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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…
Christos E. Kountzakis
In this paper, we present stochastic differential equations related to the cost variables of the shipping market. These SDEs arise under the addition of stochastic terms on the deterministic differential equations concerning the same variables. The financial…
Ata Assaf
In this paper, we estimate two stochastic volatility models applied to international equity markets. The two models are the log-normal stochastic volatility (SV) model and the two-regime switching model. Then based on the one-day-ahead forecasted volatility f…
Ying Li, Tengfei Jiang
This study adopts two nonparametric methods, the activity signature function (ASF) and ratio analysis of cojumps, to test jumps in China’s stock market. Jumps in the stock price, stock-index futures, and volatility of China Securities Index (CSI) 300 index ar…
Zhigang Tong, Allen Liu
In this paper, we introduce the stochastic correlation processes for modeling the credit spread. We first model the components of spread process as correlated Ornstein-Uhlenbeck processes and correlation as Jacobi process. Using the properties of Jacobi proce…
Haoxuan Zhong
Company’s risk-taking behavior has a significant impact on corporate earnings’ growth and the social economic development, and different ownership structure will affect the company’s risk preference. In this paper, with the 25 Chinese listed banks, the empiri…
Ming Guo, Hui Ou-Yang
This paper develops a rational equilibrium model of strategic trading under symmetric information in which there is a liquidity provider and a strategic trader. The strategic trader considers the impact of his trades, the liquidity provider sets the stock pri…
Emmanuel S. Akpan, Gamaliel O. Eweke
This paper aimed at examining the impact of Foreign Direct Investment (FDI) and Industrial Sector Performance on economic growth in Nigeria. This study utilized annual time series data for the period 1981-2015 using elaborate econometric analysis which tests…
Chaido Dritsaki
In this paper, we use daily stock returns from the Stockholm Stock Exchange in order to examine their volatility. For this reason, we estimate not only GARCH (1,1) symmetric model but also asymmetric models EGARCH (1,1) and GJR-GARCH (1,1) with different resi…
Mitun Kumar Mondal, Md. Abdul Alim, Md. Faizur Rahman, Md. Haider Ali Biswas
The Heston model is one of the most popular stochastic volatility models for option pricing to measure the volatility of different parameters in the financial market. In this work, we study the statistical analysis of Heston Model by partial differential equa…
Adeline Peter Mtunya, Philip Ngare, Yaw Nkansah-Gyekye
We study how firms’ management can make effective investment decision under the influence of random interest rates. We define the threshold interest rate value below which investment can be effectively done and above which investment is not optimal. We use a…
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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.
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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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