Table Of Content

THE JOU AL OF UIURL \ARKET Author Index to Volume 27 \hn, C. M., Cho, D. C., Park, K., The Chang, G., Kang, J., Kim, H.-S., An Pricing of Foreign Currency Options Efficient Approximation Method for Under Jump-Diffusion Processes, 669 American Exotic Options, 29 \kdeniz, L., see Arisoy, Y. E. Chen, S. N., see Wu, T.-P. \risoy, Y. Salih, A., Akdeniz, L., Is Chiarella, C., see Réthig, A. Volatility Risk Priced in the Securities Chien, C.-Y., see Lee, H.-C. Market? Evidence from S&P 500 Index Chiou, J.-R., Hsieh, W.-L. G., Lin, Y.-Y., Options, 617 The Impact of Execution Delay on the Arnold, T., Crack, T. F., Schwartz, A., Profitability of Put-Call-Futures Trading Valuing Real Options Using Implied Strategies Evidence from Taiwan, 361 Binomial Trees and Commodity Futures Che. 2... x e Ahn, C. M. Options, 203 Christiansen, C.., Ranaldo, A., Realized \ijé, J., see Nikkinen, J. Bond—Stock Correlation: Macroecono- mic Announcement Effects, 439 saillie, R. T., Han, Y.-W., Myers, R. J., Cia. %.. Kwok, Y. K., Target Rede- Song, J., Long Memory Models for mption Notes, 535 Daily and High Frequency Commodity Chung, S.-L., see Chang, C.-C. Futures Returns, 643 Corrado, C., The Hidden Martingale I. G., Hume, S. R., and Martell, Restriction in Gram-Charlier Option F., A New Look at Hedging With Prices, 517 Derivatives: Will Firms Reduce Market Crack, T see Arnold, Risk Exposure?, 1053 Brandt, M. W.,, Kavajecz, K. A., and De Oliveira, L. A. F., see Nunes, J. P. V. Underwood, S. E., Price Discovery in Doran,J . S., Peterson, D. R., Tarrant, B. C., the Treasury Futures Market, 1021 Is There Information in the Volatility Bystrém, H. N. E., Back to the future: Skew?, 921 Futures Margins in a Future Credit Dotsis, G., Markellos, R. N., Che Finite Default Swap Index Futures Market, 85 Sample Properties of the GARCH Option Pricing Model, 599 Chance, D. M., Reply to a Comment on ‘A Hedging Deficiency in Eurodollar Futures’, 195 Edwards, S., see Gray, P. Chang, C.-C., Chung, S.-L., Stapleton, R. € El-Khoury, M., see Switzer, L. N. Richardson Extrapolation Techniques Elder, J., Jin, H. J., Long Memory in for the Pricing of \merican-Style Commodity Futures Volatility: A Options, 791 Wavelet Perspective, 41 1 Author Index Flamouris, D., Giamouridis, D., Approxi- Husmann, S., Stephan, A., On Estimating mate Basket Option Valuation for a an Asset’s Implicit Beta, 961 Simplified Jump Process, 819 Frino, A., Kruk, J. , and Lepone, A., Trans- Illueca, M., Lafuente, J. A., The Effect of actions in Futures Markets: Informed Futures Trading on the Distribution or Uninformed?, 1159 of Spot Index Returns: Implications for Fung, J. K. W., and Yu, P. L. H., Order CVaR in the Spanish Market, 839 Imbalance and the Dynamics of Index loannidis, C., see Gregoriou, A. and Futures Prices, 1129 Fung, J. K. W., Order Imbalance and the Jacob, J., see Vipul Pricing of Index Futures, 697 jin, Hi.J ., see Elder, J. Fung, J. K. W., The Information Content Jubinski, D., Tomljanovich, M., Opt- of Option Implied Volatility Surrounding ions Listings and Individual Equity the 1997 Hong Kong Stock Market Volatility, | Crash, 555 Kalotay, E., see Gray, P. Giamouridis, D., see Flamouris, D. Kang, J., see Chang, G. Giot, P., Laurent, S., The information Kavajecz, K. A., see Brandt, M. W. Content of Implied Volatility in Light of Kawaller, I. G., A Comment on a Hedging the Jump/Continuous Decomposition Deficiency in Eurodollar Futures, 187 of Realized Volatility, 337 Kim, H.-S., see ( hang, G. Gray, P., Edwards, S., Kalotay, E., Canoni- Kruk, J., see Frino, A cal Valuation and Hedging of Index Kwok, Y. K., see Chu, C. C. Options, 77 | Gregoriou, A., Healy, J., loannidis, C. Lafuente,J . A., see Illueca, M. Hedging Under the Influence of Tran- Larson, D. F., On Inverse Carrying Charges saction Costs: An Empirical Investigation and Spatial Arbitrage, 305 on FTSE 100 Index Options, 47 | aurent, S., see Giot, P. Guo, J.-H., Hung, M.-W., Pricing American ee, H.-C., Chien, C.-Y., Huang, Y.-S., Options on Foreign Currency With Sto- The Stock Closing Call and Futures chastic Volatility, Jumps, and Stochastic Price Behavior: Evidence from the Interest Rates, 867 Taiwan Futures Market, 1003 ee, H.-T., Yoder, J., Optimal Hedging Hadsell, L., and Shawky, H. A., One-Day With a Regime-Switching Time-Varying Forward Premiums and the Impact of Correlation GARCH Model, 495 Virtual Bidding on the New York eippold, M., Syz, J., [rend Derivatives: Wholesale Electricity Market Using Pricing, Hedging, and Application to Hourly Data, 1107 Executive Stock Options, 151 Han, Y.-W., see Baillie, R. T. Lepone, A., see | rino, A. Harris, R. D. F., Stoja, E., Tucker, J., A Lien, D., Shrestha, K., An Empirical Simplified Approach to Modeling the Analysis of the Relationship Between Co-Movement of Asset Returns, 575 Hedge Ratio and Hedging Horizon Healy, J., see Gregoriou, A. Using Wavelct Analysis, 127 Hsieh, W.-L. G., see Chiou, J.-R. Lin, Y.-N., Pricing VIX Futures: Evidence Huang, Y.-S., see Lee, H.-C. from Integrated Physical and Risk- Hume, S. R., see Bali, T. G. Neutral Probability Measures, 1175 Hung, M.-W., see Guo, J.-H. Lin, Y.-Y., see Chiou, J.-R. Author Index Lindset, S., Pricing American Exchange Strategies in Commodity Futures Options in a Jump-Diffusion Model, Markets, 227 25 Shrestha, K., see Lien, D. Simon, D. P., An Examination of short Markellos, R. N., see Dotsis, G. QQO Option Trades, 739 Martell, T. F., see Bali, T. G. Song, J., see Baillie, R. T. Muthuswamy, J., see Webb, R. I. Stapleton, R. C., see Chang, C.-C. Myers, R. J., see Baillie, R. T. Stephan, A., see Husmann, S. Stoja, E., see Harris, R. D. F. Nikkinen,J. , Sahlstrém, P., Aijé, J., Turn- Switzer, L. N., El-Khoury, M., Extreme of-the-Month and Intramonth Effects: Volatility, Speculative Efficiency, and Explanation From the Important Mac- the Hedging Effectiveness of the Oil roeconomic News Announcements, Futures Markets, 61 105 Syz, J., see Leippold, M. Nunes, J. P. V., De Oliveira, L. A. F., Szakmary, A. C., see Shen, Q. Multifactor and Analytical Valuation of Ireasury Bond Futures With an Tarrant, B. C., see Doran, J. S. Embedded Quality Option, 275 fomljanovich, M., see Jubinski, D. Tucker, J., see Harris, R. D. F. Park, K., see Ahn, C. M. Peterson, D. R., see Doran, J. S. Underwood, S. E., see Brandt, M. W. Poskitt, R., Benchmark Tipping and the Role of the Swap Market in Price Vipul, and Jacob, J., Forecasting Perfor- Discovery, 981 mance of Extreme-Value Volatility Esti- mators, 1085 Ranaldo, A., see Christiansen, C. Webb, R. I., Muthuswamy, J. , and Segara, Réthig, A., Chiarella, C., Investigating R., Market Microstructure Effects on Nonlinear Speculation in Cattle, Corn, Volatility at the Taifex, 1219 and Hog Futures Markets Using Logistic Smooth Transition Regression Models, =19 Webb, R. I., Editor’s Note, 1127 Wilkens, S., Wimschulte, J., The Pricing Sahlstrém, P., see Nikkinen, J. of Electricity Futures: Evidence From Salih, A., see Arisoy, Y. E. the European Energy Exchange, 387 Schwartz, A., see Arnold, T. Wimschulte, ]., see Wilkens, S. Segara, R., see Webb, R. I. Wu, T.-P., Chen, S. N., Equity Swaps in a Sharma, S. C., see Shen, Q. LIBOR Market Model, 893 Shaw ky, H. A., see Hadsell, L. Shen, Q., Szakmary, A. C., Sharma, S. C., Yoder, iF, see I ee, H.- I. An Examination of Momentum Yu, P. L. H., see Fung, J. K. W. THE JOU UTURLS Volume Contents to Volume 27 Number 1, January 2007 Options Listings and Individual Equity Volatility D. JUBINSKI and M. TOMLJANOVICH An Efficient Approximation Method for American Exotic Options 29 G. CHANG,J . KANG, and H.-S. KIM, Extreme Volatility, Speculative Efficiency, and the Hedging Effectiveness of the Oil Futures Markets 61 L. N. SWITZER and M. EL-KHOURY Back to the Future: Futures Margins in a Future Credit Default Swap Index Futures Market 85 H. N. E. BYSTROM Number 2, February 2007 Turn-of-the-Month and Intramonth Effects: Explanation from the Important Macroeconomic News Announcements 105 ]. NIKKINEN, P. SAHLSTROM, and J. AYO \n Empirical Analysis of the Relationship Between Hedge Ratio and Hedging Horizon Using Wavelet Analysis 127 D. LIEN and K. SHRESTHA Trend Derivatives: Pricing, Hedging, and Application to Executive Stock Options 151 M. LEIPPOLD and J. SYZ A Comment on a Hedging Deficiency in Eurodollar Futures 187 I. G. KAWALLER Reply to A Comment on ‘a Hedging Deficiency in Eurodollar Futures’ 195 D. M. CHANCE Number 3, March 2007 Valuing Real Options Using Implied Binomial Trees and Commodity Futures Options 203 lr. ARNOLD, T. F. CRACK, and A. SCHWARTZ An Examination of Momentum Strategies in Commodity Futures Markets 227 Q. SHEN, A. C. SZAKMARY, and S. C. SHARMA Pricing American Exchange Options in a Jump-Diffusion Model 257 S. LINDSET Multifactor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option 275 J. P. V. NUNES and L. A. F. DE OLIVEIRA Number 4, April 2007 On Inverse Carrying Charges and Spatial Arbitrage 305 DONALD F. LARSON The Information Content of Implied Volatility in Light of the Jump/Continuous Decomposition of Realized Volatility 337 P..GIOT and S. LAUREN] The Impact of Execution Delay on the Profitability of Put-Call-Futures Trading Strategies—Evidence from Taiwan 361 J.-R. CHIOU, W.-L. G. HSIEH, and Y.-Y. LIN The Pricing of Electricity Futures: Evidence from the European Energy Exchange 387 S. WILKENS and J. WIMSCHULTI Number 5, May 2007 Long Memory in Commodity Futures Volatility: A Wavelet Perspective 411] J. ELDER and H. J. JIN Realized Bond—Stock Correlation: Macroeconomic Announcement Effects 439 C. CHRISTIANSEN and A. RANALDO Hedging Under the Influence of Transaction Costs: An Empirical Investigation on FTSE 100 Index Options 471 \. GREGORIOU, J. HEALY, and C. IOANNIDIS Optimal Hedging with a Regime-Switching Time-Varying Correlation GARCH Model 495 H.-T. LEE and J. YODER Number 6, June 2007 The Hidden Martingale Restriction in Gram-Charlier Option Prices 517 C. CORRADO Target Redemption Notes 535 C. C. CHU and Y. K. KWOK The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash 555 ]. K. W. FUNG A Simplified Approach to Modeling the Co-Movement of Asset Returns 575 RICHARD D. F. HARRIS, EVARIST STOJA, and JON TUCKER The Finite Sample Properties of the GARCH Option Pricing Model 599 GEORGE DOTSIS and RAPHAEL N. MARKELLOS Number 7, July 2007 Is Volatility Risk Priced in the Securities Market? Evidence from S&P 500 Index Options 617 YAKUP ESER ARISOY, ASLIHAN SALIH, and LEVENT AKDENIZ Long Memory Models for Daily and High Frequency Commodity Futures Returns 643 RICHARD T. BAILLIE, YOUNG-WOOK HAN, ROBERT J. MYERS, and JEONGSEOK SONG The Pricing of Foreign Currency Options Under Jump-Diffusion Processes 669 CHANG MO AHN, D. CHINHYUNG CHO, and KEEHWAN PARK Order Imbalance and the Pricing of Index Futures 697 JOSEPH K.W. FUNG Number 8, August 2007 Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets Using Logistic Smooth Transition Regression Models 719 ANDREAS ROTHIG and CARL CHIARELLA AN Examination of Short QQO Option Trades 739 DAVID P. SIMON Canonical Valuation and Hedging of Index Options PHILIP GRAY, SHANE EDWARDS, and EGON KALOTAY Richardson Extrapolation Techniques for the Pricing of American-Style Options 791 CHUANG-CHANG CHANG, SAN-LIN CHUNG, and RICHARD C. STAPLETON Number 9, September 2007 Approximate Basket Option Valuation for a Simplified Jump Process 819 DIMITRIS FLAMOURIS and DANIEL GIAMOURIDIS The Effect of Futures Trading on the Distribution of Spot Index Returns: Implications for CVaR in the Spanish Market 839 M. ILLUEC \ and J.A. | AFUENTI Pricing American Options on Foreign Currency with Stochastic Volatility, Jumps, and Stochastic Interest Rates 867 JIA-HAU GUO and MAO-WEI HUNG Equity Swaps in a LIBOR Market Model 893 TING-PIN WU and SON NAN CHEN Number 10, October 2007 Is there Information in the Volatility Skew? 921 JAMES S. DORAN, DAVID R. PETERSON, and BRIAN C. TARRANT On Estimating an Asset’s Implicit beta 961 SVEN HUSMANN and ANDREAS STEPHAN Benchmark Tipping and the Role of the Swap Market in Price Discovery 981 RUSSELL POSKITI The Stock Closing Calland Futures Price Behavior: Evidence from the Taiwan Futures Market 1003 HSIU-CHUAN LEE, CHENG-YI CHIEN, and YEN-SHENG HUANG Number 11, November 2007 Price Discovery in the Treasury Futures Market 1021 MICHAEL W. BRANDT, KENNETH A. KAVAJECZ and SHANE E. UNDERWOOD A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure? 1053 TURAN G. BALI, SUSAN R. HUME and TERRENCE F. MARTELI Forecasting Performance of Extreme-Value Volatility Estimators 1085 VIPUL and JOSHY JACOB One-Day Forward Premiums and the Impact of Virtual Bidding on the New York Wholesale Electricity Market Using Hourly Data 1107 LESTER HADSELL and HANY A. SHAWKkY Number 12, December 2007 Editor’s Note 1127 ROBERT |. WEBB Order Imbalance and the Dynamics of Index and Futures Prices 1129 JOSEPH K. W. FUNG and PHILIP L. H. YL Transactions in Futures Markets: Informed or Uninformed? 1159 ALEX FRINO, JENNIFER KRUK and ANDREW LEPONI Pricing vix Futures: Evidence from Integrated Physical and Risk-Neutral Probability Measures 1175 YUEH-NENG LIN Market Microstructure Effects on Volatility at the Taifex 1219 ROBERT I. WEBB, JAYARAM MUTHUSWAMY, and REUBEN SEGARA Author Index 1247 Volume Contents