Journal of Futures Markets
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Information flows and option bid/ask spreads
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Investor attention and stock market under‐reaction to earnings announcements: Evidence from the options market
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Financial futures markets: Is more regulation needed?
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Piecewise linear double barrier options
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Design, pricing, and returns of short‐term hog marketing window contracts
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On estimating an asset's implicit beta
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An empirical test of the Hull‐White option pricing model
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Time‐varying pure contagion effect between energy and nonenergy commodity markets
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Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility
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Can the Indicative Price System Mitigate Expiration‐Day Effects?
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The jump component of the volatility structure of interest rate futures markets: An international comparison
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Time‐varying price discovery in regular and microbitcoin futures
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Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model
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Pricing and Hedging the Smile with SABR: Evidence from the Interest Rate Caps Market
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Journal of Futures Markets: Volume 36, Number 7, July 2016
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A note on hedging and solvency: The case of a phoenix
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Option prices and risk‐neutral densities for currency cross rates
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The impact of soft intervention on the Chinese financial futures market
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Flexible covariance dynamics, high‐frequency data, and optimal futures hedging
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Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures
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Futures Market Volatility: What Has Changed?
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Masthead
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Volatility index and the return–volatility relation: Intraday evidence from Chinese options market
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Return predictability of variance differences: A fractionally cointegrated approach
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VIX futures
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Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract
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Nonlinearities and chaotic effects in options prices
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Limit moves and price resolution: The case of the treasury bond futures market: A comment
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Does Futures Speculation Destabilize Commodity Markets?
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Memory and equilibrium futures prices
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The quantile dependence of commodity futures markets on news sentiment
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Improving lattice schemes through bias reduction
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Optimal hedging when preferences are state dependent
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The futures market: Liquidity and the technique of spreading
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Low‐frequency filters in seasonal analysis
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Informed Trading in the Options Market and Stock Return Predictability
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Pricing callable–puttable convertible bonds with an integral equation approach
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The soybean complex spread: An examination of market efficiency from the viewpoint of a production process
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Volatility model applications in China's SSE50 options market
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Journal of Futures Markets: Volume 42, Number 8, August 2022
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A Black–Scholes user's guide to the Bachelier model
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Information contents of intraday SSE 50 ETF options trades
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Do enhanced derivative disclosures work? An informational perspective
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Journal of Futures Markets: Volume 42, Number 1, January 2022
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Pricing VIX options with realized volatility
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Financial futures, bank portfolio risk, and accounting
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Alternative tilts for nonparametric option pricing
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Differences between futures and forward prices: A further investigation of the marking‐to‐market effects
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Clustering in the futures market: Evidence from S&P 500 futures contracts
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Forthcoming Articles
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Mean‐variance efficiency of the market portfolio and futures trading
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The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures
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Broker—customer arbitration: An attractive alternative to litigation
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Efficient trinomial trees for local‐volatility models in pricing double‐barrier options
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Estimating time‐varying optimal hedge ratios on futures markets
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Price Discovery in Interrelated Markets
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Funds protections: An overview of what happens when a commodity broker becomes insolvent
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Characterizing the hedging policies of commodity price‐sensitive corporations
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An analysis of the relationship between electricity and natural‐gas futures prices
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Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market
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Testing the mixture‐of‐distributions hypothesis using “realized” volatility
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Allocating nonreported futures commitments
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Trading tactics
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Masthead
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Estimating multiperiod hedge ratios in cointegrated markets
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The term structure of systematic and idiosyncratic risk
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Transitory real‐time property rights and exchange intellectual property
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Losers and prospectors in the short‐term options market
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The information content of an open limit‐order book
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Journal of Futures Markets: Volume 40, Number 7, July 2020
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Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock
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Pricing basket and Asian options under the jump‐diffusion process
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Masthead
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Municipal Bonds and Monetary Policy: Evidence from the Fed Funds Futures Market
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Commodity futures risk premium and unstable systematic risk
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One hundred years of rare disaster concerns and commodity prices
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Journal of Futures Markets: Volume 41, Number 12, December 2021
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Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning
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Trader networks and options risk management
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Uncertainty and investment: Evidence from domestic oil rigs
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Hedging pressure and oil volatility: Insurance versus liquidity demands
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Journal of Futures Markets: Volume 43, Number 7, July 2023
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Journal of Futures Markets: Volume 43, Number 5, May 2023
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Temperature, storage, and natural gas futures prices
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Probability weighting in commodity futures markets
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Multiscale Stochastic Volatility with the Hull–White Rate of Interest
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Hedging effectiveness of currency options and currency futures
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Editor's note
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Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market
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Optimal hedging with futures contracts: The case for fixed‐income portfolios
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Editor's Note
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Types of liquidity and limits to arbitrage—the case of credit default swaps
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The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach
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Harvest contract price volatility for cotton
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Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?
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Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading
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Journal of Futures Markets: Volume 37, Number 2, February 2017
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Block trades in options markets
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Lottery and bubble stocks and the cross‐section of option‐implied tail risks
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Normal backwardation is normal
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VIX futures pricing with conditional skewness
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Price Dynamics in Global Crude Oil Markets
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Price discovery in the aluminum market
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Effects of expected cash and futures prices on hedging and production: Comments and extensions
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Pricing and hedging in the freight futures market
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Journal of Futures Markets: Volume 36, Number 3, March 2016
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Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement
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Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market
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Erratum
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Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges
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Equity swaps in a LIBOR market model
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Structurally sound dynamic index futures hedging
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Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange
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Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
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Editorial comment and invitation for articles
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Temporal relationships and dynamic interactions between spot and futures stock markets
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Commodities trading: Foundations, analysis and operations by Andrew D. Seidel and Philip M. Ginsberg, prentice‐hall, englewood cliffs, nj, 1983, hardcover, 464 pp.
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Volatility and maturity effects in the Nikkei index futures
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On the informational role of treasury bill futures
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Interdependencies between agricultural commodity futures prices on the LIFFE
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A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio
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Editorial comment and invitation for articles
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Position limits for cash‐settled derivative contracts
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A contango‐constrained model for storable commodity prices
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Dispute resolution systems in the commodity futures industry
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Does adverse selection affect bid–ask spreads for options?
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A note on the relationship between the variability of the hedge ratio and hedging performance
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Editor's Note
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Expiration day effects: The case of Hong Kong
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Option Pricing Using the Martingale Approach with Polynomial Interpolation
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“Chaos” in futures markets? A nonlinear dynamical analysis
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Price discovery dynamics in European agricultural markets
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Long‐term Futures Curves and Seasonal Structures of Wheat in the European Union and the United States
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Futures and options expiration‐day effects: The Indian evidence
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The dynamics of commodity return comovements
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Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets
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The role of financial investors in determining the commodity futures risk premium
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An Approach to the Option Market Model Based on End‐User Net Demand
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Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index
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Volatility Discovery Across Stock Limit Order Book and Options Markets
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The cost of hedging and the optimal hedge ratio
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Measuring hedging effectiveness with R2: A note
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Editor's Note
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Determinants of an individual's demand for hedging instruments
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Risk and return in cattle and hog futures
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Masthead
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Derivatives and the price of risk
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Futures bibliography
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Transactions data tests of efficiency: An investigation in the Singapore futures markets
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The Cross‐Currency Hedging Performance of Implied Versus Statistical Forecasting Models
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Optimal weights and international portfolio hedging with U.S. dollar index futures: An empirical investigation
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Legal notes
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Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
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The intraday distribution of volatility and the value of wildcard options
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Commonality in trading activity and futures‐cash basis: Evidence from the Taiwan futures and stock markets
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A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets
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Long memory models for daily and high frequency commodity futures returns
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Application of mean‐variance analysis to broad‐based futures contracts
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Comments on “margins and futures contracts”
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Hedging Industrial Metals With Stochastic Volatility Models
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How potent are news reversals?: Evidence from the futures markets
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Editor's Note
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Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples
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Linkages between agricultural commodity futures contracts
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Does futures trading destabilize cash prices? Evidence for U. S. live beef cattle
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Examining the dependency in intra‐day stock index futures
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Call options with concave payoffs: An application to executive stock options
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Is stock return predictability of option‐implied skewness affected by the market state?
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The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures
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Futures Bibliography
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An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures
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Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options
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Optimal versus naive buy‐hedging with t‐bill futures
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Journal of Futures Markets: Volume 41, Number 1, January 2021
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Mixed manipulation strategies in commodity futures markets
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The relationship between volume and price variability in futures markets
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Substitution between revenue futures and price futures contracts: A note
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Price discovery and hedging in the sunflower market
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Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions
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Conditional OLS minimum variance hedge ratios
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The relationship between stock indices and stock index futures from 3:00–3:15: A note
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Hedging with synthetics, foreign‐exchange forwards, and the export decision
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Erratum
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Dependence in commodity prices: A comment
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Journal of Futures Markets: Volume 40, Number 2, February 2020
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The Chinese warrant bubble: A fundamental analysis
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Does deliverability enhance the value of U.S. Treasury bonds?
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Production, liquidity, and futures price dynamics
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Masthead
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Time series volatility of commodity futures prices
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A Filtering Process to Remove the Stochastic Component from Intraday Seasonal Volatility
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Options trading when the underlying market is not transparent
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Maturity effects in the Mexican interest rate futures market
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Masthead
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Investigation of a lead‐lag relationship between spot stock indices and their futures contracts
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Investment decision making with index futures and index futures options
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Pricing interest rate futures options with futures‐style margining
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Hedging with mismatched currencies
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Transaction tax and market quality of the Taiwan stock index futures
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Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply
