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2003年第1卷
2003年第2卷
2003年第3卷
2003年第4卷
2003年第5卷
1～5卷目录：
JOURNAL OF FUTURES MARKETS 2003 VOL.23
Copyright 2003 John Wiley & Sons, Inc. Print ISSN: 0270-7314
------- issue1
1-31 The behavior and performance of major types of futures traders Changyun Wang DOI 10.1002/fut.10056
33-47 Stochastic volatility and the mean reverting process Sotirios Sabanis DOI 10.1002/fut.10044
49-66 Does tick size influence price discovery? Evidence from the Toronto Stock Exchange Marie-Claude Beaulieu, Shafiq K. Ebrahim, Ieuan G. Morgan DOI 10.1002/fut.10053
67-86 Expiration day effects: The case of Hong Kong Ying-Foon Chow, Haynes H. M. Yung, Hua Zhang DOI 10.1002/fut.10054
87-107 The valuation of reset options with multiple strike resets and reset dates Szu-Lang Liao, Chou-Wen Wang DOI 10.1002/fut.10055
-------- issue2
109-133 Hedging long-term commodity risk Yulia V. Veld-Merkoulova, Frans A. de Roon DOI 10.1002/fut.10060
135-150 Disappointment aversion equilibrium in a futures market Donald Lien, Yaqin Wang DOI 10.1002/fut.10057
151-167 The economic advantage of learners in a spot/futures market Scott C. Linn, Bryan E. Stanhouse DOI 10.1002/fut.10059
169-215 Options on bond futures: Isolating the risk premium Robert G. Tompkins DOI 10.1002/fut.10058
-------- issue3
217-239 On the optimal mix of corporate hedging instruments: Linear versus nonlinear
derivatives Gerald D. Gay, Jouahn Nam, Marian Turac DOI 10.1002/fut.10061
241-260 Futures hedging using dynamic models of the variance/covariance structure Ponladesh Poomimars, John Cadle, Michael Theobald DOI 10.1002/fut.10062
261-285 The quality of volatility traded on the over-the-counter currency market: A multiple
horizons study Vicentiu Covrig, Buen Sin Low DOI 10.1002/fut.10066
287-313 Directly measuring early exercise premiums using American and European S&P 500 Index
options Michael Dueker, Thomas W. Miller Jr. DOI 10.1002/fut.10063
-------- issue4
315-345 Option volume and volatility response to scheduled economic news releases John R. Nofsinger, Brian Prucyk DOI 10.1002/fut.10064
347-387 The components of interest rate swap spreads: Theory and international evidence Frank Fehle DOI 10.1002/fut.10065
389-398 Futures hedging under mark-to-market risk Donald Lien, Anlong Li DOI 10.1002/fut.10068
399-414 Volatility and trading demands in stock index futures Ming-Shiun Pan, Y. Angela Liu, Herbert J. Roth DOI 10.1002/fut.10067
------- issue5
415-440 Pricing of moving-average-type options with applications Chih-Hao Kao, Yuh-Dauh Lyuu Abstract PDF Full Text (Size: 205K) Published Online: 21 Mar 2003 DOI 10.1002/fut.10072
441-454 The information content of implied volatility in agricultural commodity markets Pierre Giot Abstract PDF Full Text (Size: 114K) Published Online: 21 Mar 2003 DOI 10.1002/fut.10069
455-486 Bid-ask spreads, volatility, quote revisions, and trades of thinly traded futures
contracts David K. Ding, Charlie Charoenwong Abstract PDF Full Text (Size: 204K) Published Online: 21 Mar 2003 DOI 10.1002/fut.10071
487-516 Analytic approximation formulae for pricing forward-starting Asian options Chueh-Yung Tsao, Chuang-Chang Chang, Chung-Gee Lin Abstract PDF Full Text (Size: 195K) Published Online: 21 Mar 2003 DOI 10.1002/fut.10070
2003年第6卷
2003年第7卷
2003年第8卷
2003年第9卷
第6～9卷目录
------- issue6
517-534 The valuation of multiple stock warrants Kian-Guan Lim, Eric Terry Abstract PDF Full Text (Size: 135K) Published Online: 11 Apr 2003 DOI 10.1002/fut.10079
535-560 Pricing continuously sampled Asian options with perturbation method Jin E. Zhang Abstract PDF Full Text (Size: 219K) Published Online: 11 Apr 2003 DOI 10.1002/fut.10073
561-576 Revisiting the empirical estimation of the effect of margin changes on futures trading
volume Hans R. Dutt, Ira L. Wein Abstract PDF Full Text (Size: 114K) Published Online: 11 Apr 2003 DOI 10.1002/fut.10074
577-602 The effectiveness of coordinating price limits across futures and spot markets Pin-Huang Chou, Mei-Chen Lin, Min-Teh Yu Abstract PDF Full Text (Size: 174K) Published Online: 11 Apr 2003 DOI 10.1002/fut.10076
603-613 The effect of liquidity constraints on futures hedging Donald Lien Abstract PDF Full Text (Size: 99K) Published Online: 11 Apr 2003 DOI 10.1002/fut.10075
------- issue7 Volume 23, Issue 7, Pages 615-718 (July 2003)
Stock return dynamics, option volume, and the information content of implied volatility (p
615-646) Stewart Mayhew, Chris Stivers Published Online: 22 May 2003 DOI: 10.1002/fut.10084
Decreased price clustering in FTSE100 futures contracts following a transfer from floor to
electronic trading (p 647-659) Owain ap Gwilym, Evamena Alibo Published Online: 22 May 2003 DOI: 10.1002/fut.10080
Testing the mixture-of-distributions hypothesis using realized volatility (p 661-679) James C. Luu, Martin Martens Published Online: 22 May 2003 DOI: 10.1002/fut.10077
The interrelation of price volatility and trading volume of currency options (p 681-700) Ghulam Sarwar Published Online: 22 May 2003 DOI: 10.1002/fut.10078
Futures market equilibrium under Knightian uncertainty (p 701-718) Donald Lien, Yaqin Wang Published Online: 22 May 2003 DOI: 10.1002/fut.10081
-------- issue8
Optimal contract design: For whom? (p 719-750) Nicolas P. B. Bollen, Tom Smith, Robert E. Whaley Published Online: 26 Jun 2003 DOI: 10.1002/fut.10086 Pricing models of equity swaps (p 751-772) Ming-Chieh Wang, Szu-Lang Liao Published Online: 26 Jun 2003 DOI: 10.1002/fut.10082 Scheduled announcements and volatility patterns: The effects of monetary policy committee
announcements on LIBOR and short sterling futures and options (p 773-797) Peng Sun, Charles Sutcliffe Published Online: 26 Jun 2003 DOI: 10.1002/fut.10083 Robust estimation of the optimal hedge ratio (p 799-816) Richard D. F. Harris, Jian Shen Published Online: 26 Jun 2003 DOI: 10.1002/fut.10085
------- issue9 General equilibrium pricing of nonredundant forward contracts (p 817-840) Abraham Lioui, Patrice Poncet Published Online: 21 Jul 2003 DOI: 10.1002/fut.10087
The effect of spot and futures trading on stock index market volatility: A nonparametric approach
(p 841-858) M. Illueca, J. A. Lafuente Published Online: 21 Jul 2003 DOI: 10.1002/fut.10091
An examination of the effectiveness of static hedging in the presence of stochastic volatility (p
859-890) Jason Fink Published Online: 21 Jul 2003 DOI: 10.1002/fut.10089
Transitory real-time property rights and exchange intellectual property (p 891-913) Robert I. Webb Published Online: 21 Jul 2003 DOI: 10.1002/fut.10097
2003年第10卷
2003年第11卷
2003年第12卷
第10～12卷目录
--------- issue10 Approximating American option prices in the GARCH framework (p 915-929) Jin-Chuan Duan, Geneviève Gauthier, Caroline Sasseville, Jean-Guy Simonato Published Online: 20 Aug 2003 DOI: 10.1002/fut.10096
A first look at the empirical relation between spot and futures electricity prices in the United
States (p 931-955) Hany A. Shawky, Achla Marathe, Christopher L. Barrett Published Online: 20 Aug 2003 DOI: 10.1002/fut.10093
Looking for contagion in currency futures markets (p 957-988) Chu-Sheng Tai Published Online: 20 Aug 2003 DOI: 10.1002/fut.10092
On the adequacy of single-stock futures margining requirements (p 989-1002) Hans R. Dutt, Ira L. Wein Published Online: 20 Aug 2003 DOI: 10.1002/fut.10094
Commodity trading advisors' leverage and reported margin-to-equity ratios (p 1003-1017) Fernando Diz Published Online: 20 Aug 2003 DOI: 10.1002/fut.10095
--------- issue11 Asymmetric covariance in spot-futures markets (p 1019-1046) Vicente Meneu, Hipòlit Torró Published Online: 4 Sep 2003 DOI: 10.1002/fut.10099
The design and pricing of fixed- and moving-window contracts: An application of Asian-Basket
option pricing methods to the hog-finishing sector (p 1047-1073) Renyuan Shao, Brian Roe Published Online: 4 Sep 2003 DOI: 10.1002/fut.10090
A two-mean reverting-factor model of the term structure of interest rates (p 1075-1105) Manuel Moreno Published Online: 4 Sep 2003 DOI: 10.1002/fut.10088
Options expiration effects and the role of individual share futures contracts (p 1107-1118) Donald Lien, Li Yang Published Online: 4 Sep 2003 DOI: 10.1002/fut.10100
A note on the derivation of Black-Scholes hedge ratios (p 1119-1122) Tie Su Published Online: 4 Sep 2003 DOI: 10.1002/fut.10103
---------- issue12 Special Issue from the 13th Annual Asia-Pacific Futures Research Symposium
Editor's note (p 1123-1124) Robert I. Webb Published Online: 20 Oct 2003 DOI: 10.1002/fut.10104
The jump component of the volatility structure of interest rate futures markets: An international
comparison (p 1125-1158) Carl Chiarella, Thuy-Duong T? Published Online: 20 Oct 2003 DOI: 10.1002/fut.10105
Discretionary government intervention and the mispricing of index futures (p 1159-1189) Paul Draper, Joseph K. W. Fung Published Online: 20 Oct 2003 DOI: 10.1002/fut.10107
An empirical investigation of the GARCH option pricing model: Hedging performance (p 1191-1207) Haynes H. M. Yung, Hua Zhang Published Online: 20 Oct 2003 DOI: 10.1002/fut.10109
Optimum futures hedge in the presence of clustered supply and demand shocks, stochastic basis, and
firm's costs of hedging (p 1209-1237) Carolyn W. Chang, Jack S. K. Chang Published Online: 20 Oct 2003 DOI: 10.1002/fut.10106
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