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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…
Fred Viole, David Nawrocki
Minimizing the classical definition of risk should be a counterintuitive venture as the explanatory nature of historical metrics’ construction challenges their ability to serve a predictive purpose on a non-stationary process. We uncover an ill-conceived bias…
Topilista Nabirye, Philip Ngare, Joseph Mungatu
Financial markets are known to be far from deterministic but stochastic and hence time dependent correlation tends to suit the markets. We price for European Options by using three dimensional assets under stochastic correlation. The pricing equations under c…
Jean René Cupidon, Judex Hyppolite
In this paper, we propose a model of exchange rate target zone based on a specification of the economic fundamentals known as a Geometric Brownian Motion. The rationale behind this specification is that the fundamentals series is not necessarily normally dist…
João Amaro de Matos, Ana Lacerda
This paper studies the impact of dry markets for underlying assets on the optimal stopping time and optimal exercise policy of American derivatives. We consider that the underlying is transacted at all points in time except for a subset of dates, for which th…
Akos Horvath, Peter Medvegyev
Abstract The calculation of the Asian option value has posed a great challenge to financial mathematicians as well as practitioners for the last two decades. Since there exists no analytical valuation formula to date, one has to resort to other methods to pri…
Chengho Hsieh, Tibor Szarvas
We define debt ratio as the market value of a firm’s debt divided by the market value of the firm. In a perfect market with corporate taxes, given that the cost of debt is increasing and concave up and that the firm rebalances its debt, the cost of equity is…
Zheng Zhao, Yue Lan, Xiaoyu Wu
Due to the birth of the age of Big Data and the development of Internet finance, electronic banking has been booming. With the application of descriptive statistics, KMV model, panel data regression and robustness testing, this paper examines the validity of…
Hongduo Cao, Ying Li, Huaping He, Zhi He
Taking the power-law behavior of human activities into consideration, we conduct an empirical study on the distribution of jump intervals after using BNS nonparametric method to detect jumps in 5 min closing data of HIS. Our result shows that there is a “powe…
John-Peter D. Chateau
This research makes two contributions: 1) use a term structure framework to price analytically the put option implicit in borrowers’ extendible credit commitments and 2) use the latter to compute in a ratings-based model the capital charge corresponding to th…
Joseph Atta-Mensah
Unlike the current measures in the literature, where corruption is constructed as an index, this paper provides a formula for quantifying corruption. By using option pricing techniques, the paper shows that the monetary value of a corrupt activity is equivale…
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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).