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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…
Seisuke Sugitomo, Keiichi Maeta
In this work, we use the model-free framework, named randomly distributed embedding, which is the method that randomly selects variables from the values of many observed variables at a certain time and estimates the state of the attractor at that time, to pre…
Patrick Kandege Mwanakatwe, Xiaoguang Wang, Yue Su
This paper considers optimal investment and risk control problem under the Hull and White Stochastic Volatility (SV) model for an Insurer who aims to optimize the investment and risk control strategies. The surplus process of the insurer is assumed to follow…
Indrajit Mallick
This paper examines bank portfolio management under banking regulation and asymmetric information about borrower types and screening by banks and imperfect competition in the credit market. A bank tries to maximize expected profit subject to a portfolio varia…
Tsotne Kutalia
This paper explores the selection of optimal portfolio by replacing the standard Mean-Variance model by Mean-Minimum Return Level (MRL) framework and adding one important dimension—expectation of bounded First Passage Time (FPT) towards the MRL. To measure ho…
Maggie Foley, Chengru Hu, Fabrizioi Rossi, Richard Cebula
The nested logit model has been extensively used in studies focused on transportation. This model is based on a choice modeling framework and is also applicable to the study of a proxy contest. In this study, we illustrate how the nested logit model can be ef…
Allé Nar Diop
The purpose of this article is to determine the pure premium to be paid by the Senegalese farmer insured at conventional risks. Using the general linear model (GLM), the frequency and severity of different types of risks to farmers were determined. They depen…
Shichang Shen, Xiaoyi Dong
With the continuous improvement of living standards, the total amount of social consumer goods in China’s economic development has occupied an important position. Its fluctuations can indirectly reflect the demand and purchasing power of commodities, thus aff…
Yang Wang, Yonghong Wu, Xinguang Zhang
Based on the mean-variance portfolio selection under multi-period criterion, this paper focuses on the study of the uncertain time horizon and the regime-switching market including the bankruptcy state, where the conditional distribution of exit time is follo…
Patrick Oseloka Ezepue, Thomas Chinwe Urama, Mahmoud A. Taib Omar
We explicate the need and pathways for systematic stock market characterisation and development (SSMCD) and the role of Random Matrix Theory (RMT) in SSMCD research. This is the first time SSMCD, itself a nascent area of empirical finance introduced by the fi…
Maria Kyriacou, Jose Olmo, Marius Strittmatter
This paper explores the dynamics of risk aversion of a representative agent with an iso-elastic utility function. In contrast to most of the existing literature, we estimate the coefficient of relative risk aversion from option prices. To do this, we transfor…
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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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