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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…
Vivian O. Okere, Wen Chen
Uncertainties in regulation could affect the decision to invest in irreversible capital projects. We use the geometric Brownian motion to analyze the effect of a stochastic carbon tax on the cash flows expected from investments and the value of the investment…
Ndeye Fatou Sene, Mamadou Abdoulaye Konte, Jane Aduda
The objective of this study is, to show the importance of incorporating jumps in both returns and volatility dynamics for Bitcoin. For that purpose, we introduce the Double Exponential Jump-Diffusion model with Stochastic Volatility (DEJDSVJ) that contains as…
Xindong Zhang, Jianying Li, Xiaoli Wang, Xiaoxin Hu
Given the availability of daily data over 1926-1962, it is surprising that there is no research examining the idiosyncratic volatility (IV) puzzle over this early period. This paper conducts an out-of-sample test on the IV phenomenon. We find that the negativ…
Andrew P. Leung
This paper considers the relationship between population growth and capital accumulation. In general, the relationship is not monotonic; there is a tension between two opposing effects: a higher growth rate diluting capital that has already been accumulated,…
Haishan Li, Ting Pan, Qianqian Tang, Zhengxun Tan
While GDP and the money supply (M2), the two key demand fundamentals of China’s housing prices, shifted gears and decelerated after 2012, China’s housing prices maintained high growth rates, specifically during 2015-2018. To explain the puzzling phenomenon, w…
Shichang Shen
Real estate development investment has a significant impact on economic development. Based on data from 17 prefecture-level cities and prefectures in Hubei Province from 2002 to 2018, the relationship between real estate development investment and economic gr…
George Awiakye-Marfo, Joseph Mung’atu, Patrick Weke
In this paper, the randomised pseudolikelihood ratio change point estimator for GARCH models in [1] is employed and its limiting distribution is derived as the supremum of a standard Brownian bridge. Data analysis to validate the estimator is carried out usin…
Dongfang Zhang, Basu Bhandari, Dennis Black
The mortgage sector plays a pivotal role in the financial services industry, and the U.S. economy in general, with the Federal Reserve, St. Louis, reporting Households and Nonprofit Organizations for One-to-Four-Family Residential Mortgages Liability Level at…
Kebareng I. Moalosi-Court, Edward M. Lungu, Elias R. Offen
In this paper, we have investigated how an investor’s income, who is rewarded by managing dual company stocks and additionally receives stochastic income, grows. We have calculated the optimal stock price and the optimal stock output that maximize his returns…
Charles Kusaya, Memory Mandiudza, Nicholas Mwareya, Confess Matete, Leonard Shambira, Nyashadzashe Ngaza
In this paper, we examine a model that maximises dividend payments for an insurance company with a debt liability. We assume that the company has a policy to reinvest a proportion of its surplus cash before paying dividends to shareholders. We model the dynam…
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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).