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

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

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

Measuring implied volatility: Is an average better? Which average? pp. 811-837: 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: Samuel Yau Man Zeto
Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts pp. 877-900: Quentin C. Chu and Wen‐Liang Gideon Hsieh
Futures price limit moves as options pp. 901-913: Mark E. Holder, Christopher K. Ma and James E. Mallett

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

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

Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data pp. 497-518: Martin Martens
An intraday test of pricing and arbitrage opportunities in the New Zealand bank bill futures market pp. 519-555: Russell Poskitt
The accuracy and efficiency of alternative option pricing approaches relative to a log‐transformed trinomial model pp. 557-577: 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: W. Brian Barrett and Thomas B. Sanders

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

Mean reversion in stock index futures markets: A nonlinear analysis pp. 285-314: Michael Monoyios and Lucio Sarno
On the enhanced convergence of standard lattice methods for option pricing pp. 315-338: Martin Widdicks, Ari D. Andricopoulos, David P. Newton and Peter W. Duck
Delivery risk and the hedging role of options pp. 339-354: 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: 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: Axel F. A. Adam‐Müller
Substitution between revenue futures and price futures contracts: A note pp. 387-391: David Hennessy

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

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

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