Journal of Futures Markets 2003 - Abstracts

Journal of Futures Markets 2003
TitleSubjectAuthors
A first look at the empirical relation between spot and futures electricity prices in the United States.Business, generalShawky, Hany A., Marathe, Achla, Barrett, Christopher L.
Analytic approximation formulae for pricing forward-starting Asian options.Business, generalTsao, Chueh-Yung, Chang, Chuang-Chang, Lin, Chung-Gee
An empirical investigation of the Garch option pricing model: hedging performance.Business, generalYung, Haynes H.M., Hua Zhang
An examination of the effectiveness of static hedging in the presence of stochastic volatility.Business, generalFink, Jason
A note on the derivation of Black-Scholes hedge ratios.Business, generalSu, Tie
Approximating American option prices in the GARCH framework.Business, generalDuan, Jin-Chuan, Simonato, Jean-Guy, Gauthier, Genevieve, Sasseville, Caroline
Asymmetric covariance in spot-futures markets.Business, generalMeneu, Vicente, Torro, Hipolit
A two-mean reverting-factor model of the term structure of interest rates.Business, generalMoreno, Manuel
Bid-ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts.Business, generalDing, 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, generalGwilym, Owain Ap, Alibo, Evamena
Directly measuring early exercise premiums using American and European S&P 500 Index options.Business, generalMiller, Thomas W., Dueker, Michael
Disappointment aversion equilibrium in a futures market.Business, generalLien, Donald, Wang, Yaqin
Discretionary government intervention and the mispricing of index futures.Business, generalDraper, Paul, Fung, Joseph K.W.
Futures hedging under mark-to-market risk.Business, generalLien, Donald, Li, Anlong
Futures hedging using dynamic models of the variance/covariance structure.Business, generalTheobald, Michael, Ponladesh Pooimars, Cadle, John
Futures market equilibrium under Knightian uncertainty.Business, generalLien, Donald, Wang, Yaqin
General equilibrium pricing of nonredundant forward contracts.Business, generalLioui, Abraham, Poncet, Patrice
Hedging long-term commodity risk.Business, generalVeld-Merkoulova, Yulia V., Roon, Frans A. De
Looking for contagion in currency futures markets.Business, generalTai, Chu-Sheng
On the adequacy of single-stock futures margining requirements.Business, generalDutt, Hans R., Wein, Ira L.
On the optimal mix of corporate hedging instruments: linear versus nonlinear derivatives.Business, generalGay, Gerald, Nam Jouahn, Turac, Marian
Optimal contract design: For whom?(derivative contracts)Business, generalBollen, 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, generalChang, Carolyn W., Chang, Jack S.K.
Options expiration effects and the role of individual share futures contracts.(Note)Business, generalLien, Donald, Yang, Yi
Options on bond futures: isolating the risk premium.Business, generalTompkins, Robert G.
Option volume and volatility response: to scheduled economic news releases.Business, generalNofsinger, John R., Prucyk, Brian
Pricing continously sampled Asian options with perturbation methods.Business, generalZhang, Jin E.
Pricing models of equity swaps.Business, generalWang, Ming-Chieh, Liao, Szu-Lang
Pricing of moving-average-type options with applications.Business, generalKao, Chih-Hao, Lyuu, Yuh-Dauh
Revisiting the empirical estimation of the effect of margin changes on futures trading volume.Business, generalDutt, Hans R., Wein, Ira L.
Robust estimation of the optimal hedge ratio.Business, generalHarris, 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, generalMayhew, Stewart, Stivers, Chris
Testing the mixture-of-distributions hypothesis using "realized" volatility.Business, generalMartens, Martin, Luu, James C.
The components of interest rate swap spreads: theory and international evidence.Business, generalFehle, 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, generalRoe, Brian, Shao, Renyuan
The economic advantages of learners in a spot/ futures market.Business, generalLinn Scott C., Stanhouse, Brayn E.
The effectiveness of coordinating price limits across futures and price markets.Business, generalPin-Huang Chou, Mei-Chen Lin, Min-Teh Yu
The effect of liquidity constraints on futures hedging.Business, generalLien, Donald
The effect of spot and futures trading on stock index market volatility: a nonparametric approach.Business, generalIllueca, M., LaFuente, J.A.
The information content of implied volatility in agricultural commodity markets.Business, generalGiot, Pierre
The interrelation of price volatility and trading volume of currency options.Business, generalSarwar, Ghulam
The jump component of the volatility structure of interest rates future markets: an international comparison.Business, generalChiarella, Carl, Thuy-Duong To
The quality of volatility traded on the over-the-counter currency market: a multiple horizons study.Business, generalCovrig, Vicentiu, Low, Buen Sin
The valuation of multiple stock warrents.Business, generalTerry, Eric, Lim, Kian-Guan
Transitory real-time property rights and exchange intellectual property.Business, generalWebb, Robert I.
Volatility and trading demands in stock index futures.Business, generalLiu, Y. Angela, Pan, Ming-Shiun, Roth, Herbert J.
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