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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…
Zhaoxin Lin, Travis R. A. Sapp, Rahul Parsa, Jackie Rees Ulmer, Chengxin Cao
Cybersecurity breaches may be correlated due to geography, similar infrastructure, or use of a third-party contractor. We show how a logistic regression may be used to estimate the probability of an attack where breaches may be correlated among firms up and d…
Calvin B. Maina, Patrick G. O. Weke, Carolyne A. Ogutu, Joseph A. M. Ottieno
Value at Risk (VaR) and Expected Shortfall (ES) is commonly used measures of potential risk for losses in financial markets. In literature VaR and ES for the Normal Inverse Gaussian (NIG) distribution, a special case of Generalized Hyperbolic Distribution (GH…
Alec Kercheval, Navid Salehy, Nima Salehy
We replicate and price European options on stocks modeled by time-changed geometric Brownian motion. The time change is obtained as the integrated intensity of random arrival times of price changes of the underlier over the life of the option. For European ca…
Rasaki Olawale Olanrewaju
Generalized Beta-G family of distributions proposed has alternative distributions to unbounded distributions for modeling price returns. In contrast to Gaussian and other unbounded distributions that take values from , Generalized Beta-G family of distributio…
Rasheed Adegbola Bello
The study utilized continuous wavelet to explore the co-movement of equities of four countries: France, Germany, the UK and the US. The daily data were extracted from January 2000 to May 2020 but converted to weekly data to limit the computational burden. The…
Ezekiel K. Duramany-Lakkoh, Mohamed Sajor Jalloh, Abubakarr Jalloh
This study assesses the short-term and long-term impact of Foreign Direct Investment (FDI) on the manufacturing sector output in Sierra Leone using time series from 1970 to 2018. In order to assess the impact of FDI together with some explanatory variables su…
Mesias Alfeus, Shiam Kannan
In the current paper, we develop a methodology to price lookback options for cryptocurrencies. We propose a discreetly monitored window average lookback option, whose monitoring frequencies are randomly selected within the time to maturity, and whose monitori…
Kenneth Tiro, Othusitse Basimanebotlhe, Elias R. Offen
In this paper, we study optimal investment, consumption and portfolio choice in a framework where the pension planner member (PPM) embarks on an investment policy to cover up for some certain life targets. The aim of the pension plan manager is to maximize th…
David J. Moore
This study contributes to the literature by modifying and recasting the Modigliani and Modigliani M-Squared risk-adjusted performance measure in a practical setting. Specifically, rather than combine the risk-free asset (Treasury Bill) with the portfolio unde…
Winfrida Felix Mwigilwa, Jane Aduda, Ananda Omutokoh Kube
Generally in this paper, we show how the new version of parameter in Jacod decomposition will change an expression of entropy-Hellinger process of order one, order q and order zero and consequently an equation of minimal entropy Hellinger sigma martingale den…
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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.
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