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Journal of Futures Markets

1981 - 2020

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 31, issue 12, 2011

Editor's note pp. 1115-1115 Downloads
Robert I. Webb
The impact of liquidity on option prices pp. 1116-1141 Downloads
Robin K. Chou, San‐Lin Chung, Yu‐Jen Hsiao and Yaw‐Huei Wang
Intraday price formation and bid–ask spread components: A new approach using a cross‐market model pp. 1142-1169 Downloads
Doojin Ryu
The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index pp. 1170-1201 Downloads
San‐Lin Chung, Wei-Che Tsai, Yaw‐Huei Wang and Pei‐Shih Weng
The performance of alternative futures buy‐write strategies pp. 1202-1227 Downloads
Sanry Y.S. Che and Joseph K.W. Fung

Volume 31, issue 11, 2011

A robust model of the convenience yield in the natural gas market pp. 1011-1051 Downloads
Thomas Volmer
Volatility spillover effects and cross hedging in corn and crude oil futures pp. 1052-1075 Downloads
Feng Wu, Zhengfei Guan and Robert J. Myers
Long memory and structural breaks in commodity futures markets pp. 1076-1113 Downloads
Jerry Coakley, Jian Dollery and Neil Kellard

Volume 31, issue 10, 2011

Dominant markets, staggered openings, and price discovery pp. 915-946 Downloads
Bahram Adrangi, Arjun Chatrath, Rohan A. Christie‐David and Kiseop Lee
On the calibration of mortality forward curves pp. 947-970 Downloads
Johnny Siu‐Hang Li, Andrew Cheuk‐Yin Ng and Wai‐Sum Chan
American option valuation: Implied calibration of GARCH pricing models pp. 971-994 Downloads
Michael Weber and Marcel Prokopczuk
The Fed's policy decisions and implied volatility pp. 995-1010 Downloads
Sami Vähämaa and Janne Äijö

Volume 31, issue 9, 2011

Numerical pricing of American options under infinite activity Lévy processes pp. 809-829 Downloads
Nisha Rambeerich, Desire Yannick Tangman and Muddun Bhuruth
Pricing basket and Asian options under the jump‐diffusion process pp. 830-854 Downloads
Kwangil Bae, Jangkoo Kang and Hwa‐Sung Kim
Optimal partial hedging of options with small transaction costs pp. 855-897 Downloads
A. Elizabeth Whalley
Small traders in currency futures markets pp. 898-914 Downloads
Andreas Röthig and Carl Chiarella

Volume 31, issue 8, 2011

Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets pp. 703-726 Downloads
Spyros Spyrou, Andrianos Tsekrekos and Georgia Siougle
Density forecasts of crude‐oil prices using option‐implied and ARCH‐type models pp. 727-754 Downloads
Esben Høg and Leonidas Tsiaras
Open interest, cross listing, and information shocks pp. 755-778 Downloads
Samir Aguenaou, Owain ap Gwilym and Mark Rhodes
Time‐varying market price of risk in the crude oil futures market pp. 779-807 Downloads
Ramaprasad Bhar and Damien Lee

Volume 31, issue 7, 2011

A new look at the forward premium “puzzle” pp. 599-628 Downloads
Haitham A. Al‐Zoubi
Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998 pp. 629-658 Downloads
Charles Cao, Eric Ghysels and Frank Hatheway
Convexity meets replication: Hedging of swap derivatives and annuity options pp. 659-678 Downloads
Wendong Zheng and Yue Kuen Kwok
Oil volatility and the option value of waiting: An analysis of the G‐7 pp. 679-702 Downloads
Don Bredin, John Elder and Stilianos Fountas

Volume 31, issue 6, 2011

Why do expiring futures and cash prices diverge for grain markets? pp. 503-533 Downloads
Nicole M. Aulerich, Raymond P. H. Fishe and Jeffrey Harris
Risk premiums and predictive ability of BAX futures pp. 534-561 Downloads
Nikolay Gospodinov and Ibrahim Jamali
On the rate of convergence of binomial Greeks pp. 562-597 Downloads
San‐Lin Chung, Weifeng Hung, Han‐Hsing Lee and Pai‐Ta Shih

Volume 31, issue 5, 2011

Pricing average options on commodities pp. 407-439 Downloads
Kenichiro Shiraya and Akihiko Takahashi
Pricing and hedging in the freight futures market pp. 440-464 Downloads
Marcel Prokopczuk
Cash trading and index futures price volatility pp. 465-486 Downloads
Jinliang Li
Market efficiency among futures with different maturities: Evidence from the crude oil futures market pp. 487-501 Downloads
Kaoru Kawamoto and Shigeyuki Hamori

Volume 31, issue 4, 2011

A simplified pricing model for volatility futures pp. 307-339 Downloads
Brice Dupoyet, Robert T. Daigler and Zhiyao Chen
Capped equity swaps under the double‐jump stochastic volatility model with stochastic interest rates pp. 340-370 Downloads
Jia‐Hau Guo
Maturity effects in the Mexican interest rate futures market pp. 371-393 Downloads
Pedro Gurrola Perez and Renata Herrerías
Optimal arbitrage strategies on stock index futures under position limits pp. 394-406 Downloads
Min Dai, Yifei Zhong and Yue Kuen Kwok

Volume 31, issue 3, 2011

Sources of variation in holding returns for fed funds futures contracts pp. 205-229 Downloads
James Hamilton and Tatsuyoshi Okimoto
Pricing real options under the constant elasticity of variance diffusion pp. 230-250 Downloads
José Carlos Dias and João Pedro Vidal Nunes
The performance of VIX option pricing models: Empirical evidence beyond simulation pp. 251-281 Downloads
Zhiguang Wang and Robert T. Daigler
Price discovery and investor structure in stock index futures pp. 282-306 Downloads
Martin T. Bohl, Christian A. Salm and Michael Schuppli

Volume 31, issue 2, 2011

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options pp. 103-125 Downloads
Alexander Van Haastrecht and Antoon Pelsser
Demutualization and customer protection at self‐regulatory financial exchanges pp. 126-164 Downloads
David Reiffen and Michel Robe
A Markov regime‐switching ARMA approach for hedging stock indices pp. 165-191 Downloads
Chao‐Chun Chen and Wen-Jen Tsay
Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets pp. 192-203 Downloads
Ivan Paya and David Peel

Volume 31, issue 1, 2011

No chills or burns from temperature surprises: An empirical analysis of the weather derivatives market pp. 1-33 Downloads
Ludwig Chincarini
Asymmetric pricing of implied systematic volatility in the cross‐section of expected returns pp. 34-54 Downloads
Jared DeLisle, James Doran and David R. Peterson
Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper pp. 55-80 Downloads
Ahmed Khalifa, Hong Miao and Sanjay Ramchander
Do individual index futures investors destabilize the underlying spot market? pp. 81-101 Downloads
Martin T. Bohl, Christian A. Salm and Bernd Wilfling

Volume 30, issue 12, 2010

Editor's note pp. 1107-1107 Downloads
Robert I. Webb
Exchange traded contracts for difference: Design, pricing, and effects pp. 1108-1149 Downloads
Christine Brown, Jonathan Dark and Kevin Davis
A modified static hedging method for continuous barrier options pp. 1150-1166 Downloads
San‐Lin Chung, Pai‐Ta Shih and Wei-Che Tsai
Forecasting volatility: Roles of sampling frequency and forecasting horizon pp. 1167-1191 Downloads
Wing Chan, Xin Cheng and Joseph K.W. Fung
The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets pp. 1192-1209 Downloads
Hung‐Gay Fung, Qingfeng “Wilson” Liu and Yiuman Tse

Volume 30, issue 11, 2010

A new simple square root option pricing model pp. 1007-1025 Downloads
António Câmara and Yaw‐huei Wang
Efficient quadrature and node positioning for exotic option valuation pp. 1026-1057 Downloads
San‐Lin Chung, Kunyi Ko, Mark Shackleton and Chung‐Ying Yeh
Economic determinants of default risks and their impacts on credit derivative pricing pp. 1058-1081 Downloads
Szu‐Lang Liao and Jui‐Jane Chang
Optimal approximations of nonlinear payoffs in static replication pp. 1082-1099 Downloads
Qiang Liu
A note on the relationship between the variability of the hedge ratio and hedging performance pp. 1100-1104 Downloads
Donald Lien

Volume 30, issue 10, 2010

The early news catches the attention: On the relative price impact of similar economic indicators pp. 909-937 Downloads
Dieter Hess and Alexandra Niessen
Currency option pricing: Mean reversion and multi‐scale stochastic volatility pp. 938-956 Downloads
Hoi Ying Wong and Jing Zhao
The dynamics of long forward rate term structures pp. 957-982 Downloads
Xingguo Luo and Jin E. Zhang
Alternative tilts for nonparametric option pricing pp. 983-1006 Downloads
M. Ryan Haley and Todd Walker

Volume 30, issue 9, 2010

The new market for volatility trading pp. 809-833 Downloads
Jin E. Zhang, Jinghong Shu and Menachem Brenner
How firms should hedge: An extension pp. 834-845 Downloads
Olaf Korn
Delivery horizon and grain market volatility pp. 846-873 Downloads
Berna Karali, Jeffrey Dorfman and Walter Thurman
The incremental value of a futures hedge using realized volatility pp. 874-896 Downloads
Yu‐Sheng Lai and Her‐Jiun Sheu
Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices pp. 897-908 Downloads
Wei‐Han Liu

Volume 30, issue 8, 2010

Further analysis of the speed of response to large trades in interest rate futures pp. 705-724 Downloads
James Richard Cummings and Alex Frino
Performance and persistence of Commodity Trading Advisors: Further evidence pp. 725-752 Downloads
Greg N. Gregoriou, Georges Hübner and Maher Kooli
Regime‐switching in stock index and Treasury futures returns and measures of stock market stress pp. 753-779 Downloads
Naresh Bansal, Robert Connolly and Chris Stivers
Hedging and value at risk: A semi‐parametric approach pp. 780-794 Downloads
Zhiguang Cao, Richard Harris and Jian Shen
Effects of omitting information variables on optimal hedge ratio estimation: A note pp. 795-800 Downloads
Donald Lien
Optimal hedge ratios in the presence of common jumps pp. 801-807 Downloads
Wing Chan

Volume 30, issue 7, 2010

The effects of structural breaks and long memory on currency hedging pp. 607-632 Downloads
Donald Lien and Li Yang
A reality check on technical trading rule profits in the U.S. futures markets pp. 633-659 Downloads
Cheol‐Ho Park and Scott Irwin
Valuation of housing index derivatives pp. 660-688 Downloads
Melanie Cao and Jason Wei
Estimating financial risk measures for futures positions: A nonparametric approach pp. 689-703 Downloads
John Cotter and Kevin Dowd

Volume 30, issue 6, 2010

Empirical tests of canonical nonparametric American option‐pricing methods pp. 509-532 Downloads
Jamie Alcock and Diana Auerswald
Information content of volatility spreads pp. 533-558 Downloads
Byung Jin Kang, Tong Suk Kim and Sun‐Joong Yoon
Equilibrium pricing of contingent claims in tradable permit markets pp. 559-589 Downloads
Masaaki Kijima, Akira Maeda and Katsumasa Nishide
Price discovery in electronic foreign exchange markets: The sterling/dollar market pp. 590-606 Downloads
Russell Poskitt

Volume 30, issue 5, 2010

General equilibrium and preference free model for pricing options under transformed gamma distribution pp. 409-431 Downloads
Luiz Vitiello and Ser-Huang Poon
Size clustering in the FTSE100 index futures market pp. 432-443 Downloads
Owain ap Gwilym and Lei Meng
Option pricing under Markov‐switching GARCH processes pp. 444-464 Downloads
Chao‐Chun Chen and Ming‐Yang Hung
Examination of long‐term bond iShare option selling strategies pp. 465-489 Downloads
David P. Simon
Persistence in some energy futures markets pp. 490-507 Downloads
Juncal Cuñado, Luis A. Gil‐Alana and Fernando Pérez de Gracia

Volume 30, issue 4, 2010

The bias in time series volatility forecasts pp. 305-323 Downloads
Louis H. Ederington and Wei Guan
Option prices and risk‐neutral densities for currency cross rates pp. 324-360 Downloads
Stephen J. Taylor and Yaw‐Huei Wang
The impact of off‐market trading on liquidity: Evidence from the Australian options market pp. 361-377 Downloads
Andrew Lepone and Jin Young Yang
The economic significance of conditional skewness in index option markets pp. 378-406 Downloads
Ranjini Jha and Madhu Kalimipalli

Volume 30, issue 3, 2010

Narrow framing: Professions, sophistication, and experience pp. 203-229 Downloads
Yu‐Jane Liu, Ming‐Chun Wang and Longkai Zhao
Volatility components: The term structure dynamics of VIX futures pp. 230-256 Downloads
Zhongjin Lu and Yingzi Zhu
Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator pp. 257-277 Downloads
Berna Karali, Jeffrey Dorfman and Walter Thurman
The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution pp. 278-289 Downloads
Donald Lien
Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”? pp. 290-304 Downloads
Gabriel Power and Dmitry Vedenov

Volume 30, issue 2, 2010

A maximal affine stochastic volatility model of oil prices pp. 101-133 Downloads
W. Keener Hughen
The information content of implied volatility: Evidence from Australia pp. 134-155 Downloads
Bart Frijns, Christian Tallau and Alireza Tourani‐Rad
Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets pp. 156-174 Downloads
Libin Tao and Frank Song
Pricing American options by canonical least‐squares Monte Carlo pp. 175-187 Downloads
Qiang Liu
Threshold levels, strike price grid, and other market microstructure issues associated with exchange‐traded equity options pp. 188-201 Downloads
Edwin Maberly, Raylene Pierce and Patrick Catania

Volume 30, issue 1, 2010

Local trader profitability in futures markets: Liquidity and position taking profits pp. 1-24 Downloads
Alex Frino, Elvis Jarnecic and Roger Feletto
Corporate usage of financial derivatives, information asymmetry, and insider trading pp. 25-47 Downloads
Hoa Nguyen, Robert Faff and Allan Hodgson
The CBOE S&P 500 three‐month variance futures pp. 48-70 Downloads
Jin E. Zhang and Yuqin Huang
Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches pp. 71-99 Downloads
Sung Y. Park and Sang Young Jei
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