Li Yang
A note on the derivation of Black‐Scholes hedge ratios pp. 1119-1122: Tie Su

Approximating American option prices in the GARCH framework pp. 915-929: Jin‐Chuan Duan, Geneviève Gauthier, Caroline Sasseville and Jean‐Guy Simonato
A first look at the empirical relation between spot and futures electricity prices in the United States pp. 931-955: Hany A. Shawky, Achla Marathe and Christopher L. Barrett
Looking for contagion in currency futures markets pp. 957-988: Chu‐Sheng Tai
On the adequacy of single‐stock futures margining requirements pp. 989-1002: Hans R. Dutt and Ira L. Wein
Commodity trading advisors' leverage and reported margin‐to‐equity ratios pp. 1003-1017: Fernando Diz

General equilibrium pricing of nonredundant forward contracts pp. 817-840: Abraham Lioui and Patrice Poncet
The effect of spot and futures trading on stock index market volatility: A nonparametric approach pp. 841-858: Manuel Illueca and Juan Angel Lafuente
An examination of the effectiveness of static hedging in the presence of stochastic volatility pp. 859-890: Jason Fink
Transitory real‐time property rights and exchange intellectual property pp. 891-913: Robert I. Webb

Optimal contract design: For whom? pp. 719-750: Nicolas P. B. Bollen, Tom Smith and Robert E. Whaley
Pricing models of equity swaps pp. 751-772: Ming‐Chieh Wang and Szu‐Lang Liao
Scheduled announcements and volatility patterns: The effects of monetary policy committee announcements on LIBOR and short sterling futures and options pp. 773-797: Peng Sun and Charles Sutcliffe
Robust estimation of the optimal hedge ratio pp. 799-816: Richard Harris and Jian Shen

Stock return dynamics, option volume, and the information content of implied volatility pp. 615-646: Stewart Mayhew and Chris Stivers
Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading pp. 647-659: Owain ap Gwilym and Evamena Alibo
Testing the mixture‐of‐distributions hypothesis using “realized” volatility pp. 661-679: James C. Luu and Martin Martens
The interrelation of price volatility and trading volume of currency options pp. 681-700: Ghulam Sarwar
Futures market equilibrium under Knightian uncertainty pp. 701-718: Donald Lien and Yaqin Wang

The valuation of multiple stock warrants pp. 517-534: Kian‐Guan Lim and Eric Terry
Pricing continuously sampled Asian options with perturbation method pp. 535-560: Jin E. Zhang
Revisiting the empirical estimation of the effect of margin changes on futures trading volume pp. 561-576: Hans R. Dutt and Ira L. Wein
The effectiveness of coordinating price limits across futures and spot markets pp. 577-602: Pin‐Huang Chou, Mei‐Chen Lin and Min-Teh Yu
The effect of liquidity constraints on futures hedging pp. 603-613: Donald Lien

Pricing of moving‐average‐type options with applications pp. 415-440: Chih‐Hao Kao and Yuh‐Dauh Lyuu
The information content of implied volatility in agricultural commodity markets pp. 441-454: Pierre Giot
Bid‐ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts pp. 455-486: David Ding and Charlie Charoenwong
Analytic approximation formulae for pricing forward‐starting Asian options pp. 487-516: Chueh‐Yung Tsao, Chuang‐Chang Chang and Chung‐Gee Lin

Option volume and volatility response to scheduled economic news releases pp. 315-345: John R. Nofsinger and Brian Prucyk
The components of interest rate swap spreads: Theory and international evidence pp. 347-387: Frank Fehle
Futures hedging under mark‐to‐market risk pp. 389-398: Donald Lien and Anlong Li
Volatility and trading demands in stock index futures pp. 399-414: Ming‐Shiun Pan, Y. Angela Liu and Herbert J. Roth

On the optimal mix of corporate hedging instruments: Linear versus nonlinear derivatives pp. 217-239: Gerald D. Gay, Jouahn Nam and Marian Turac
Futures hedging using dynamic models of the variance/covariance structure pp. 241-260: Ponladesh Poomimars, John Cadle and Michael Theobald
The quality of volatility traded on the over‐the‐counter currency market: A multiple horizons study pp. 261-285: Vicentiu Covrig and Buen Sin Low
Directly measuring early exercise premiums using American and European S&P 500 Index options pp. 287-313: Michael Dueker and Thomas W. Miller

Hedging long‐term commodity risk pp. 109-133: Yulia V. Veld‐Merkoulova and Frans A. de Roon
Disappointment aversion equilibrium in a futures market pp. 135-150: Donald Lien and Yaqin Wang
The economic advantage of learners in a spot/futures market pp. 151-167: Scott Linn and Bryan E. Stanhouse
Options on bond futures: Isolating the risk premium pp. 169-215: Robert G. Tompkins

The behavior and performance of major types of futures traders pp. 1-31: Changyun Wang
Stochastic volatility and the mean reverting process pp. 33-47: Sotirios Sabanis
Does tick size influence price discovery? Evidence from the Toronto Stock Exchange pp. 49-66: Marie‐Claude Beaulieu, Shafiq K. Ebrahim and Ieuan G. Morgan
Expiration day effects: The case of Hong Kong pp. 67-86: Ying‐Foon Chow, Haynes H. M. Yung and Hua Zhang
The valuation of reset options with multiple strike resets and reset dates pp. 87-107: Szu‐Lang Liao and Chou‐Wen Wang