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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…
Hideki Iwaki
In this paper, we consider an equilibrium insurance premium and risk exchange in a pure exchange economy with ambiguity or Knightian uncertainty. Each agent’s preference is represented by the expected utility with uncertainty probability (EUUP) theory. The Bü…
Asma Maghrebi, Fathi Abid
This study considers a market-based economy that is composed of two asset classes: one is a digital, cryptocurrency, and the other is real, gold. We demonstrated that coins like (BTC, LTC, and DASH) can substitute a traditional safe haven “gold” in an interte…
Fernando Vadillo, Nerea Vadillo
In this paper, we used the Singular Value Decomposition (SVD) to find the relationships in the fluctuation of the six market indexes CAC 40, DAX, DOW JONES 30, FTSE 100, IBEX35 and NIKKEI 225 during the year 2018. This technique allows relating several indexe…
Abui Peter Kur, Oscar Ngesa, Rachel Sarguta
The empirical models that explain the variation in exchange rate on the ground of macroeconomic fundamentals only are usually bias on the account of omitted variable hence, they cannot decently explain variations in exchange rate. However, if socio-political…
Cyprian Omari, Anthony Ngunyi
This paper implements the analysis of volatility behaviour of the eight major cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, Dash and Tether) for the period starting from October 13th 2015 to November 18th 2019. The GARCH-type models…
Ahmed S. Abutaleb, Michael G. Papaioannou, 1 1
This paper addresses the role of international reserves in mitigating the adverse effects of potential “sudden stops” on economic growth. As holding of reserves implies a cost in terms of domestic consumption, we calculate the optimal level of reserves that h…
Hanlei Hu, Shaoyong Lai
In this paper, we introduce trade costs into the spatial AK model of economic growth and investigate the effects of trade costs on the spatio-temporal dynamics. We formulate an optimal control problem and obtain the evolution of the capital distribution along…
Hassan Kablay, Victor Gumbo
Banks play a vital role in the financial system of any country. This study aims to examine the financial performance of eleven banks in Botswana for the period 2015 to 2019 using Return on Assets (ROA), Return on Equity (ROE), and Cost-to-Income (C_I) ratio a…
Martin M. Kithinji, Peter N. Mwita, Ananda O. Kube
In this paper, we present an estimator that improves the well-calibrated coherent risk measure: expected shortfall by restructuring its functional form to incorporate dynamic weights on extreme conditional quantiles used in its definition. Adjusted Extreme Qu…
Praewnapa Seelama, Dawud Thongtha
Option pricing model is a wildly interested topic in an area of financial Mathematics. The pioneer model was introduced by Fischer Black and Myron Scholes which is known as the Black-Scholes model. This model was derived under various assumptions such as liqu…
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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).