Journal of Futures Markets 2003 |
Title | Subject | Authors |
A first look at the empirical relation between spot and futures electricity prices in the United States. | Business, general | Shawky, Hany A., Marathe, Achla, Barrett, Christopher L. |
Analytic approximation formulae for pricing forward-starting Asian options. | Business, general | Tsao, Chueh-Yung, Chang, Chuang-Chang, Lin, Chung-Gee |
An empirical investigation of the Garch option pricing model: hedging performance. | Business, general | Yung, Haynes H.M., Hua Zhang |
An examination of the effectiveness of static hedging in the presence of stochastic volatility. | Business, general | Fink, Jason |
A note on the derivation of Black-Scholes hedge ratios. | Business, general | Su, Tie |
Approximating American option prices in the GARCH framework. | Business, general | Duan, Jin-Chuan, Simonato, Jean-Guy, Gauthier, Genevieve, Sasseville, Caroline |
Asymmetric covariance in spot-futures markets. | Business, general | Meneu, Vicente, Torro, Hipolit |
A two-mean reverting-factor model of the term structure of interest rates. | Business, general | Moreno, Manuel |
Bid-ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts. | Business, general | Ding, David K., Charoenwong, Charlie |
Commodity trading advisors' leverage and reported margin-to-equity ratios. | Business, general | |
Decreased price clustering in FTSE 100 future contracts following a transfer from floor to electronic trading.(Financial Times and the London Stock Exchange) | Business, general | Gwilym, Owain Ap, Alibo, Evamena |
Directly measuring early exercise premiums using American and European S&P 500 Index options. | Business, general | Miller, Thomas W., Dueker, Michael |
Disappointment aversion equilibrium in a futures market. | Business, general | Lien, Donald, Wang, Yaqin |
Discretionary government intervention and the mispricing of index futures. | Business, general | Draper, Paul, Fung, Joseph K.W. |
Futures hedging under mark-to-market risk. | Business, general | Lien, Donald, Li, Anlong |
Futures hedging using dynamic models of the variance/covariance structure. | Business, general | Theobald, Michael, Ponladesh Pooimars, Cadle, John |
Futures market equilibrium under Knightian uncertainty. | Business, general | Lien, Donald, Wang, Yaqin |
General equilibrium pricing of nonredundant forward contracts. | Business, general | Lioui, Abraham, Poncet, Patrice |
Hedging long-term commodity risk. | Business, general | Veld-Merkoulova, Yulia V., Roon, Frans A. De |
Looking for contagion in currency futures markets. | Business, general | Tai, Chu-Sheng |
On the adequacy of single-stock futures margining requirements. | Business, general | Dutt, Hans R., Wein, Ira L. |
On the optimal mix of corporate hedging instruments: linear versus nonlinear derivatives. | Business, general | Gay, Gerald, Nam Jouahn, Turac, Marian |
Optimal contract design: For whom?(derivative contracts) | Business, general | Bollen, Nicolas P.B., Whaley, Robert E., Smith, Tom |
Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and firm's costs of hedging. | Business, general | Chang, Carolyn W., Chang, Jack S.K. |
Options expiration effects and the role of individual share futures contracts.(Note) | Business, general | Lien, Donald, Yang, Yi |
Options on bond futures: isolating the risk premium. | Business, general | Tompkins, Robert G. |
Option volume and volatility response: to scheduled economic news releases. | Business, general | Nofsinger, John R., Prucyk, Brian |
Pricing continously sampled Asian options with perturbation methods. | Business, general | Zhang, Jin E. |
Pricing models of equity swaps. | Business, general | Wang, Ming-Chieh, Liao, Szu-Lang |
Pricing of moving-average-type options with applications. | Business, general | Kao, Chih-Hao, Lyuu, Yuh-Dauh |
Revisiting the empirical estimation of the effect of margin changes on futures trading volume. | Business, general | Dutt, Hans R., Wein, Ira L. |
Robust estimation of the optimal hedge ratio. | Business, general | Harris, Richard D.F., Shen, Jian |
Scheduled announcements and volatility patterns: The effects of monetary policy committee anouncements on LIBOR and short Sterling futures and options. | Business, general | |
Stock return dynamics, option volume, and the information content of implied volatility.(Chicago Board Options Exchange) | Business, general | Mayhew, Stewart, Stivers, Chris |
Testing the mixture-of-distributions hypothesis using "realized" volatility. | Business, general | Martens, Martin, Luu, James C. |
The components of interest rate swap spreads: theory and international evidence. | Business, general | Fehle, Frank |
The design and pricing of fixed- and moving-window contracts: an application of Asian-Basket option pricing methods to the hog-finishing sector. | Business, general | Roe, Brian, Shao, Renyuan |
The economic advantages of learners in a spot/ futures market. | Business, general | Linn Scott C., Stanhouse, Brayn E. |
The effectiveness of coordinating price limits across futures and price markets. | Business, general | Pin-Huang Chou, Mei-Chen Lin, Min-Teh Yu |
The effect of liquidity constraints on futures hedging. | Business, general | Lien, Donald |
The effect of spot and futures trading on stock index market volatility: a nonparametric approach. | Business, general | Illueca, M., LaFuente, J.A. |
The information content of implied volatility in agricultural commodity markets. | Business, general | Giot, Pierre |
The interrelation of price volatility and trading volume of currency options. | Business, general | Sarwar, Ghulam |
The jump component of the volatility structure of interest rates future markets: an international comparison. | Business, general | Chiarella, Carl, Thuy-Duong To |
The quality of volatility traded on the over-the-counter currency market: a multiple horizons study. | Business, general | Covrig, Vicentiu, Low, Buen Sin |
The valuation of multiple stock warrents. | Business, general | Terry, Eric, Lim, Kian-Guan |
Transitory real-time property rights and exchange intellectual property. | Business, general | Webb, Robert I. |
Volatility and trading demands in stock index futures. | Business, general | Liu, Y. Angela, Pan, Ming-Shiun, Roth, Herbert J. |
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