Journal of Futures Markets
-
Futures bibliography
-
Legal and regulatory developments
-
Editor's note
-
A discretionary approach to hedging a lender's exposure in adjustable rate mortgages
-
The Chinese interbank repo market: An analysis of term premiums
-
Piecewise linear double barrier options
-
Design, pricing, and returns of short‐term hog marketing window contracts
-
On estimating an asset's implicit beta
-
VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy
-
An empirical test of the Hull‐White option pricing model
-
The impact of soft intervention on the Chinese financial futures market
-
Pricing American Put Options Using the Mean Value Theorem
-
Cash settlement of futures contracts: An economic analysis
-
Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market
-
Semistatic hedging and pricing American floating strike lookback options
-
Can the Indicative Price System Mitigate Expiration‐Day Effects?
-
Pricing and Hedging the Smile with SABR: Evidence from the Interest Rate Caps Market
-
A reexamination of portfolio insurance: The use of index put options
-
Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach
-
A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
-
Estimating risk‐neutral freight rate dynamics: A nonparametric approach
-
VIX futures
-
The quantile dependence of commodity futures markets on news sentiment
-
Hedging foreign exchange risk with currency futures: Portfolio effects
-
Safety‐adjusted performance evaluation
-
Trading volume and transaction costs in futures markets
-
Net Buying Pressure and Option Informed Trading
-
The pricing relationship of eurodollar futures and eurodollar deposit rates
-
Financial futures markets: Is more regulation needed?
-
Volatility spillovers in commodity futures markets: A network approach
-
An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
-
Commonality in trading activity and futures‐cash basis: Evidence from the Taiwan futures and stock markets
-
Masthead
-
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
-
Bitcoin futures risk premia
-
Flexible covariance dynamics, high‐frequency data, and optimal futures hedging
-
Futures Market Volatility: What Has Changed?
-
Return predictability of variance differences: A fractionally cointegrated approach
-
Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract
-
Nonlinearities and chaotic effects in options prices
-
Limit moves and price resolution: The case of the treasury bond futures market: A comment
-
Does Futures Speculation Destabilize Commodity Markets?
-
Masthead
-
The Demand for Warrants and Issuer Pricing Strategies
-
Options listings and individual equity volatility
-
Futures trading, transaction costs, and stock market volatility
-
Information and the arrival rate of option trading volume
-
Spot‐futures spread, time‐varying correlation, and hedging with currency futures
-
Optimal approximations of nonlinear payoffs in static replication
-
An application of finite elements to option pricing
-
Optimal futures heading: Quadratic versus exponential utility functions
-
Estimating the extended mean‐gini coefficient for futures hedging
-
A Black–Scholes user's guide to the Bachelier model
-
Trader types and fleeting orders: Evidence from Taiwan Futures Exchange
-
State space modeling of price and volume dependence: Evidence from currency futures
-
Determinants of Japanese Yen interest rate swap spreads: Evidence from a smooth transition vector autoregressive model
-
Spread volatility in commodity futures: The length effect
-
Optimal hedging when preferences are state dependent
-
Intraday futures volatility and theories of market behavior
-
Information contents of intraday SSE 50 ETF options trades
-
Linkages between agricultural commodity futures contracts
-
Arbitrage opportunities in metal futures markets
-
The futures market: Liquidity and the technique of spreading
-
Low‐frequency filters in seasonal analysis
-
Oil price volatility and real options: 35 years of evidence
-
Informed Trading in the Options Market and Stock Return Predictability
-
Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives
-
Journal of Futures Markets: Volume 37, Number 5, May 2017
-
Futures margins and stock price volatility: Is there any link?
-
Small traders in currency futures markets
-
Information content of the fed funds rates
-
The soybean complex spread: An examination of market efficiency from the viewpoint of a production process
-
Energy futures by J. E. Treat et al., pennwell books, tulsa ok, 1984, hardcover, 158pp.
-
Performance of estimated hedging ratios under yield uncertainty
-
Contemporary and long‐run correlations: A covariance component model and studies on the S&P 500 cash and futures markets
-
Multifactor implied volatility functions for HJM models
-
Volatility information implied in the term structure of VIX
-
Reverse convertible bonds analyzed
-
A further investigation of the lead‐lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France
-
Cross hedging in currency forward markets: A note
-
Futures trading liquidity: An application of a futures trading model
-
Pricing FTSE 100 index options under stochastic volatility
-
Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges
-
Hedging costs and joint determinants of premiums and spreads in structured financial products
-
Corridor Volatility Risk and Expected Returns
-
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock
-
Stock index futures trading and volatility in international equity markets
-
Volatility model applications in China's SSE50 options market
-
Journal of Futures Markets: Volume 42, Number 8, August 2022
-
Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment
-
A further investigation of the day‐of‐the‐week effect in the gold market
-
Identifying seasonality in futures prices using X‐11
-
Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information
-
Clustering in the futures market: Evidence from S&P 500 futures contracts
-
Margin requirements in futures markets: Their relationship to price volatility
-
Treasury‐bill futures market: A formulation and interpretation
-
The Fed funds futures rate as a predictor of federal reserve policy
-
A comment on greenstone's “the coffee cartel: Manipulation in the public interest”
-
Connectivity costs and price efficiency: An event study
-
Journal of Futures Markets: Volume 40, Number 5, May 2020
-
Updating the estimation of the supply of storage
-
Estimating the effective BID/ASK spread from time and sales data
-
Equilibrium pricing of contingent claims in tradable permit markets
-
Fred Gehm, Commodity Market Money Management, John Wiley and Sons, New York, 1983, 361 pp.
-
AVIX: An Improved VIX Based on Stochastic Interest Rates and an Adaptive Screening Mechanism
-
Masthead
-
Testing range estimators of historical volatility
-
The regulation of futures contract innovations in the united states
-
Estimating the optimal hedge ratio with focus information criterion
-
Broker—customer arbitration: An attractive alternative to litigation
-
Efficient trinomial trees for local‐volatility models in pricing double‐barrier options
-
Regime switching in the yield curve
-
Funds protections: An overview of what happens when a commodity broker becomes insolvent
-
Allocating nonreported futures commitments
-
Static Hedging with Traffic Light Options
-
An empirical test for parities between metal prices at the LME
-
Robust information share measures with an application on the international crude oil markets
-
Trading tactics
-
Option price behavior in grain futures markets
-
Note on initial margin to net asset value: Average values for the commodity pool industry
-
Option pricing with state‐dependent pricing kernel
-
Delivery risk and the hedging role of options
-
Masthead
-
Journal of Futures Markets: Volume 41, Number 12, December 2021
-
Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning
-
Journal of Futures Markets: Volume 43, Number 7, July 2023
-
Probability weighting in commodity futures markets
-
Efficiency tests in the Spanish futures markets
-
On the calibration of mortality forward curves
-
Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market
-
Risk Management of Nonstandard Basket Options with Different Underlying Assets
-
Intermediary asset pricing in currency carry trade returns
-
Masthead
-
Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates
-
Options, futures, and business risk
-
Analytic approximation formulae for pricing forward‐starting Asian options
-
Journal of Futures Markets: Volume 39, Number 2, February 2019
-
Informed options trading on the implied volatility surface: A cross‐sectional approach
-
Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market
-
Livestock Revenue Insurance
-
Intraday behavior of market depth in a competitive dealer market: A note
-
Examining the dependency in intra‐day stock index futures
-
Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets
-
(Micro) fads in asset prices: Evidence from the futures market
-
A non‐lattice pricing model of American options under stochastic volatility
-
Robust upper bounds for American put options
-
Interdependencies between agricultural commodity futures prices on the LIFFE
-
A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio
-
The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach
-
Journal of Futures Markets: Volume 43, Number 11, November 2023
-
Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula
-
Do VIX futures contribute to the valuation of VIX options?
-
Tests on the Monotonicity Properties of KOSPI 200 Options Prices
-
Trading and hedging in S&P 500 spot and futures markets using genetic programming
-
Investor attention and stock market under‐reaction to earnings announcements: Evidence from the options market
-
Stability and the hedging performance of foreign currency futures
-
Empirical tests of canonical nonparametric American option‐pricing methods
-
Futures bibliography
-
The specification of GARCH models with stochastic covariates
-
Editorial comment and invitation for articles
-
The gold‐silver spread: Integration, cointegration, predictability, and ex‐ante arbitrage
-
Masthead
-
Dynamics in the VIX complex
-
A note on the effects of the initiation of major market index futures on the daily returns of the component stocks
-
Volatility trade design
-
Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
-
Masthead
-
Robust live hog pricing strategies under uncertain prices and risk preferences
-
Vulnerable options, risky corporate bond, and credit spread
-
Pricing Vulnerable Options with Jump Clustering
-
Journal of Futures Markets: Volume 37, Number 2, February 2017
-
VIX futures pricing with conditional skewness
-
A Stochastic Dynamic Program for Valuing Options on Futures
-
Pricing and hedging in the freight futures market
-
Journal of Futures Markets: Volume 36, Number 3, March 2016
-
What moves the gold market?
-
The mispricing of callable U.S. treasury bonds: A note
-
Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement
-
The behavior of “false” futures prices
-
A test of the Samuelson Hypothesis using realized range
-
Equity swaps in a LIBOR market model
-
Option expirations and treasury bond futures prices
-
Minimum‐variance futures hedging under alternative return specifications
-
Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange
-
Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
-
On the enhanced convergence of standard lattice methods for option pricing
-
Temporal relationships and dynamic interactions between spot and futures stock markets
-
Editor's Note
-
Currency barrier option pricing with mean reversion
-
Testing unbiasedness in futures markets: A clarification
-
Stock index futures contracts and separability of returns
-
An approximation formula for normal implied volatility under general local stochastic volatility models
-
The usefulness of historical data in selecting parameters for technical trading systems
-
Inter‐currency transmission of volatility in Foreign exchange futures
-
Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
-
Pricing options on agricultural futures: An application of the constant elasticity of variance option pricing model
-
Demutualization and customer protection at self‐regulatory financial exchanges
-
Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets
-
The role of financial investors in determining the commodity futures risk premium
-
An Approach to the Option Market Model Based on End‐User Net Demand
