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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…
Ming Guo
We use tick-by-tick data to study the dynamics of different components of implicit trading costs, including market impact cost, proportional cost, and fixed cost, over a decade. We model the proportional cost and the fixed cost as compensation for an affine s…
Niloofar Ghorbani, Andrzej Korzeniowski
We present a solution to the problem posed by Zhang et al . [1] regarding Call Option price C T under linear investment hedging for the stochastic interest rate modeled by a CIR Process. A closed form representation for C T by expected value of the path-integ…
Xiang Lu, Gunter Meissner, Hong Sherwin
This paper has two main contributions. First, we build a simple but rigorous stochastic volatility—stochastic correlation model. Mean-reverting and locally stochastic with dependent Brownian motions, our model proves to fit both marginal and joint distributio…
Alejandro Aguilar, Katherine Ensor
Topological features in high dimensional time series are used to characterize changes in stock market dynamics over time. We explored the daily log returns of four major US stock market indices and 10 ETF sectors between January 2010-June 2020. Topological da…
Alwalid Mohammad Saleh A. Hajisaaid
This research investigated the relationship between capital structure and profitability of eight companies working in the basic material sector in Saudi Arabia during the period 2009 to 2018. The statistical techniques used are regression analysis, fixed effe…
Fidelio Tata
Correlations play an important role in the risk management of banks. Changes of correlation are an important element of an adverse (stress) scenario in the BCBS framework. The purpose of this paper is to show how correlation is plagued by a number of issues t…
Geleta T. Mohammed, Jane A. Aduda, Ananda O. Kube
In this paper, a robust analysis of volatility forecasting of the GBP-ETB exchange rate was provided using weekly data spanning the period June 30, 2003-January 24, 2020. To our knowledge, this was the first study that focuses on the GBP-ETB exchange rate usi…
Cyprian Omari, Simon Mundia, Immaculate Ngina
The recent global pandemic of coronavirus (COVID-19) has had an enormous impact on the financial markets across the world. It has created an unprecedented level of risk uncertainty, prompting investors to impetuously dispose of their assets leading to signifi…
Gejian Feng, Jianqiong Wang
This paper examines the impacts of corporate social network on innovation activities (both R&D inputs and patent outputs) and explores the potential influence path of social networks driving corporate innovation. Using Chinese share markets’ listed companies…
Sulaiman Sani, Sihle Precious Maseko, Qiniso Dlamini, Firdausi Adamu Abdullahi
Motion picture derivatives have proved valuable in hedging financial risk of the movie industry. However, the existence of pseudo assets within certain category of movie contingencies makes market trading below capacity due to hyper level pricing arbitrage. 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).