Printed from https://ideas.repec.org/s/wly/jfutmk5.html
Content
August 2014, Volume 34, Issue 8
- 703-703 Editor's Note
by Robert I. Webb - 704-730 Hedging Industrial Metals With Stochastic Volatility Models
by Qingfu Liu & Michael T. Chng & Dongxia Xu - 731-756 Trading Patience, Order Flows, and Liquidity in an Index Futures Market
by Caihong Xu - 757-787 Causes and Implications of Shifts in Financial Participation in Commodity Markets
by Bassam Fattouh & Lavan Mahadeva - 788-806 The Nelson–Siegel Model of the Term Structure of Option Implied Volatility and Volatility Components
by Biao Guo & Qian Han & Bin Zhao - 807-818 Commonality in Liquidity Across International Borders: Evidence from Futures Markets
by Alex Frino & Vito Mollica & Zeyang Zhou
July 2014, Volume 34, Issue 7
- 607-636 The Predictive Content of Commodity Futures
by Menzie D. Chinn & Olivier Coibion - 637-657 Options on Troubled Stock
by António Câmara & Ivilina Popova & Betty Simkins - 658-675 A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio
by Massimiliano Barbi & Silvia Romagnoli - 676-689 Incremental Value of a Futures Hedge Using Realized Ranges
by Her‐Jiun Sheu & Yu‐Sheng Lai - 690-702 Static Hedging with Traffic Light Options
by Michael Schmutz & Thomas Zürcher
June 2014, Volume 34, Issue 6
- 497-497 Editor's Note
by Robert I. Webb - 498-515 Option‐Implied Preference with Model Uncertainty
by Byung Jin Kang & Tong Suk Kim & Hyo Seob Lee - 516-547 How Informed Investors Take Advantage of Negative Information in Options and Stock Markets
by Jangkoo Kang & Hyoung‐Jin Park - 548-579 Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
by José Da Fonseca & Riadh Zaatour - 580-606 A Random Field LIBOR Market Model
by Tao L. Wu & Shengqiang Xu
May 2014, Volume 34, Issue 5
- 399-419 Exercise to Lose Money? Irrational Exercise Behavior from the Chinese Warrants Market
by Li Liao & Zhisheng Li & Weiqiang Zhang & Ning Zhu - 420-433 Do Seasonal Tropical Storm Forecasts Affect Crack Spread Prices?
by Jason Fink & Kristin Fink - 434-450 Municipal Bonds and Monetary Policy: Evidence from the Fed Funds Futures Market
by Carlo Rosa - 451-478 Option Valuation Under a Double Regime‐Switching Model
by Yang Shen & Kun Fan & Tak Kuen Siu - 479-495 A Filtering Process to Remove the Stochastic Component from Intraday Seasonal Volatility
by Jang Hyung Cho & Robert T. Daigler
April 2014, Volume 34, Issue 4
- 299-319 Closing Call Auctions at the Index Futures Market
by Björn Hagströmer & Lars Nordén - 320-345 Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options
by Jamie Alcock & Godfrey Smith - 346-373 Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations
by Jukka Sihvonen & Sami Vähämaa - 374-398 Measuring Hedging Effectiveness of Index Futures Contracts: Do Dynamic Models Outperform Static Models? A Regime‐Switching Approach
by Enrique Salvador & Vicent Aragó
March 2014, Volume 34, Issue 3
- 203-219 Price Discovery in Interrelated Markets
by Donald Lien & Keshab Shrestha - 220-234 Recursive Formula for Arithmetic Asian Option Prices
by Kyungsub Lee - 235-260 A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis
by Adam Schmitz & Zhiguang Wang & Jung‐Han Kimn - 261-281 The Return‐Implied Volatility Relation for Commodity ETFs
by Chaiyuth Padungsaksawasdi & Robert T. Daigler - 282-297 Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach
by Shiqing Xie & Taiping Mo
February 2014, Volume 34, Issue 2
- 103-123 The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts
by David K. Ding & Yiuman Tse & Michael R. Williams - 124-144 Pricing Forward Skew Dependent Derivatives. Multifactor Versus Single‐Factor Stochastic Volatility Models
by Jacinto Marabel Romo - 145-172 Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures
by Junmao Chiu & Huimin Chung & George H. K. Wang - 173-202 Optimal Futures Hedging Under Multichain Markov Regime Switching
by Her‐Jiun Sheu & Hsiang‐Tai Lee
January 2014, Volume 34, Issue 1
- 1-19 Pricing Multiasset Cross‐Currency Options
by Kenichiro Shiraya & Akihiko Takahashi - 20-33 The Impact of Co‐Location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity
by Alex Frino & Vito Mollica & Robert I. Webb - 34-55 Aggregate Volatility and Market Jump Risk: An Option‐Based Explanation to Size and Value Premia
by Yakup Eser Arisoy - 56-73 The Relation Between Market Liquidity and Anonymity in the Presence of Tick Size Constraints
by Christine Brown & Astrophel Kim Choo & Sean Pinder - 74-92 Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX
by Robert T. Daigler & Ann Marie Hibbert & Ivelina Pavlova - 93-101 The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
by Lin Gao & Lu Liu
December 2013, Volume 33, Issue 12
- 1097-1117 How Different Types of Traders Behave in the Taiwan Futures Market
by Hung Chih Li & Chao Hsien Lin & Teng Yuan Cheng & Syouching Lai - 1118-1142 Long‐term Futures Curves and Seasonal Structures of Wheat in the European Union and the United States
by Sergio H. Lence & Hervé G. Ott & Chad E. Hart - 1143-1166 A Quasi‐Analytical Pricing Model for Arithmetic Asian Options
by Jianqiang Sun & Langnan Chen & Shiyin Li - 1167-1190 Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach
by Haiqiang Chen & Qian Han & Yingxing Li & Kai Wu - 1191-1196 A Note on Exports and Hedging Exchange Rate Risks: The Multi‐Country Case
by Kit Pong Wong
November 2013, Volume 33, Issue 11
- 993-993 Editor's Note
by Robert I. Webb - 994-1023 Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
by Sebastian Löhr & Olga Mursajew & Daniel Rösch & Harald Scheule - 1024-1045 Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets
by Joakim Westerlund & Paresh Narayan - 1046-1070 Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market
by Sobhesh Kumar Agarwalla & Ajay Pandey - 1071-1095 Investigating the Information Content of the Model‐Free Volatility Expectation by Monte Carlo Methods
by Yuanyuan Zhang & Stephen J. Taylor & Lili Wang
October 2013, Volume 33, Issue 10
- 891-910 Can the Indicative Price System Mitigate Expiration‐Day Effects?
by J.B. Chay & Sol Kim & Hyeuk‐Sun Ryu - 911-938 Inflation Derivatives Under Inflation Target Regimes
by Mordecai Avriel & Jens Hilscher & Alon Raviv - 939-964 Market Reaction to Information Shocks—Does the Bloomberg and Briefing.com Survey Matter?
by Linda H. Chen & George J. Jiang & Qin Wang - 965-992 Strategic and Tactical Roles of Enhanced Commodity Indices
by Georgios Rallis & Joëlle Miffre & Ana‐Maria Fuertes
September 2013, Volume 33, Issue 9
- 795-826 A Multiphase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables
by Tian‐Shyr Dai & Chuan‐Ju Wang & Yuh‐Dauh Lyuu - 827-867 Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM
by Jui‐Jane Chang & Son‐Nan Chen & Ting‐Pin Wu - 868-888 The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio
by Jean‐Francois Carpantier & Besik Samkharadze - 889-890 Valuing Stock Options When Prices are Subject to a Lower Boundary: A Correction
by Markus Hertrich & Dirk Veestraeten
August 2013, Volume 33, Issue 8
- 696-723 Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies
by Donald Lien & Chongfeng Wu & Li Yang & Chunyang Zhou - 724-751 Exogenous Shocks and Information Transmission in Global Copper Futures Markets
by Libo Yin & Liyan Han - 752-773 Volatility Information in the Trading Activity of Stocks, Options, and Volatility Options
by Yaw‐Huei Wang - 774-794 Bid–Ask Spreads and Implied Volatilities of Key Players in a FX Options Market
by Dan Galai & Ben Z. Schreiber
July 2013, Volume 33, Issue 7
- 601-628 The Valuation of Equity Futures on the Tokyo Stock Exchange: 1920–1923
by Toby Daglish & Lyndon Moore - 629-652 Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction
by Biao Guo & Qian Han & Doojin Ryu - 653-674 Cross Hedging with Currency Forward Contracts
by Kit Pong Wong - 675-694 Commercial Real‐Estate Inventory and Theory of Storage
by Helyette Geman & Radu Tunaru
June 2013, Volume 33, Issue 6
- 493-493 Editor's Note
by Robert I. Webb - 494-517 A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface
by José Da Fonseca & Katrin Gottschalk - 518-554 The Linkage Between the Options and Credit Default Swap Markets During the Subprime Mortgage Crisis
by Tong Suk Kim & Yuen Jung Park & Jaesun Noh - 555-572 Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices
by Ihsan Ullah Badshah & Bart Frijns & Alireza Tourani‐Rad - 573-599 Transmigration Across Price Discovery Categories: Evidence from the U.S. CDS and Equity Markets
by Vincent Xiang & Michael Chng & Victor Fang
May 2013, Volume 33, Issue 5
- 397-420 Who Makes Markets? Liquidity Providers Versus Algorithmic Traders
by Joon Chae & Jaeuk Khil & Eun Jung Lee - 421-442 A Term Structure Model for VIX Futures
by Bujar Huskaj & Marcus Nossman - 443-468 The Intraday and Overnight Behavior of SPY Options and Adjusted Delta Hedging
by David P. Simon - 469-491 Option Pricing Using the Martingale Approach with Polynomial Interpolation
by Ming‐Chieh Wang & Li‐Jhang Huang & Szu‐Lang Liao
April 2013, Volume 33, Issue 4
- 299-326 Risk Management of Nonstandard Basket Options with Different Underlying Assets
by Georges Dionne & Geneviève Gauthier & Nadia Ouertani - 327-342 Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis
by Donald Lien & Gerui Lim & Li Yang & Chunyang Zhou - 343-368 A Markowitz Optimization of Commodity Futures Portfolios
by Leyuan You & Robert T. Daigler - 369-395 A Forward Monte Carlo Method for American Options Pricing
by Daniel Wei‐Chung Miao & Yung‐Hsin Lee
March 2013, Volume 33, Issue 3
- 199-234 Valuation Bounds on Barrier Options Under Model Uncertainty
by Yi Hong - 235-265 Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation
by Ihsan Ullah Badshah - 266-298 Impact of Liquidity on the Futures‐Cash Basis: Evidence from the Indian Market
by Palani‐Rajan Kadapakkam & Umesh Kumar
February 2013, Volume 33, Issue 2
- 103-128 Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market
by Xiaoneng Zhu - 129-157 Valuing Seller‐Defaultable Options
by Jin‐Ray Lu & Yi‐Chun Chen & Chih‐Chiang Hwang & Yi‐Chun Ting - 158-182 Multifactor Index Variance: The Case of the SPX 2000 to 2010
by Thaddeus Neururer & Andrew Kumiega - 183-198 Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options
by Qiang Liu & Shuxin Guo
January 2013, Volume 33, Issue 1
- 1-28 Conditional Volatility and the GARCH Option Pricing Model with Non‐Normal Innovations
by Suk Joon Byun & Byungsun Min - 29-43 A Closer Look at Barrier Exchange Options
by Christine A. Brown & John C. Handley & Ken Palmer - 44-54 Some New Results on When Extra Risk Strictly Increases an Option's Value
by James Huang & Deyuan Zhang - 55-76 Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
by Owain ap Gwilym & Thanos Verousis - 77-102 A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges
by Eduardo Rossi & Paolo Santucci de Magistris
December 2012, Volume 32, Issue 12
- 1091-1091 Editor's Note
by Robert I. Webb - 1092-1123 The Term Structure of VIX
by Xingguo Luo & Jin E. Zhang - 1124-1143 Does International Order Flow Contribute to Price Discovery in Futures Markets?
by Alex Frino & Robert I. Webb & Hui Zheng - 1144-1170 Are Derivative Warrants Overpriced?
by Joseph K. W. Fung & Ted Z. X. Zeng - 1171-1191 Fitting and testing for the implied volatility curve using parametric models
by Chuang‐Chang Chang & Pin‐Huang Chou & Tzu‐Hsiang Liao
November 2012, Volume 32, Issue 11
- 995-1033 A cointegrated commodity pricing model
by Katsushi Nakajima & Kazuhiko Ohashi - 1034-1059 Lévy betas: Static hedging with index futures
by Hoi Ying Wong & Edwin Kwan Hung Cheung & Shiu Fung Wong - 1060-1090 What risks do corporate bond put features insure against?
by Redouane Elkamhi & Jan Ericsson & Hao Wang
October 2012, Volume 32, Issue 10
- 909-944 Optimal hedging with higher moments
by Chris Brooks & Alešs Černý & Joëlle Miffre - 945-963 Production and hedging under state‐dependent preferences
by Kit Pong Wong - 964-994 Commonality in trading activity and futures‐cash basis: Evidence from the Taiwan futures and stock markets
by Hsiu‐Chuan Lee & Cheng‐Yi Chien & Tzu‐Hsiang Liao
September 2012, Volume 32, Issue 9
- 809-836 Trader Survival: Evidence from the Energy Futures Markets
by Naomi E. Boyd & Alexander Kurov - 837-876 The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated
by Ted Juhl & Ira G. Kawaller & Paul D. Koch - 877-908 The Quanto Adjustment and the Smile
by Jacinto Marabel Romo
August 2012, Volume 32, Issue 8
- 713-713 Editor's Note
by Robert I. Webb - 714-741 Liquidity Considerations in Estimating Implied Volatility
by Rohini Grover & Susan Thomas - 742-772 Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model
by Youngsoo Choi & Steven J. Jordan & Soonchan Ok - 773-791 Pricing and Hedging the Smile with SABR : Evidence from the Interest Rate Caps Market
by Tao L. Wu - 792-806 The Information Content of Model‐Free Implied Volatility
by Xin Cheng & Joseph K.W. Fung
July 2012, Volume 32, Issue 7
- 609-638 Does model fit matter for hedging? Evidence from FTSE 100 options
by Carol Alexander & Andreas Kaeck - 639-659 Time‐varying jump risk premia in stock index futures returns
by Wing Hong Chan & Liling Feng - 660-682 The impact of a pro‐rata algorithm on liquidity: Evidence from the NYSE LIFFE
by Andrew Lepone & Jin Young Yang - 683-711 Has the introduction of S&P 500 ETF options LED to improvements in price discovery of SPDRs?
by Wei‐Peng Chen & Huimin Chung
June 2012, Volume 32, Issue 6
- 505-535 A random walk down the options market
by George J. Jiang & Yisong S. Tian - 536-559 Does the price of crude oil respond to macroeconomic news?
by Arjun Chatrath & Hong Miao & Sanjay Ramchander - 560-586 A comparative study of range‐based stock return volatility estimators for the German market
by Neda Todorova & Sven Husmann - 587-608 Variance risk premiums and predictive power of alternative forward variances in the corn market
by Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi
May 2012, Volume 32, Issue 5
- 397-430 Hedging under model misspecification: All risk factors are equal, but some are more equal than others …
by Nicole Branger & Eva Krautheim & Christian Schlag & Norman Seeger - 431-458 Multivariate downside risk: Normal versus Variance Gamma
by Martin Wallmeier & Martin Diethelm - 459-479 The convenience yield implied in European natural gas hub trading
by Markus Hochradl & Margarethe Rammerstorfer - 480-503 Equity volatility, bond yields, and yield spreads
by Daniel Jubinski & Amy F. Lipton
April 2012, Volume 32, Issue 4
- 301-329 Types of liquidity and limits to arbitrage—the case of credit default swaps
by Karan Bhanot & Liang Guo - 330-359 Options on federal funds futures and interest rate volatility
by Jahangir Sultan - 360-388 Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market
by Youngsoo Choi & SoonChan Ok - 389-396 A note on the performance of regime switching hedge strategy
by Donald Lien
March 2012, Volume 32, Issue 3
- 203-229 Regime‐dependent smile‐adjusted delta hedging
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis - 230-251 The role of the temporary component in spot prices in the revision of expected future spot prices: Evidence from index futures quotes
by Hyung Cheol Kang & Dong Wook Lee & Eun Jung Lee & Kyung Suh Park - 252-271 The relationship between currency carry trades and U.S. stocks
by Yiuman Tse & Lin Zhao - 272-299 An empirical analysis of dynamic multiscale hedging using wavelet decomposition
by Thomas Conlon & John Cotter
February 2012, Volume 32, Issue 2
- 99-121 Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
by Jian Yang & Zihui Yang & Yinggang Zhou - 122-151 Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates
by Aaron Tornell & Chunming Yuan - 152-165 Quantitative impact of correlation errors on basket options with time‐varying correlations
by Amy S.K. Wong - 166-190 An analytical formula for VIX futures and its applications
by Song‐Ping Zhu & Guang‐Hua Lian - 191-198 Comment on “A new simple square root option pricing model”
by Hwa‐Sung Kim & Jangkoo Kang & Jeongwoo Shin - 199-202 Reply to “A comment on “A new simple square root option pricing model””
by Yaw‐Huei Wang
January 2012, Volume 32, Issue 1
- 1-23 Are speculators informed?
by Krista Schwarz - 24-46 Causality in the VIX futures market
by Jinghong Shu & Jin E. Zhang - 47-74 Option happiness and liquidity: Is the dynamics of the volatility smirk affected by relative option liquidity?
by Lars Nordén & Caihong Xu - 75-91 On approximating deep in‐the‐money Asian options under exponential Lévy processes
by Leonard Tchuindjo - 92-97 A note on utility‐based futures hedging performance measure
by Donald Lien
December 2011, Volume 31, Issue 12
- 1115-1115 Editor's note
by Robert I. Webb - 1116-1141 The impact of liquidity on option prices
by Robin K. Chou & San‐Lin Chung & Yu‐Jen Hsiao & Yaw‐Huei Wang - 1142-1169 Intraday price formation and bid–ask spread components: A new approach using a cross‐market model
by Doojin Ryu - 1170-1201 The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index
by San‐Lin Chung & Wei‐Che Tsai & Yaw‐Huei Wang & Pei‐Shih Weng - 1202-1227 The performance of alternative futures buy‐write strategies
by Sanry Y.S. Che & Joseph K.W. Fung
November 2011, Volume 31, Issue 11
- 1011-1051 A robust model of the convenience yield in the natural gas market
by Thomas Volmer - 1052-1075 Volatility spillover effects and cross hedging in corn and crude oil futures
by Feng Wu & Zhengfei Guan & Robert J. Myers - 1076-1113 Long memory and structural breaks in commodity futures markets
by Jerry Coakley & Jian Dollery & Neil Kellard
October 2011, Volume 31, Issue 10
- 915-946 Dominant markets, staggered openings, and price discovery
by Bahram Adrangi & Arjun Chatrath & Rohan A. Christie‐David & Kiseop Lee - 947-970 On the calibration of mortality forward curves
by Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng & Wai‐Sum Chan - 971-994 American option valuation: Implied calibration of GARCH pricing models
by Michael Weber & Marcel Prokopczuk - 995-1010 The Fed's policy decisions and implied volatility
by Sami Vähämaa & Janne Äijö
September 2011, Volume 31, Issue 9
- 809-829 Numerical pricing of American options under infinite activity Lévy processes
by Nisha Rambeerich & Desire Yannick Tangman & Muddun Bhuruth - 830-854 Pricing basket and Asian options under the jump‐diffusion process
by Kwangil Bae & Jangkoo Kang & Hwa‐Sung Kim - 855-897 Optimal partial hedging of options with small transaction costs
by A. Elizabeth Whalley - 898-914 Small traders in currency futures markets
by Andreas Röthig & Carl Chiarella
August 2011, Volume 31, Issue 8
- 703-726 Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets
by Spyros Spyrou & Andrianos Tsekrekos & Georgia Siougle - 727-754 Density forecasts of crude‐oil prices using option‐implied and ARCH‐type models
by Esben Høg & Leonidas Tsiaras - 755-778 Open interest, cross listing, and information shocks
by Samir Aguenaou & Owain Ap Gwilym & Mark Rhodes - 779-807 Time‐varying market price of risk in the crude oil futures market
by Ramaprasad Bhar & Damien Lee
July 2011, Volume 31, Issue 7
- 599-628 A new look at the forward premium “puzzle”
by Haitham A. Al‐Zoubi - 629-658 Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998
by Charles Cao & Eric Ghysels & Frank Hatheway - 659-678 Convexity meets replication: Hedging of swap derivatives and annuity options
by Wendong Zheng & Yue Kuen Kwok - 679-702 Oil volatility and the option value of waiting: An analysis of the G‐7
by Don Bredin & John Elder & Stilianos Fountas
June 2011, Volume 31, Issue 6
- 503-533 Why do expiring futures and cash prices diverge for grain markets?
by Nicole M. Aulerich & Raymond P. H. Fishe & Jeffrey H. Harris - 534-561 Risk premiums and predictive ability of BAX futures
by Nikolay Gospodinov & Ibrahim Jamali - 562-597 On the rate of convergence of binomial Greeks
by San‐Lin Chung & Weifeng Hung & Han‐Hsing Lee & Pai‐Ta Shih
May 2011, Volume 31, Issue 5
- 407-439 Pricing average options on commodities
by Kenichiro Shiraya & Akihiko Takahashi - 440-464 Pricing and hedging in the freight futures market
by Marcel Prokopczuk - 465-486 Cash trading and index futures price volatility
by Jinliang Li - 487-501 Market efficiency among futures with different maturities: Evidence from the crude oil futures market
by Kaoru Kawamoto & Shigeyuki Hamori
April 2011, Volume 31, Issue 4
- 307-339 A simplified pricing model for volatility futures
by Brice Dupoyet & Robert T. Daigler & Zhiyao Chen - 340-370 Capped equity swaps under the double‐jump stochastic volatility model with stochastic interest rates
by Jia‐Hau Guo - 371-393 Maturity effects in the Mexican interest rate futures market
by Pedro Gurrola & Renata Herrerías - 394-406 Optimal arbitrage strategies on stock index futures under position limits
by Min Dai & Yifei Zhong & Yue Kuen Kwok
March 2011, Volume 31, Issue 3
- 205-229 Sources of variation in holding returns for fed funds futures contracts
by James D. Hamilton & Tatsuyoshi Okimoto - 230-250 Pricing real options under the constant elasticity of variance diffusion
by José Carlos Dias & João Pedro Vidal Nunes - 251-281 The performance of VIX option pricing models: Empirical evidence beyond simulation
by Zhiguang Wang & Robert T. Daigler - 282-306 Price discovery and investor structure in stock index futures
by Martin T. Bohl & Christian A. Salm & Michael Schuppli
February 2011, Volume 31, Issue 2
- 103-125 Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
by Alexander Van Haastrecht & Antoon Pelsser - 126-164 Demutualization and customer protection at self‐regulatory financial exchanges
by David Reiffen & Michel Robe - 165-191 A Markov regime‐switching ARMA approach for hedging stock indices
by Chao‐Chun Chen & Wen‐Jen Tsay - 192-203 Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
by Ivan Paya & David A. Peel
January 2011, Volume 31, Issue 1
- 1-33 No chills or burns from temperature surprises: An empirical analysis of the weather derivatives market
by Ludwig Chincarini - 34-54 Asymmetric pricing of implied systematic volatility in the cross‐section of expected returns
by R. Jared Delisle & James S. Doran & David R. Peterson - 55-80 Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper
by Ahmed A. A. Khalifa & Hong Miao & Sanjay Ramchander - 81-101 Do individual index futures investors destabilize the underlying spot market?
by Martin T. Bohl & Christian A. Salm & Bernd Wilfling
December 2010, Volume 30, Issue 12
- 1107-1107 Editor's note
by Robert I. Webb - 1108-1149 Exchange traded contracts for difference: Design, pricing, and effects
by Christine Brown & Jonathan Dark & Kevin Davis - 1150-1166 A modified static hedging method for continuous barrier options
by San‐Lin Chung & Pai‐Ta Shih & Wei‐Che Tsai - 1167-1191 Forecasting volatility: Roles of sampling frequency and forecasting horizon
by Wing Hong Chan & Xin Cheng & Joseph K.W. Fung - 1192-1209 The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets
by Hung‐Gay Fung & Qingfeng “Wilson” Liu & Yiuman Tse
November 2010, Volume 30, Issue 11
- 1007-1025 A new simple square root option pricing model
by António Câmara & Yaw‐huei Wang - 1026-1057 Efficient quadrature and node positioning for exotic option valuation
by San‐Lin Chung & Kunyi Ko & Mark B. Shackleton & Chung‐Ying Yeh - 1058-1081 Economic determinants of default risks and their impacts on credit derivative pricing
by Szu‐Lang Liao & Jui‐Jane Chang - 1082-1099 Optimal approximations of nonlinear payoffs in static replication
by Qiang Liu - 1100-1104 A note on the relationship between the variability of the hedge ratio and hedging performance
by Donald Lien