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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…
Xin Zhang, Huisheng Shu, Xiu Kan, Yingyi Fang, Zhiwei Zheng
In this paper, the call option price is evaluated based on linear investment strategy in order to hedge the risk actively in stock market with stochastic interest rate. The Vasicek model is used to describe the structure of interest rates. The mathematical ch…
Emmanuel Frénod, Pierre Ménard, Mohamad Safa
In the previous papers of Frénod & Ménard & Safa [ 1 ] and Frénod & Safa [ 2 ] we used the continuous-in-time financial model developed by Frénod & Chakkour [ 3 ], which describes working of loan and repayment, in an optimal control theory framework to effect…
Nico Koning, Daniel T. Cassidy, Rachid Ouyed
We have developed an extended model for stock price behaviour that is able to accommodate fat-tailed distributions with support as large as . The “homogeneously saturated” (HS) model avoids exponential price changes for large fluctuations by means of a satura…
Panagiotis G. Papaioannou, George P. Papaioannou, Akylas Stratigakos, Christos Dikaiakos
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity, financial and energy commodity markets. This work reveals the existence of structural changes in correlatio…
Nguyen Quang Chung, 1 1
In this paper, discrete time risk models under an excess of loss reinsurance are studied. Adjustment coefficients of the cedent and the reinsurer are established as functions of quota share level and retention level. By the martingale method, ruin probabiliti…
Josephine M. Masese, Ferdinand Othieno, Carolyn Njenga
Several improvements and alternatives to Mean Variance Optimization (MVO) have been suggested and used since its inception in 1952. The improvements have mostly included addition of constraints to the traditional MVO model, using alternative risk measures and…
Coskun Guler, Volkan Oban
In this study, Inverse Problem for Dupire’s Equation with nonlocal boundary and integral conditions is studied. Then, by means of the some transformation, this equation is converted to diffusion equation. The conditions for the existence and uniqueness of a c…
Patricia Kisbye, Karem Meier
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve can be adjusted to any observed data,…
Nanxi Wang
With improved machine learning models, studies on bankruptcy prediction show improved accuracy. This paper proposes three relatively newly-developed methods for predicting bankruptcy based on real-life data. The result shows among the methods (support vector…
Ryo Ito, Kiyoshi Izumi, Hiroki Sakaji, Shintaro Suda
In this study, we aim to construct a polarity dictionary specialized for the analysis of financial policies. Based on an idea that polarity words are likely located in the secondary proximity in the dependency network, we proposed an automatic dictionary cons…
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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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