| Journal of Futures Markets 2007 |
| Title | Subject | Authors |
|---|
| A comment on "A hedging deficiency in Eurodollar Futures". | Business, general | Kawaller, Ira G. |
| An efficient approximation method for American exotic options. | Business, general | Kang, Jangkoo, Kim, Hwa-Sung, Kim, In Joon, Chang, Geunhyuk |
| An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis . | Business, general | Lien, Donald, Shrestha, Keshab |
| A new look at hedging with derivatives: will firms reduce market risk exposure?(Report) | Business, general | Bali, Turan G., Hume, Susan R., Martell, Terrence F. |
| An examination of momentum strategies in commodity futures markets. | Business, general | Szakmary, Andrew C., Shen, Gian, Sharma, Subhash C. |
| An examination of short QQQ option trades. | Business, general | Simon, David P. |
| Approximate basket option valuation for a simplified jump process. | Business, general | Flamouris, Dimitris, Giamourdis, Daniel |
| A simplified approach to modeling the co-movement of asset returns.(simplified multivaraite generalized autoregressive conditional heteroscedasticity model for statistical analysis of yields on investments) | Business, general | Harris, Richard D.F., Tucker, Jon, Stoja, Evarist |
| Back to the future: in a future dcredit default swap index futures market. | Business, general | Bystrom, Hans N. E. |
| Benchmark tipping and the role of the swap market in price discovery. | Business, general | Poskitt, Russell |
| Canonical valuation and hedging of index options. | Business, general | Gray, Philip, Edwards, Shane, Kalotay, Egon |
| Equity swaps in a LIBOR model.(London Interbank Offered Rate) | Business, general | Wu, Ting-Pin, Chen, Son Nan |
| Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil markets. | Business, general | Switzer, Lorne N., El-Khoury, Mario |
| Forecasting performance of extreme-value volatility estimators.(Report) | Business, general | Jacob, Joshy, Vipul |
| Hedging under the influence of transaction costs: an empirical investigation of FTSE 100 Index Options.(hedging on Financial Times and London Stock Exchange 100 Index Options) | Business, general | Gregoriou, Andros, Ioannidis, Christos, Healy, Jerome |
| Investigating nonlinear speculation in cattle, corn and hog futures markets using logistic smooth transition regression models. | Business, general | Chiarella, Carl, Rothig, Andreas |
| Is there information in the volatility skew?(prediction of stock market trends based on price volatility of futures options ) | Business, general | Peterson, David R., Doran, James S., Tarrant, Brian C. |
| Is volatility risk priced in the securities market? Evidence from S&P 500 index options. | Business, general | Akdeniz, Levent, Arisoy, Yakup Eser, Salih, Aslihan |
| Long memory in commodity futures volatility: a wavelet perspective. | Business, general | Elder, John, Jin, Hyun J. |
| Long memory models for daily and high frequency commodity futures returns. | Business, general | Myers, Robert J., Baillie, Richard T., Han, Young-Wook, Song, Jeongseok |
| Market microstructure effects on volatility at the TAIFEX.(Taiwan Futures Exchange)(Report) | Business, general | Muthuswamy, Jayaram, Webb, Robert I., Segara, Reuben |
| Multifactor and analytical valuation of of Treasury bond futures with an embedded quality option. | Business, general | Nunes, Joao Pedro Vidal, de Oliviera, Luis Alberto Ferreira |
| One-day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data.(Report) | Business, general | Shawky, Hany A., Hadsell, Lester |
| On estimating an asset's implicit beta.(estimation of risks of investments based on prices of exchange options in the European Derivatives Exchange Market ) | Business, general | Stephan, Andreas, Husmann, Sven |
| On inverse carrying charges and spatial arbitrage. | Business, general | Larson, Donald F. |
| Optimal hedging with a regime-switching time-varying correlation GARCH model.(generalized autoregressive conditional heteroscedasticity) | Business, general | Lee, Hsiang Tai, Yoder, Jonathan |
| Options listings and individual equity volitility. | Business, general | Jubinski, Daniel, Tomljanovich, Marc |
| Order imbalance and the dynamics of index and futures prices.(Report) | Business, general | Fung, Joseph K.W., Yu, Philip L.H. |
| Order imbalance and the pricing of index futures. | Business, general | Fung, Joseph K.W. |
| Price discovery in the Treasury futures market.(Report) | Business, general | Brandt, Michael W., Kavajecz, Kenneth A., Underwood, Shane E. |
| Pricing American exchange options in a jump-diffusion model. | Business, general | Lindset, Snorre |
| Pricing American options on foreign currency with stochastic volatility, jumps, and stochastic interest rates. | Business, general | Hung, Mao-Wei, Guo, Jia-Huo |
| Pricing VIX futures: evidence from integrated physical and risk-neutral probbaility measures.(volatility index)(Report) | Business, general | Lin, Yueh-Neng |
| Realized bond-stock correlation: macroeconomic announcement effects. | Business, general | Christiansen, Charlotte, Ranaldo, Angelo |
| Reply to "A comment on 'A hedging deficiency in eurodollar futures' ". | Business, general | Chance, Don M. |
| Richardson extrapolation techniques for the pricing of American-style options. | Business, general | Chang, Chuang-Chang, Chung, San-Lin, Stapleton, Richard C. |
| Target redemption notes.(modeling of closed form valuation formulae to evaluate target redemption notes) | Business, general | Kwok, Yue Kuen, Chu, Chi Chiu |
| The effect of futures trading on the distribution of spot index returns: implications for CVAR in the Spanish market. | Business, general | Illueca, M., Lafuente, J. A. |
| The finite sample properties of the GARCH option pricing model.(generalized autoregressive conditional heteroscedasticity model) | Business, general | Dotsis, George, Markellos, Raphael N. |
| The hidden martingale restriction in Gram-Charlier option prices. | Business, general | Corrado, Charles |
| The impact of execution delay on profitability of put-call-futures trading strategies-evidence from Taiwan. | Business, general | Chiou, Jong-rong, Hsieh, Wen-Liang Gideon, Lin, Yuan-Yi |
| The information content of implied volatility in light of the jump/continuous decomposition of realized volatility. | Business, general | Giot, Pierre, Laurent, Sebastien |
| The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash.(options pricing and market volatility during the 1997 Hong Kong stock market crash) | Business, general | Fung, Joseph K. W. |
| The pricing of electricity futures: evidence from the European energy exchange. | Business, general | Wilkens, Sascha, Wimschulte, Jens |
| The pricing of foreign currency options under jump-diffusion processes. | Business, general | Cho, D. Chinhyung, Ahn, Chang Mo, Park, Keehwan |
| The stock closing call and futures price behavior: evidence from the Taiwan futures market. | Business, general | Lee, Hsiu-Chuan, Chien, Cheng-Yi, Huang, Yen-Sheng |
| Transactions in futures markets: informed or uninformed?(Report) | Business, general | Frino, Alex, Kruk, Jennifer, Lepone, Andrew |
| Trend derivatives: pricing, hedging, and application to executive stock options. | Business, general | Leippold, Markus, Syz, Jurg |
| Turn-of-the-month and intramonth effects: explanation from the important macroeconomic news announcements. | Business, general | Aijo, Janne, Nikkinen, Jussi, Sahlstrom, Petri |
| Valuing real options using implied trees and commodity future options. | Business, general | Schwartz, Adam, Arnold, Tom, Crack, Timothy Falcon |
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