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Journal of Mathematical Finance (JMF) aims at presenting the latest developments in pure and applied financial mathematics. It considers important theoretical, empirical and review papers. All manuscripts must be prepared in English and are subject to a rigorous and fair peer-review process. Generally, accepted papers…
Matabel Odin, Jane Akinyi Aduda, Cyprian Ondieki Omari
Non-linear partial differential equations have been increasingly used to model the price of options in the realistic market setting when transaction costs arising in the hedging of portfolios are taken into account. This paper focuses on finding the numerical…
Hugo Gobato Souto
In 2010 a new financial risk measure was discovered, namely Financial Turbulence. Although it has been studied by other papers, its statistical distribution study is still missing. Knowing a financial phenomenon distribution is of importance when performing r…
Andrew P. Leung
This paper considers the solution of the equations for ruin probabilities in finite time. Using the Fourier Transform and certain results from the theory of complex functions, these solutions are obtained as complex integrals in a form which may be evaluated…
Rusha Deng, Xingyu Wang
We incorporate the deposit insurance system into the analysis framework of the impact of bank information disclosure on their risk-taking, and empirically test the impact and synergistic effect of deposit insurance system and bank information disclosure on th…
Philip Sulaiman Koroma, Abubakarr Jalloh, Andrew Squire
Exchange rate fluctuation is considered in the literature as an essential driver of economic growth. This paper aims to investigate the impact of exchange rate fluctuation on economic growth of the Sierra Leone economy. As a whole, the period under considerat…
Gilbert Chambashi, Wamulume Mushala, Clement Mwaanga, Chilayi Mayondi, Bupe Kolosa, Levy K. Matindih, Edwin Moyo
In this paper, a formula for calculating a premium for reinsurance is presented. This formula was determined by incorporating a lognormal-burr probability distribution model into the PH-transform principle which is one of the risk-adjusted premium calculating…
Gerald W. Buetow Jr., James Sochacki, Bernd Hanke
We use the Power Series Method (PSM) numerical framework for estimating nonlinear variations of the Black-Scholes partial differential equations (PDE). The PSM offers an alternative to using traditional finite difference methods. Traditional approaches often…
Gaoganwe Sophie Moagi, Obonye Doctor
We find the possible risk minimizing portfolio strategies in a two dimensional market consisting of a risk asset and risk-less asset. The investor in the market is subjected to consumption, purchasing of life insurance and stochastic income with inflation ris…
Lisha Zuo, 1 1
We estimate international spillover effects of EMU nominal negative interest rate policy (NIRP) on China’s Monetary Policy. Using a LT-TVP-VAR we find that an expansionary EMU shock has short-term effects on Chinese financial basic variables and final targets…
Xuebin Yang, Lifei Wu, Yu Zhang
A modified Black-Scholes (B-S) model with time fractional derivative is studied when the price change of the underlying is considered as a fractal transmission system. It is very practical in application to study the numerical computation of this time fractio…
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Journal of Mathematical Finance (JMF) aims at presenting the latest developments in pure and applied financial mathematics. It considers important theoretical, empirical and review papers. All manuscripts must be prepared in English and are subject to a rigorous and fair peer-review process. Generally, accepted papers… All articles are open access under a CC BY 4.0 licence, with authors retaining copyright.
Authors submit their manuscript, metadata, and declarations through the portal. There is no submission fee.
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Manuscripts must be original and not under consideration elsewhere. Submit in Microsoft Word or LaTeX with figures at 300 dpi minimum. Structure research articles as Abstract, Introduction, Methods, Results, Discussion, and References.
Use the journal's numbered (Vancouver) reference style. Cite sources consecutively in the order they appear, and ensure every reference is complete and retrievable.
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