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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…
George M. Mukupa, Elias R. Offen
This paper studies equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution. We take n to be the number of times. An investor is trading in this market with p being the probability that there is a shift in the…
Richard A. Michelfelder
This investigation researches how industry institutional regimes can affect the pattern and volatility of stock prices and returns. This paper searches for information signals of regulatory policy in US electric public utility company stock returns and also t…
Dereje Bekele, Ananda Kube, Dennis C. Ikpe
This paper evaluates the use of modeling approach that depends on Levy jump model to predict investors wealth under inefficiencies in the market, in terms of mispricing and asymmetric information where the traded stock or risky asset price is considered to be…
Yu Shi, Handong Li
Considering the overnight effect on the stock market, we construct a daily volatility measure that is formed by a linear combination of the three components, namely overnight volatility, morning realized volatility and afternoon realized volatility, and obtai…
Tianmin Zhou
This paper presents a method of portfolio selection for reducing co-related risks. Differing from the Markowitz’s mean-variance framework, we use the joint probability of co-movement of multi-assets (JPCM) as a measure of risks, and under the condition of min…
Shichang Shen, Ying Wu
Through the establishment of the panel vector autoregressive model (PVAR), taking the 31 provincial panel data from the fourth quarter of 2013 to the second quarter of 2018 as research samples, the empirical test on the regional effects of bonds and stocks on…
Qianqian Gao, Hong Fan, Jiwei Shen
The global financial crisis triggered by the US subprime mortgage crisis in 2008 has caused serious impact on the financial system around the world, which also aggravated the banking system. Since the banking industry is the core element of financial system,…
Hideki Iwaki
This paper considers an equilibrium asset pricing model in a static pure exchange economy under ambiguity. Ambiguity preference is represented by the dual theory of the smooth ambiguity model [ 6 ]. We show the existence and the uniqueness of the equilibrium…
Jane Aduda, Patrick Weke, Philip Ngare
The co-evolution and co-movement of financial time series are of utmost importance in contemporary finance, especially when considering the joint behaviour of asset price realizations. The ability to model interdependencies and volatility spill-over effects i…
Cyprian O. Omari, Peter N. Mwita, Antony W. Gichuhi
This paper implements the statistical modelling of the dependence structure of currency exchange rates using the concept of copulas. The GARCH-EVT-Copula model is applied to estimate the portfolio Value-at-Risk (VaR) of currency exchange rates. First the univ…
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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).