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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…
Jayanta K. Pokharel, Erasmus Tetteh-Bator, Chris P. Tsokos
Stock price prediction is considered as an important task and is of great attention as predicting stock prices successfully may lead to attractive profits for investors. Information Technology Sector of S&P 500 is one of the most sought after business segment…
Lingkai Kong, Yunxin Chang
How to assess external shocks, whether they are inflationary shocks or interest rate shocks without warning, is crucial to construct smooth and predictable financial market. The purpose of this paper is to analyze the short-run and long-run effects of shocks…
Matthew S. Crouse
Despite some major successes, Leveraged ETFs (LETFs) have resulted in several striking failures that we believe could dramatically increase with the recent introduction of single-stock LETFs in the U.S. Arguing for an urgent need to regulate leverage, we seek…
Stanley Jere, Elias Rabson Offen, Othusitse Basmanebothe
Optimal investment and consumption problem for a CRRA investor or agent is solved in this study. An agent invests in the financial market with one risk-free security and one risky security. The stochastic interest rate dynamics of risk-free security follow a…
Zied Chaieb, Djibril Gueye
The main goal of this paper is to use the enlargement of filtration framework for pricing zero-coupon CAT bonds. For this purpose, we develop two models where the trigger event time is perfectly covered by an increasing sequence of stopping times with respect…
Jiang Ye, Yiwei Wang, Muhammad Wajid Raza
[1] analyzed the performance of Madoff’s investment strategy using the Sharpe ratio. Going a further step, [2] calculated the upper bound of the Sharpe ratio given different conditions. The upper bound is the maximum of the Sharpe ratio that a portfolio can r…
Yue Hu, Hongling Dong, Le Fu, Jiayang Zhai
The option pricing model can predict the future trend of the financial market. In order to more accurately describe the changing process of the financial market, the Hurst index which can describe the characteristics of long-term memory is introduced into the…
Yizhao Huang, Ying Yuan, Hongfei Tang
This paper examines the performance of Leveraged Exchange-Traded Funds (LETFs) on Chinese A-share indices. We find that bull funds deliver positive average returns and that both the bull and bear Chinese LETFs on average (but less often) exceed the naively ex…
Taksaporn Sirirut, Dawud Thongtha
Online portfolio selection is considered about an asset allocation that can be updated by using current data. This is a fundamental problem in computational finance, which is attracted by investors who aim to manage their existing assets. However, several exi…
Etyang Isaac, Joshua Were
Asset-based lending companies and other loan providers are exposed to risk of loan defaults by borrowers. To reduce this risk, these companies acquire credit insurance. Thus when the borrower defaults in payment, the insurance company covers a percentage of t…
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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.
The editorial office screens the manuscript for scope, completeness, and formatting before assigning a handling editor.
At least two independent reviewers evaluate the manuscript under single-blind review. Where revisions are required, authors respond point by point.
On acceptance the article processing charge is invoiced and the CC BY 4.0 copyright handover is signed.
The article is copyedited, typeset, and given a DOI, then publishes open access with a permanent link.
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.
Declare all funding sources, conflicts of interest, and ethical approvals (including informed consent and animal-care statements where applicable).