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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…
Andrew P. Leung
This paper considers the solution of the equations for ruin probabilities in infinite continuous 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…
Osei Antwi, Francis Tabi Oduro
Asian options are generally priced using arithmetic or geometric averages of the underlying stock. However, these methods are not suitable when stock’s volatilities are very low. The motivation to develop derivative prices based on averaging the underlying as…
Weige Huang, Xiang Gao
This paper investigates the usefulness of the Hierarchical Equal Risk Contribution algorithm to exploit correlation structure in China’s equity market over 2001-2020. By running a horse race of different combinations of metrics and linkages, we demonstrate th…
Calvin B. Maina, Patrick G. O. Weke, Carolyne A. Ogutu, Joseph A. M. Ottieno
The Normal Inverse Gaussian (NIG) distribution, a special case of the Generalized Hyperbolic Distribution (GHD) has been frequently used for financial modelling and risk measures. In this work, we consider other normal Variance mean mixtures based on finite m…
Pantelis Tassopoulos, Yorgos Protonotarios
In this paper, we test the effectiveness of predicting the behavior of stocks utilizing stochastic calculus. We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier’s…
Andrzej Korzeniowski
We propose a novel actuarial risk model which, unlike the classical Crámer-Lundberg model, incorporates a stream of random premiums that offset random claims. A key feature of the model is a discrete time accounting of premiums and claims flow, whereby lendin…
Ezekiel K. Duramany-Lakkoh, Abubakarr Jalloh, Mohamed Sajor Jalloh
Foreign direct investment (FDI) is considered in the literature as an essential driver of economic growth. This paper aims to investigate the impact of FDI on economic growth of Sierra Leone economy. As a whole, the period under consideration is a thirty-seve…
Riccardo Bramante, Silvia Facchinetti
This paper deals with asset allocation decisions when the considered risk measure is directly related to the investor’s level of risk aversion. It is well known that the optimal portfolio weights are considerably sensitive to how assets are ranked on the basi…
Niloofar Ghorbani, Andrzej Korzeniowski
We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models, provides a feasible real market implementation. Closed form formulas for Call and Put O…
John F. Pinfold
Asset pricing models are almost always tested using stock returns over multiple time periods, and the returns of portfolios over the investment horizon determined using the arithmetic average of these portfolio returns. The arithmetic average returns of portf…
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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).