Printed from https://ideas.repec.org/s/wly/jfutmk6.html
Content
December 2012, Volume 32, Issue 12
- 1091-1091 Editor's Note
by Robert I. Webb - 1092-1123 The Term Structure of VIX
by Xingguo Luo & Jin E. Zhang - 1124-1143 Does International Order Flow Contribute to Price Discovery in Futures Markets?
by Alex Frino & Robert I. Webb & Hui Zheng - 1144-1170 Are Derivative Warrants Overpriced?
by Joseph K. W. Fung & Ted Z. X. Zeng - 1171-1191 Fitting and testing for the implied volatility curve using parametric models
by Chuang‐Chang Chang & Pin‐Huang Chou & Tzu‐Hsiang Liao
November 2012, Volume 32, Issue 11
- 995-1033 A cointegrated commodity pricing model
by Katsushi Nakajima & Kazuhiko Ohashi - 1034-1059 Lévy betas: Static hedging with index futures
by Hoi Ying Wong & Edwin Kwan Hung Cheung & Shiu Fung Wong - 1060-1090 What risks do corporate bond put features insure against?
by Redouane Elkamhi & Jan Ericsson & Hao Wang
October 2012, Volume 32, Issue 10
- 909-944 Optimal hedging with higher moments
by Chris Brooks & Alešs Černý & Joëlle Miffre - 945-963 Production and hedging under state‐dependent preferences
by Kit Pong Wong - 964-994 Commonality in trading activity and futures‐cash basis: Evidence from the Taiwan futures and stock markets
by Hsiu‐Chuan Lee & Cheng‐Yi Chien & Tzu‐Hsiang Liao
September 2012, Volume 32, Issue 9
- 809-836 Trader Survival: Evidence from the Energy Futures Markets
by Naomi E. Boyd & Alexander Kurov - 837-876 The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated
by Ted Juhl & Ira G. Kawaller & Paul D. Koch - 877-908 The Quanto Adjustment and the Smile
by Jacinto Marabel Romo
August 2012, Volume 32, Issue 8
- 713-713 Editor's Note
by Robert I. Webb - 714-741 Liquidity Considerations in Estimating Implied Volatility
by Rohini Grover & Susan Thomas - 742-772 Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model
by Youngsoo Choi & Steven J. Jordan & Soonchan Ok - 773-791 Pricing and Hedging the Smile with SABR : Evidence from the Interest Rate Caps Market
by Tao L. Wu - 792-806 The Information Content of Model‐Free Implied Volatility
by Xin Cheng & Joseph K.W. Fung
July 2012, Volume 32, Issue 7
- 609-638 Does model fit matter for hedging? Evidence from FTSE 100 options
by Carol Alexander & Andreas Kaeck - 639-659 Time‐varying jump risk premia in stock index futures returns
by Wing Hong Chan & Liling Feng - 660-682 The impact of a pro‐rata algorithm on liquidity: Evidence from the NYSE LIFFE
by Andrew Lepone & Jin Young Yang - 683-711 Has the introduction of S&P 500 ETF options LED to improvements in price discovery of SPDRs?
by Wei‐Peng Chen & Huimin Chung
June 2012, Volume 32, Issue 6
- 505-535 A random walk down the options market
by George J. Jiang & Yisong S. Tian - 536-559 Does the price of crude oil respond to macroeconomic news?
by Arjun Chatrath & Hong Miao & Sanjay Ramchander - 560-586 A comparative study of range‐based stock return volatility estimators for the German market
by Neda Todorova & Sven Husmann - 587-608 Variance risk premiums and predictive power of alternative forward variances in the corn market
by Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi
May 2012, Volume 32, Issue 5
- 397-430 Hedging under model misspecification: All risk factors are equal, but some are more equal than others …
by Nicole Branger & Eva Krautheim & Christian Schlag & Norman Seeger - 431-458 Multivariate downside risk: Normal versus Variance Gamma
by Martin Wallmeier & Martin Diethelm - 459-479 The convenience yield implied in European natural gas hub trading
by Markus Hochradl & Margarethe Rammerstorfer - 480-503 Equity volatility, bond yields, and yield spreads
by Daniel Jubinski & Amy F. Lipton
April 2012, Volume 32, Issue 4
- 301-329 Types of liquidity and limits to arbitrage—the case of credit default swaps
by Karan Bhanot & Liang Guo - 330-359 Options on federal funds futures and interest rate volatility
by Jahangir Sultan - 360-388 Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market
by Youngsoo Choi & SoonChan Ok - 389-396 A note on the performance of regime switching hedge strategy
by Donald Lien
March 2012, Volume 32, Issue 3
- 203-229 Regime‐dependent smile‐adjusted delta hedging
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis - 230-251 The role of the temporary component in spot prices in the revision of expected future spot prices: Evidence from index futures quotes
by Hyung Cheol Kang & Dong Wook Lee & Eun Jung Lee & Kyung Suh Park - 252-271 The relationship between currency carry trades and U.S. stocks
by Yiuman Tse & Lin Zhao - 272-299 An empirical analysis of dynamic multiscale hedging using wavelet decomposition
by Thomas Conlon & John Cotter
February 2012, Volume 32, Issue 2
- 99-121 Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
by Jian Yang & Zihui Yang & Yinggang Zhou - 122-151 Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates
by Aaron Tornell & Chunming Yuan - 152-165 Quantitative impact of correlation errors on basket options with time‐varying correlations
by Amy S.K. Wong - 166-190 An analytical formula for VIX futures and its applications
by Song‐Ping Zhu & Guang‐Hua Lian - 191-198 Comment on “A new simple square root option pricing model”
by Hwa‐Sung Kim & Jangkoo Kang & Jeongwoo Shin - 199-202 Reply to “A comment on “A new simple square root option pricing model””
by Yaw‐Huei Wang
January 2012, Volume 32, Issue 1
- 1-23 Are speculators informed?
by Krista Schwarz - 24-46 Causality in the VIX futures market
by Jinghong Shu & Jin E. Zhang - 47-74 Option happiness and liquidity: Is the dynamics of the volatility smirk affected by relative option liquidity?
by Lars Nordén & Caihong Xu - 75-91 On approximating deep in‐the‐money Asian options under exponential Lévy processes
by Leonard Tchuindjo - 92-97 A note on utility‐based futures hedging performance measure
by Donald Lien
December 2011, Volume 31, Issue 12
- 1115-1115 Editor's note
by Robert I. Webb - 1116-1141 The impact of liquidity on option prices
by Robin K. Chou & San‐Lin Chung & Yu‐Jen Hsiao & Yaw‐Huei Wang - 1142-1169 Intraday price formation and bid–ask spread components: A new approach using a cross‐market model
by Doojin Ryu - 1170-1201 The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index
by San‐Lin Chung & Wei‐Che Tsai & Yaw‐Huei Wang & Pei‐Shih Weng - 1202-1227 The performance of alternative futures buy‐write strategies
by Sanry Y.S. Che & Joseph K.W. Fung
November 2011, Volume 31, Issue 11
- 1011-1051 A robust model of the convenience yield in the natural gas market
by Thomas Volmer - 1052-1075 Volatility spillover effects and cross hedging in corn and crude oil futures
by Feng Wu & Zhengfei Guan & Robert J. Myers - 1076-1113 Long memory and structural breaks in commodity futures markets
by Jerry Coakley & Jian Dollery & Neil Kellard
October 2011, Volume 31, Issue 10
- 915-946 Dominant markets, staggered openings, and price discovery
by Bahram Adrangi & Arjun Chatrath & Rohan A. Christie‐David & Kiseop Lee - 947-970 On the calibration of mortality forward curves
by Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng & Wai‐Sum Chan - 971-994 American option valuation: Implied calibration of GARCH pricing models
by Michael Weber & Marcel Prokopczuk - 995-1010 The Fed's policy decisions and implied volatility
by Sami Vähämaa & Janne Äijö
September 2011, Volume 31, Issue 9
- 809-829 Numerical pricing of American options under infinite activity Lévy processes
by Nisha Rambeerich & Desire Yannick Tangman & Muddun Bhuruth - 830-854 Pricing basket and Asian options under the jump‐diffusion process
by Kwangil Bae & Jangkoo Kang & Hwa‐Sung Kim - 855-897 Optimal partial hedging of options with small transaction costs
by A. Elizabeth Whalley - 898-914 Small traders in currency futures markets
by Andreas Röthig & Carl Chiarella
August 2011, Volume 31, Issue 8
- 703-726 Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets
by Spyros Spyrou & Andrianos Tsekrekos & Georgia Siougle - 727-754 Density forecasts of crude‐oil prices using option‐implied and ARCH‐type models
by Esben Høg & Leonidas Tsiaras - 755-778 Open interest, cross listing, and information shocks
by Samir Aguenaou & Owain Ap Gwilym & Mark Rhodes - 779-807 Time‐varying market price of risk in the crude oil futures market
by Ramaprasad Bhar & Damien Lee
July 2011, Volume 31, Issue 7
- 599-628 A new look at the forward premium “puzzle”
by Haitham A. Al‐Zoubi - 629-658 Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998
by Charles Cao & Eric Ghysels & Frank Hatheway - 659-678 Convexity meets replication: Hedging of swap derivatives and annuity options
by Wendong Zheng & Yue Kuen Kwok - 679-702 Oil volatility and the option value of waiting: An analysis of the G‐7
by Don Bredin & John Elder & Stilianos Fountas
June 2011, Volume 31, Issue 6
- 503-533 Why do expiring futures and cash prices diverge for grain markets?
by Nicole M. Aulerich & Raymond P. H. Fishe & Jeffrey H. Harris - 534-561 Risk premiums and predictive ability of BAX futures
by Nikolay Gospodinov & Ibrahim Jamali - 562-597 On the rate of convergence of binomial Greeks
by San‐Lin Chung & Weifeng Hung & Han‐Hsing Lee & Pai‐Ta Shih
May 2011, Volume 31, Issue 5
- 407-439 Pricing average options on commodities
by Kenichiro Shiraya & Akihiko Takahashi - 440-464 Pricing and hedging in the freight futures market
by Marcel Prokopczuk - 465-486 Cash trading and index futures price volatility
by Jinliang Li - 487-501 Market efficiency among futures with different maturities: Evidence from the crude oil futures market
by Kaoru Kawamoto & Shigeyuki Hamori
April 2011, Volume 31, Issue 4
- 307-339 A simplified pricing model for volatility futures
by Brice Dupoyet & Robert T. Daigler & Zhiyao Chen - 340-370 Capped equity swaps under the double‐jump stochastic volatility model with stochastic interest rates
by Jia‐Hau Guo - 371-393 Maturity effects in the Mexican interest rate futures market
by Pedro Gurrola & Renata Herrerías - 394-406 Optimal arbitrage strategies on stock index futures under position limits
by Min Dai & Yifei Zhong & Yue Kuen Kwok
March 2011, Volume 31, Issue 3
- 205-229 Sources of variation in holding returns for fed funds futures contracts
by James D. Hamilton & Tatsuyoshi Okimoto - 230-250 Pricing real options under the constant elasticity of variance diffusion
by José Carlos Dias & João Pedro Vidal Nunes - 251-281 The performance of VIX option pricing models: Empirical evidence beyond simulation
by Zhiguang Wang & Robert T. Daigler - 282-306 Price discovery and investor structure in stock index futures
by Martin T. Bohl & Christian A. Salm & Michael Schuppli
February 2011, Volume 31, Issue 2
- 103-125 Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
by Alexander Van Haastrecht & Antoon Pelsser - 126-164 Demutualization and customer protection at self‐regulatory financial exchanges
by David Reiffen & Michel Robe - 165-191 A Markov regime‐switching ARMA approach for hedging stock indices
by Chao‐Chun Chen & Wen‐Jen Tsay - 192-203 Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
by Ivan Paya & David A. Peel
January 2011, Volume 31, Issue 1
- 1-33 No chills or burns from temperature surprises: An empirical analysis of the weather derivatives market
by Ludwig Chincarini - 34-54 Asymmetric pricing of implied systematic volatility in the cross‐section of expected returns
by R. Jared Delisle & James S. Doran & David R. Peterson - 55-80 Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper
by Ahmed A. A. Khalifa & Hong Miao & Sanjay Ramchander - 81-101 Do individual index futures investors destabilize the underlying spot market?
by Martin T. Bohl & Christian A. Salm & Bernd Wilfling
December 2010, Volume 30, Issue 12
- 1107-1107 Editor's note
by Robert I. Webb - 1108-1149 Exchange traded contracts for difference: Design, pricing, and effects
by Christine Brown & Jonathan Dark & Kevin Davis - 1150-1166 A modified static hedging method for continuous barrier options
by San‐Lin Chung & Pai‐Ta Shih & Wei‐Che Tsai - 1167-1191 Forecasting volatility: Roles of sampling frequency and forecasting horizon
by Wing Hong Chan & Xin Cheng & Joseph K.W. Fung - 1192-1209 The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets
by Hung‐Gay Fung & Qingfeng “Wilson” Liu & Yiuman Tse
November 2010, Volume 30, Issue 11
- 1007-1025 A new simple square root option pricing model
by António Câmara & Yaw‐huei Wang - 1026-1057 Efficient quadrature and node positioning for exotic option valuation
by San‐Lin Chung & Kunyi Ko & Mark B. Shackleton & Chung‐Ying Yeh - 1058-1081 Economic determinants of default risks and their impacts on credit derivative pricing
by Szu‐Lang Liao & Jui‐Jane Chang - 1082-1099 Optimal approximations of nonlinear payoffs in static replication
by Qiang Liu - 1100-1104 A note on the relationship between the variability of the hedge ratio and hedging performance
by Donald Lien
October 2010, Volume 30, Issue 10
- 909-937 The early news catches the attention: On the relative price impact of similar economic indicators
by Dieter Hess & Alexandra Niessen - 938-956 Currency option pricing: Mean reversion and multi‐scale stochastic volatility
by Hoi Ying Wong & Jing Zhao - 957-982 The dynamics of long forward rate term structures
by Xingguo Luo & Jin E. Zhang - 983-1006 Alternative tilts for nonparametric option pricing
by M. Ryan Haley & Todd B. Walker
September 2010, Volume 30, Issue 9
- 809-833 The new market for volatility trading
by Jin E. Zhang & Jinghong Shu & Menachem Brenner - 834-845 How firms should hedge: An extension
by Olaf Korn - 846-873 Delivery horizon and grain market volatility
by Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman - 874-896 The incremental value of a futures hedge using realized volatility
by Yu‐Sheng Lai & Her‐Jiun Sheu - 897-908 Estimation and testing of portfolio Value‐at‐Risk based on L‐comoment matrices
by Wei‐Han Liu
August 2010, Volume 30, Issue 8
- 705-724 Further analysis of the speed of response to large trades in interest rate futures
by James Richard Cummings & Alex Frino - 725-752 Performance and persistence of Commodity Trading Advisors: Further evidence
by Greg N. Gregoriou & Georges Hübner & Maher Kooli - 753-779 Regime‐switching in stock index and Treasury futures returns and measures of stock market stress
by Naresh Bansal & Robert A. Connolly & Chris Stivers - 780-794 Hedging and value at risk: A semi‐parametric approach
by Zhiguang Cao & Richard D.F. Harris & Jian Shen - 795-800 Effects of omitting information variables on optimal hedge ratio estimation: A note
by Donald Lien - 801-807 Optimal hedge ratios in the presence of common jumps
by Wing Hong Chan
July 2010, Volume 30, Issue 7
- 607-632 The effects of structural breaks and long memory on currency hedging
by Donald Lien & Li Yang - 633-659 A reality check on technical trading rule profits in the U.S. futures markets
by Cheol‐Ho Park & Scott H. Irwin - 660-688 Valuation of housing index derivatives
by Melanie Cao & Jason Wei - 689-703 Estimating financial risk measures for futures positions: A nonparametric approach
by John Cotter & Kevin Dowd
June 2010, Volume 30, Issue 6
- 509-532 Empirical tests of canonical nonparametric American option‐pricing methods
by Jamie Alcock & Diana Auerswald - 533-558 Information content of volatility spreads
by Byung Jin Kang & Tong Suk Kim & Sun‐Joong Yoon - 559-589 Equilibrium pricing of contingent claims in tradable permit markets
by Masaaki Kijima & Akira Maeda & Katsumasa Nishide - 590-606 Price discovery in electronic foreign exchange markets: The sterling/dollar market
by Russell Poskitt
May 2010, Volume 30, Issue 5
- 409-431 General equilibrium and preference free model for pricing options under transformed gamma distribution
by Luiz Vitiello & Ser‐Huang Poon - 432-443 Size clustering in the FTSE100 index futures market
by Owain ap Gwilym & Lei Meng - 444-464 Option pricing under Markov‐switching GARCH processes
by Chao‐Chun Chen & Ming‐Yang Hung - 465-489 Examination of long‐term bond iShare option selling strategies
by David P. Simon - 490-507 Persistence in some energy futures markets
by Juncal Cunado & Luis A. Gil‐Alana & Fernando Perez de Gracia
April 2010, Volume 30, Issue 4
- 305-323 The bias in time series volatility forecasts
by Louis H. Ederington & Wei Guan - 324-360 Option prices and risk‐neutral densities for currency cross rates
by Stephen J. Taylor & Yaw‐Huei Wang - 361-377 The impact of off‐market trading on liquidity: Evidence from the Australian options market
by Andrew Lepone & Jin Young Yang - 378-406 The economic significance of conditional skewness in index option markets
by Ranjini Jha & Madhu Kalimipalli
March 2010, Volume 30, Issue 3
- 203-229 Narrow framing: Professions, sophistication, and experience
by Yu‐Jane Liu & Ming‐Chun Wang & Longkai Zhao - 230-256 Volatility components: The term structure dynamics of VIX futures
by Zhongjin Lu & Yingzi Zhu - 257-277 Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator
by Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman - 278-289 The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution
by Donald Lien - 290-304 Dealing with downside risk in a multi‐commodity setting: A case for a “Texas hedge”?
by Gabriel J. Power & Dmitry Vedenov
February 2010, Volume 30, Issue 2
- 101-133 A maximal affine stochastic volatility model of oil prices
by W. Keener Hughen - 134-155 The information content of implied volatility: Evidence from Australia
by Bart Frijns & Christian Tallau & Alireza Tourani‐Rad - 156-174 Do small traders contribute to price discovery? Evidence from the Hong Kong Hang Seng Index markets
by Libin Tao & Frank M. Song - 175-187 Pricing American options by canonical least‐squares Monte Carlo
by Qiang Liu - 188-201 Threshold levels, strike price grid, and other market microstructure issues associated with exchange‐traded equity options
by Edwin D. Maberly & Raylene M. Pierce & Patrick Catania
January 2010, Volume 30, Issue 1
- 1-24 Local trader profitability in futures markets: Liquidity and position taking profits
by Alex Frino & Elvis Jarnecic & Roger Feletto - 25-47 Corporate usage of financial derivatives, information asymmetry, and insider trading
by Hoa Nguyen & Robert Faff & Allan Hodgson - 48-70 The CBOE S&P 500 three‐month variance futures
by Jin E. Zhang & Yuqin Huang - 71-99 Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches
by Sung Yong Park & Sang Young Jei
December 2009, Volume 29, Issue 12
- 1101-1101 Editor's note
by Robert I. Webb - 1102-1129 Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange
by Robin K. Chou & Yun‐Yi Wang - 1130-1160 Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth
by Paul Kofman & David Michayluk & James T. Moser - 1161-1189 Are credit spreads too low or too high? A hybrid barrier option approach for financial distress
by William Lin & David Sun - 1190-1213 The impact of volatility derivatives on S&P500 volatility
by Paul Dawson & Sotiris K. Staikouras
November 2009, Volume 29, Issue 11
- 999-1020 The performance of traders' rules in options market
by Sol Kim - 1021-1049 Model risk adjusted hedge ratios
by Carol Alexander & Andreas Kaeck & Leonardo M. Nogueira - 1050-1066 Liquidity and hedging effectiveness under futures mispricing: International evidence
by A. Andani & J. A. Lafuente & A. Novales - 1067-1099 Market timing of CTAs: An examination of systematic CTAs vs. discretionary CTAs
by Hossein Kazemi & Ying Li
October 2009, Volume 29, Issue 10
- 895-919 Reverse convertible bonds analyzed
by Marta Szymanowska & Jenke Ter Horst & Chris Veld - 920-945 Expiration‐day effects on individual stocks and the overall market: Evidence from Taiwan
by Wen‐Liang Gideon Hsieh - 946-972 A copula‐based regime‐switching GARCH model for optimal futures hedging
by Hsiang‐Tai Lee - 973-998 Pricing and hedging of quanto range accrual notes under Gaussian HJM with cross‐currency Levy processes
by Szu‐Lang Liao & Pao‐Peng Hsu
September 2009, Volume 29, Issue 9
- 797-825 Is volatility risk priced in the KOSPI 200 index options market?
by Sun‐Joong Yoon & Suk Joon Byun - 826-839 Trinomial or binomial: Accelerating American put option price on trees
by Jiun Hong Chan & Mark Joshi & Robert Tang & Chao Yang - 840-861 The value of mortgage prepayment and default options
by Yong Chen & Michael Connolly & Wenjin Tang & Tie Su - 862-893 An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems
by Lorella Fatone & Francesca Mariani & Maria Cristina Recchioni & Francesco Zirilli
August 2009, Volume 29, Issue 8
- 695-712 Empirical evidence on the dependence of credit default swaps and equity prices
by Debbie Dupuis & Eric Jacquier & Nicolas Papageorgiou & Bruno Rémillard - 713-735 An expanded model for the valuation of employee stock options
by Feng‐Yu Liao & Yuh‐Dauh Lyuu - 736-756 Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry
by Mark Bertus & Jonathan Godbey & Jimmy E. Hilliard - 757-774 Options on normal underlyings with an application to the pricing of survivor swaptions
by Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake - 775-796 A brighter future with lower transactions costs?
by Lars Nordén
July 2009, Volume 29, Issue 7
- 599-629 Option implied cost of equity and its properties
by António Câmara & San‐Lin Chung & Yaw‐Huei Wang - 630-652 Explaining country and cross‐border liquidity commonality in international equity markets
by Zheng Zhang & Jun Cai & Yan Leung Cheung - 653-683 International evidence on alternative models of the term structure of volatilities
by Antonio Díaz & Vicente Meneu & Eliseo Navarro - 684-694 Rolling over stock index futures contracts
by Óscar Carchano & Ángel Pardo
June 2009, Volume 29, Issue 6
- 495-495 Editor's note
by Robert I. Webb - 496-522 The disposition effect and investment performance in the futures market
by Hyuk Choe & Yunsung Eom - 523-543 VIX option pricing
by Yueh‐Neng Lin & Chien‐Hung Chang - 544-562 Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence
by Vipul - 563-597 Derivatives trading, volatility spillover, and regulation: Evidence from the Korean securities markets
by Sung C. Bae & Taek Ho Kwon & Jong Won Park
May 2009, Volume 29, Issue 5
- 397-413 A new scheme for static hedging of European derivatives under stochastic volatility models
by Akihiko Takahashi & Akira Yamazaki - 414-429 Do investors learn about analyst accuracy? A study of the oil futures market
by Charles Chang & Hazem Daouk & Albert Wang - 430-450 Expiration‐day effects—An Asian twist
by Joseph K. W. Fung & Haynes H. M. Yung - 451-477 Analyst forecasts and price discovery in futures markets: The case of natural gas storage
by Gerald D. Gay & Betty J. Simkins & Marian Turac - 478-493 A generalization of the Barone‐Adesi and Whaley approach for the analytic approximation of American options
by Jia‐Hau Guo & Mao‐Wei Hung & Leh‐Chyan So
April 2009, Volume 29, Issue 4
- 297-318 Risk management with options and futures under liquidity risk
by Axel F. A. Adam‐Müller & Argyro Panaretou - 319-347 Implied deterministic volatility functions: An empirical test for Euribor options
by I‐Doun Kuo & Kai‐Li Wang - 348-376 Is reversal of large stock‐price declines caused by overreaction or information asymmetry: Evidence from stock and option markets
by Hyung‐Suk Choi & Narayanan Jayaraman - 377-395 A new information share measure
by Donald Lien & Keshab Shrestha
March 2009, Volume 29, Issue 3
- 197-217 Cross‐commodity analysis and applications to risk management
by Reik Börger & Álvaro Cartea & Rüdiger Kiesel & Gero Schindlmayr - 218-243 Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited
by David G. McMillan & Numan Ülkü - 244-269 A comparison of alternative approaches for determining the downside risk of hedge fund strategies
by Daniel Giamouridis & Ioanna Ntoula - 270-295 Who knows more about future currency volatility?
by Charlie Charoenwong & Nattawut Jenwittayaroje & Buen Sin Low
February 2009, Volume 29, Issue 2
- 95-113 Estimation of physical intensity models for default risk
by Michel Denault & Geneviève Gauthier & Jean‐Guy Simonato