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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…
Shibo Dai, Handong Li
Based on stochastic discount factor theory, this paper proposes a method to convert the traditional systemic risk measures of financial markets, such as VaR, ES, MES and SES, into risk-neutral measures. We proposed a novel way to neutralize the returns withou…
Kevin Z. Tong, Dongping Hou, Jianhua Guan
This paper develops a new class of models for pricing dual-expiry options that are characterized by two expiry dates. The underlying asset price is modeled by a time changed exponential Ornstein Uhlenbeck (OU) process, where the time change process is a Lévy…
Yuxia Huang, Chuancun Yin
This article investigates the optimal reciprocal reinsurance strategies when the risk is measured by a general risk measure, namely the GlueVaR distortion risk measures, which can be expressed as a linear combination of two tail value at risk (TVaR) and one v…
Saman Muthukumarana, Kyle Vincent, Jenna G. Tichon
Customers have a wide variety of choices in selecting a method of payment in modern society due to advancements in technology. In this paper, we investigate the method of payment habits of banking customers using item response models. We consider three binary…
Dmitry Jurievich Golembiovsky, Anatoly Markovich Abramov, 1 1
The most commonly used strategy of the speculative investments in options is a statistical arbitrage between the objective underlying price distribution which the price is following and the risk-neutral distribution on the basis of which options were priced.…
Andrew Leung
The extrema of Wiener processes are relevant to the pricing of so-called exotic options, which have many financial applications. The probability densities of such extrema are well known for one dimensional Wiener processes. We employ elementary methods to der…
Rajat Deb, Indranil K. Ghosh, Tae Kun Seo
In referenda, projects are approved if the support for the project exceeds a particular threshold or quota. The usual threshold is the requirement of majority support. The paper provides a theoretical analysis of referenda with different threshold quotas for…
Thomas Chinwe Urama, Patrick Oseloka Ezepue, 1 1
Predicting prices of financial assets have always been topical in finance. This conceptual paper considers the seminal paper by Black-Scholes [1], how to determine the parameters of the geometric Brownian motion, and their use in forecasting stock prices, esp…
Foad Shokrollahi
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obt…
Chidi U. Okonkwo, Bright O. Osu, Silas A. Ihedioha, Chigozie Chibuisi
In this paper, the optimal investment strategy for a defined contribution (DC) pension scheme was modeled with the assumption that the fund is invested partly in riskless assets and partly in risky assets. The market has a constant interest rate, a stochastic…
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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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