| 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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