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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…
Chunxiang A, Yi Shao
This paper considers a portfolio optimization problem with delay. The finance market is consisted of one risk-free asset and one risk asset which price process is modeled by Cox-Ingersoll-Ross stochastic volatility model. In addition, considering the history…
Yaqin Feng
Counterparty credit risk has received increasing attention and become a topical issue since 2007 credit crisis, particularly for its impact on the valuation of the OTC derivatives. Credit Value Adjustment (CVA) has become an import field and it is required in…
Pascal Stiefenhofer
This paper considers a general equilibrium model with production and uncertainty. It is postulated that the firm finances its production capacity through the stock market and that its operational costs are covered through revenues. It is assumed that firms ha…
Robert Frontczak, Michael Jaeger, Bernd Schumacher
Measuring model performance of rating systems is a major task for banks. The concept of discrimination, i.e. the discriminative power, is used in credit risk modeling to assess the quality of a risk model concerning the separation of extreme events. For PD mo…
Perpetual Saah Andam, Joseph Ackora-Prah, Sure Mataramvura
Investors find it difficult to determine the movement of prices of stock due to volatility. Empirical evidence has shown that volatility is stochastic which contradicts the Black-Scholes framework of assuming it to be constant. In this paper, stochastic volat…
Joseph Justin Rebello, K. K. Thampi
In the renewal risk theory, the study of two sided jumps has been attracted by many researchers since its introduction. After the development of the distribution of modified inter time claim occurrence, the explicit expressions for ruin theory components in t…
Yoshifumi Muroi, Shintaro Suda
This paper proposes a new efficient algorithm for the computation of Greeks for options using the binomial tree. We also show that Greeks for European options introduced in this article are asymptotically equivalent to the discrete version of Malliavin Greeks…
Frédéric Abergel, Rémy Tachet des Combes, Riadh Zaatour
Consistently fitting vanilla option surface is an important issue in derivative modelling. In this paper, we consider three different models: local and stochastic volatility, local correlation, hybrid local volatility with stochastic rates, and address their…
Casey B. Mulligan
The aggregate neoclassical growth model with only one impulse—means-tested subsidies whose replacement rates began rising at the end of 2007—produces time series for aggregate labor usage, consumption, investment, and real GDP that closely resemble actual US…
S. O. Olawumi, L. A. Lateef, E. O. Oladeji
This paper titled, “Financial Deepening and Performance of Selected Commercial Banks in Nigeria” examined the extent to which financial deepening has affected the performance of selected Nigerian commercial banks in terms of profitability. The study empirical…
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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).