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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…
Liangliang Zhang
In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. N…
David L. Stowe
This paper explores the mathematics behind optimal portfolio construction when relative utility and risk are considered together in a general sense. I derive the portfolio optimization problems when subject to both a general liner constraint and a constraint…
Ming Zhang, Xinghua Liu, Yi Liu
In recent years, commercial banks and other financial institutions have been carrying out unprecedented reforms on the marketization of interest rates, and the floating space of loan interest rates has been constantly expanding. Therefore, loan pricing has be…
Antoine Bambade, 1 1
Volume-Synchronized Probability of Informed Trading (VPIN) is a tool designed to predict extreme events like flash crashes in high-frequency trading. Its aim is to estimate the Probability of Informed Trading (PIN), which was built from a probabilistic framew…
Gerald W. Buetow, James Sochacki
We introduce a previously unused numerical framework for estimating the Black-Scholes partial differential equation. The approach, known as the Power Series Method (PSM), offers several advantages over traditional finite difference methods. Our objective is t…
Anthony Ngunyi, Simon Mundia, Cyprian Omari
Cryptocurrencies have become increasingly popular in recent years attracting the attention of the media, academia, investors, speculators, regulators, and governments worldwide. This paper focuses on modelling the volatility dynamics of eight most popular cry…
Tingting Ye, Liangliang Zhang
In this paper, we combine the theory of stochastic process and techniques of machine learning with the regression analysis, first proposed by [1] to solve for American option prices, and apply the new methodologies on financial derivatives pricing. Rigorous c…
Liangliang Zhang
In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical theory with, potentially, machine learning techniques, e.g., machine learning regression, classification and reinf…
Stanley Sewe, Philip Ngare, Patrick Weke
This article investigates a stochastic filtering problem whereby the bor-rower’s hidden credit quality is estimated using ego-network signals. The hidden credit quality process is modeled as a mean reverting Ornstein-Ulehnbeck process. The lender observes the…
Philip Ajibola Bankole, Olabisi O. Ugbebor
The menace of Economic recession to uncertainty in the payoff of investments and standard of living cannot be over emphasized. This paper presents fast Fourier transform method for the valuation of American style options under the exposure of Economic recessi…
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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).