Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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The Valuation of Options with Restrictions on Preferences and Distributions pp. 1091-1117: António Câmara
Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract pp. 1119-1149: Ira G. Kawaller, Paul D. Koch and John E. Peterson
Optimal No‐Arbitrage Bounds on S&P 500 Index Options and the Volatility Smile pp. 1151-1179: Patrick J. Dennis
A Note on Finding the Optimal Allocation Between a Risky Stock and a Risky Bond pp. 1181-1196: John E. Angus

Two‐State Option Pricing: Binomial Models Revisited pp. 987-1001: George M. Jabbour, Marat V. Kramin and Stephen D. Young
Hedge Fund Performance and Manager Skill pp. 1003-1028: Franklin R. Edwards and Mustafa Onur Caglayan
Futures Hedging Under Disappointment Aversion pp. 1029-1042: Donald Lien
The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models pp. 1043-1069: Chris Brooks and James Chong
Information Role of U.S. Futures Trading in a Global Financial Market pp. 1071-1090: Hung‐Gay Fung, Wai K. Leung and Xiaoqing Eleanor Xu

Accuracy and Reliability Considerations of Option Pricing Algorithms pp. 875-903: Yue‐Kuen Kwok and Ka‐Wo Lau
Option‐Expiration Effects in Small Markets: The Spanish Stock Exchange pp. 905-928: P. Corredor, P. Lechón and R. Santamaría
Investor Sentiment and Return Predictability in Agricultural Futures Markets pp. 929-952: Changyun Wang
Risk Management in Agricultural Markets: A Review pp. 953-985: William G. Tomek and Hikaru Hanawa Peterson

Mean Reversion and Basis Dynamics pp. 797-818: Michael Theobald and Peter Yallup
Maximum Entropy in Option Pricing: A Convex‐Spline Smoothing Method pp. 819-832: Weiyu Guo
Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH‐X Framework pp. 833-850: Ramaprasad Bhar
Foreign‐Exchange Trading Volume and Federal Reserve Intervention pp. 851-860: Alain Chaboud and Blake Lebaron
An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era pp. 861-874: Shigeyuki Hamori, Naoko Hamori and David Anderson

The Demand for Hedging with Futures and Options pp. 693-712: Darren L. Frechette
Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading pp. 713-735: Yiuman Tse and Tatyana V. Zabotina
Identifying the Factors that Affect Interest‐Rate Swap Spreads: Some Evidence from the United States and the United Kingdom pp. 737-768: Ilias Lekkos and Costas Milas
Mean Reversion and the Comovement of Equilibrium Spot and Futures Prices: Implications from Alternative Data‐Generating Processes pp. 769-796: Tian Zeng

Hedging in Incomplete Markets: An Approximation Procedure for Practical Application pp. 599-631: Wolfgang Breuer and Marc Gürtler
The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks pp. 633-653: Shafiqur Rahman
Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model pp. 655-680: Nusret Cakici and Jintao Zhu
A Note on Loss Aversion and Futures Hedging pp. 681-692: Donald Lien

Natural Selection and Market Efficiency in a Futures Market with Random Shocks pp. 489-516: Guo Ying Luo
Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH, Announcement, and Seasonality Effects pp. 517-552: Louis Ederington and Jae Ha Lee
Livestock Revenue Insurance pp. 553-580: Chad Hart, Bruce Babcock and Dermot Hayes
On a Mean—Generalized Semivariance Approach to Determining the Hedge Ratio pp. 581-598: Sheng‐Syan Chen, Cheng Few Lee and Keshab Shrestha

Editor's note pp. 393-393: Robert I. Webb and Robert I. Webb
Clustering and psychological barriers: the importance of numbers pp. 395-428: Robert I. Webb and Jason Mitchell
Heterogeneous expectations of traders in speculative futures markets pp. 429-446: Robert I. Webb, Darren L. Frechette and Robert Weaver
S&P futures returns and contrary sentiment indicators pp. 447-462: Robert I. Webb, David P. Simon and Roy A. Wiggins
Limits to linear price behavior: futures prices regulated by limits pp. 463-488: Robert I. Webb, Anthony Hall and Paul Kofman

Vulnerable options, risky corporate bond, and credit spread pp. 301-327: Melanie Cao and Jason Wei
Mean‐variance efficiency of the market portfolio and futures trading pp. 329-346: Abraham Lioui and Patrice Poncet
Revisiting the finite mixture of Gaussian distributions with application to futures markets pp. 347-376: Thierry Ané and Chiraz Labidi
Predicting monetary policy with federal funds futures prices pp. 377-391: Ulf Söderström

Pricing FTSE 100 index options under stochastic volatility pp. 197-211: Yueh‐Neng Lin, Norman Strong and Xinzhong Xu
Option pricing based on the generalized lambda distribution pp. 213-236: Charles Corrado
New insights into the impact of the introduction of futures trading on stock price volatility pp. 237-255: Michael D. McKenzie, Timothy J. Brailsford and Robert Faff
What moves the gold market? pp. 257-278: Jun Cai, Yan‐Leung Cheung and Michael Wong
Asset storability and price discovery in commodity futures markets: A new look pp. 279-300: Jian Yang, David Bessler and David Leatham

Risk premiums on inventory assets: the case of crude oil and natural gas pp. 109-126: Timothy J. Considine and Donald Larson
Time variation in the correlation structure of exchange rates: high‐frequency analyses pp. 127-144: Jayaram Muthuswamy, Sudipto Sarkar, Aaron Low and Eric Terry
Hedging multiple price and quantity exposures pp. 145-172: Carmelo Giaccotto, Shantaram P. Hegde and John B. McDermott
Volatility, global information, and market conditions: a study in futures markets pp. 173-196: Hung‐Gay Fung and Gary A. Patterson

Liquidity supply and volatility: futures market evidence pp. 1-17: Peter R. Locke and Asani Sarkar
An application of finite elements to option pricing pp. 19-42: Michael J. Tomas and Kishore K. Yalamanchili
Stock index futures markets: stochastic volatility models and smiles pp. 43-78: Robert G. Tompkins
Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis pp. 79-108: Mark Bertus and Bryan Stanhouse