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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…
Joseph Atta-Mensah
The author re-examines the demand-for-money theory in an intertemporal optimization model. The demand for real money balances is derived to be a function of real income and the rates of return of all financial assets traded in the economy. Unlike the traditio…
J. T. Manhire
There exists a well-developed statistical theory predicting extreme price values for financial markets known as extreme value theory (EVT). This approach relies on the seemingly obvious, but rarely analyzed, assumption that price displacement extremes actuall…
Takashi Kato
We study the asymptotic behavior of the difference as , where is a risk measure equipped with a confidence level parameter , and where X and Y are non-negative random variables whose tail probability functions are regularly varying. The case where is the valu…
Raj Jagannathan
A three-factor exchange-rate diffusion model that includes three stochastically-dependent Brownian motion processes, namely, the domestic interest rate process, volatility process and return process is considered. A linear regression approach that derives exp…
Cyprian Ondieki Omari, Shalyne Gathoni Nyambura, Joan Martha Wairimu Mwangi
Claims experience in non-life insurance is contingent on random eventualities of claim frequency and claim severity. By design, a single policy may possibly incur more than one claim such that the total number of claims as well as the total size of claims due…
Deyu Yin
This paper establishes the income and risk model in financial investment based on multi-objective programming theory, aiming to analyze the relationship between risk and return in financial investment and discuss the relationship between the risk the investor…
Fangping Peng, Richard Cebula, Maggie Foley, Xinming Hu, Zhetan Zhang
In this study, the panel smooth transition model will be used to analyze the nonlinear relationship between debt and investment. It can be inferred from the results that debt drives investment when the debt level is relatively low. However, a rise in debt rea…
Seisuke Sugitomo, Shotaro Minami
Fundamental factor models are one of the important methods for the quantitative active investors (Quants), so many investors and researchers use fundamental factor models in their work. But often we come up against the problem that highly effective factors do…
Samuel Asante Gyamerah, Philip Ngare
A robust time-varying regime-switching model for price dynamics of hourly spot price of electricity on the electricity market is developed. We propose a two-state Markov Regime Switching (MRS) model that gives weight to the existence of different variance for…
Shotaro Minami
Forecasting the stock price of a particular has been a difficult task for many analysts and researchers. In fact, investors are highly interested in the research area of stock price prediction. However, to improve the accuracy of forecasting a single stock pr…
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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).