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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…
Emilia Di Lorenzo, Albina Orlando, Marilena Sibillo
The paper proposes a new methodological approach for the product performance analysis into the actuarial context. Two indexes are proposed as restyled versions of the corresponding most popular ones: They have been adapted into the actuarial assessment preser…
Liuling Li, Qingyu Zhu, Yang Mu
In this paper, we analyze the sector of Software and Computer Services with a new Carhart four-factor model. The US is the leading world market for this sector and this sector is a source of significant economic opportunity in US. We compare this sector in US…
Seiya Kuno, Masamitsu Ohnishi, Peilu Shimizu
The purpose of this paper is to examine whether the closing price guaranteed execution is possible contract, and if possible, how an institutional investor who affects the security price allocates execution volumes to both traditional trading and off-exchange…
Emmanuel S. Akpan, Eleazar C. Nwosu, Gamaliel O. Eweke
This study examined the causality between non-oil export, financial sector development and economic growth in Nigeria. The study employed credit to private sector, total bank deposit, prime lending rate, market capitalization, money market instruments as prox…
Mabelle Sayah, 1 1, 1 1
Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses related…
Aki Ebina, Natsumi Ochiai, Masamitsu Ohnishi, 1 1
A game swaption, newly proposed in this paper, is a game version of usual interest-rate swaptions. It provides the both parties, fixed-rate payer and variable rate payer, with the right that they can choose an exercise time to enter a swap from a set of presp…
Chengru Hu, Chulhee Jun, Maggie Foley
In this study, we develop an option-based model to valuate New Product Development (NPD) projects in which management has the flexibility to abandon the project upon completion if the value of the established product falls below the required investment outlay…
Tommaso Pellegrino
The aims of this paper are twofold. Firstly, we present an approximating formula for pricing basket and multi-asset spread options, which genuinely extends Caldana and Fusai’s (2013) two-asset spread options formula. Secondly, under the lognormal setting, we…
Ronald Katende, Diaraf Seck, Philip Ngare
We study the free boundary problem of the American type of options. We consider a continuous dividend paying put option and provide a much simpler way of approximating the option payoff and value. The essence of this study is to apply geometric techniques to…
Xinrong Cui
With the advance of market-oriented interest rate, the risk of commercial banks in our country is increasing day by day, including credit risk and interest rate risk. This paper mainly discusses the interest rate risk, and the re-pricing risk based on the int…
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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).