EconPapers    
Economics at your fingertips  
 

Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 33, issue 12, 2013

How Different Types of Traders Behave in the Taiwan Futures Market pp. 1097-1117 Downloads
Hung Chih Li, Chao Hsien Lin, Teng Yuan Cheng and Syouching Lai
Long‐term Futures Curves and Seasonal Structures of Wheat in the European Union and the United States pp. 1118-1142 Downloads
Sergio Lence, Hervé G. Ott and Chad Hart
A Quasi‐Analytical Pricing Model for Arithmetic Asian Options pp. 1143-1166 Downloads
Jianqiang Sun, Langnan Chen and Shiyin Li
Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach pp. 1167-1190 Downloads
Haiqiang Chen, Qian Han, Yingxing Li and Kai Wu
A Note on Exports and Hedging Exchange Rate Risks: The Multi‐Country Case pp. 1191-1196 Downloads
Kit Pong Wong

Volume 33, issue 11, 2013

Editor's Note pp. 993-993 Downloads
Robert I. Webb
Dynamic Implied Correlation Modeling and Forecasting in Structured Finance pp. 994-1023 Downloads
Sebastian Löhr, Olga Mursajew, Daniel Rösch and Harald Scheule
Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets pp. 1024-1045 Downloads
Joakim Westerlund and Paresh Narayan
Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market pp. 1046-1070 Downloads
Sobhesh Kumar Agarwalla and Ajay Pandey
Investigating the Information Content of the Model‐Free Volatility Expectation by Monte Carlo Methods pp. 1071-1095 Downloads
Yuanyuan Zhang, Stephen J. Taylor and Lili Wang

Volume 33, issue 10, 2013

Can the Indicative Price System Mitigate Expiration‐Day Effects? pp. 891-910
J.B. Chay, Sol Kim and Hyeuk‐Sun Ryu
Inflation Derivatives Under Inflation Target Regimes pp. 911-938
Mordecai Avriel, Jens Hilscher and Alon Raviv
Market Reaction to Information Shocks—Does the Bloomberg and Briefing.com Survey Matter? pp. 939-964
Linda H. Chen, George J. Jiang and Qin Wang
Strategic and Tactical Roles of Enhanced Commodity Indices pp. 965-992
Georgios Rallis, Joëlle Miffre and Ana-Maria Fuertes

Volume 33, issue 9, 2013

A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables pp. 795-826
Tian‐Shyr Dai, Chuan‐Ju Wang and Yuh‐Dauh Lyuu
Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM pp. 827-867
Jui‐Jane Chang, Son-Nan Chen and Ting‐Pin Wu
The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio pp. 868-888
Jean-François Carpantier and Besik Samkharadze
Valuing Stock Options When Prices are Subject to a Lower Boundary: A Correction pp. 889-890
Markus Hertrich and Dirk Veestraeten

Volume 33, issue 8, 2013

Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies pp. 696-723
Donald Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
Exogenous Shocks and Information Transmission in Global Copper Futures Markets pp. 724-751
Libo Yin and Liyan Han
Volatility Information in the Trading Activity of Stocks, Options, and Volatility Options pp. 752-773
Yaw‐Huei Wang
Bid–Ask Spreads and Implied Volatilities of Key Players in a FX Options Market pp. 774-794
Dan Galai and Ben Schreiber

Volume 33, issue 7, 2013

The Valuation of Equity Futures on the Tokyo Stock Exchange: 1920–1923 pp. 601-628
Toby Daglish and Lyndon Moore
Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction pp. 629-652
Biao Guo, Qian Han and Doojin Ryu
Cross Hedging with Currency Forward Contracts pp. 653-674
Kit Pong Wong
Commercial Real‐Estate Inventory and Theory of Storage pp. 675-694
Helyette Geman and Radu Tunaru

Volume 33, issue 6, 2013

Editor's Note pp. 493-493
Robert I. Webb
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface pp. 494-517
José Da Fonseca and Katrin Gottschalk
The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis pp. 518-554
Tong Suk Kim, Yuen Jung Park and Jaesun Noh
Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices pp. 555-572
Ihsan Badshah, Bart Frijns and Alireza Tourani‐Rad
Transmigration Across Price Discovery Categories: Evidence from the U.S. CDS and Equity Markets pp. 573-599
Vincent Xiang, Michael Chng and Victor Fang

Volume 33, issue 5, 2013

Who Makes Markets? Liquidity Providers Versus Algorithmic Traders pp. 397-420
Joon Chae, Jaeuk Khil and Eun Jung Lee
A Term Structure Model for VIX Futures pp. 421-442
Bujar Huskaj and Marcus Nossman
The Intraday and Overnight Behavior of SPY Options and Adjusted Delta Hedging pp. 443-468
David P. Simon
Option Pricing Using the Martingale Approach with Polynomial Interpolation pp. 469-491
Ming‐Chieh Wang, Li‐Jhang Huang and Szu‐Lang Liao

Volume 33, issue 4, 2013

Risk Management of Nonstandard Basket Options with Different Underlying Assets pp. 299-326
Georges Dionne, Geneviève Gauthier and Nadia Ouertani
Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis pp. 327-342
Donald Lien, Gerui Lim, Li Yang and Chunyang Zhou
A Markowitz Optimization of Commodity Futures Portfolios pp. 343-368
Leyuan You and Robert T. Daigler
A Forward Monte Carlo Method for American Options Pricing pp. 369-395
Daniel Wei‐Chung Miao and Yung‐Hsin Lee

Volume 33, issue 3, 2013

Valuation Bounds on Barrier Options Under Model Uncertainty pp. 199-234
Yi Hong
Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation pp. 235-265
Ihsan Badshah
Impact of Liquidity on the Futures‐Cash Basis: Evidence from the Indian Market pp. 266-298
Palani‐Rajan Kadapakkam and Umesh Kumar

Volume 33, issue 2, 2013

Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market pp. 103-128
Xiaoneng Zhu
Valuing Seller‐Defaultable Options pp. 129-157
Jin‐Ray Lu, Yi‐Chun Chen, Chih‐Chiang Hwang and Yi‐Chun Ting
Multifactor Index Variance: The Case of the SPX 2000 to 2010 pp. 158-182
Thaddeus Neururer and Andrew Kumiega
Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options pp. 183-198
Qiang Liu and Shuxin Guo

Volume 33, issue 1, 2013

Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations pp. 1-28
Suk Joon Byun and Byungsun Min
A Closer Look at Barrier Exchange Options pp. 29-43
Christine Brown, John C. Handley and Ken Palmer
Some New Results on When Extra Risk Strictly Increases an Option's Value pp. 44-54
James Huang and Deyuan Zhang
Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level pp. 55-76
Owain ap Gwilym and Thanos Verousis
A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges pp. 77-102
Eduardo Rossi and Paolo Santucci de Magistris
Page updated 2020-08-10