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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…
Wentao Zhou, Liuling Li
In this paper, we extend the 5-factor model in Fama and French (2015) with the non-Normal errors distribution of SSAEPD (Standardized Standard Asymmetric Exponential Power Distribution) in Zhu and Zinde-Walsh (2009) and the GARCH-type volatility. The focus is…
Huihui Shen, 1 1
Economic system mathematical model often contains multiple variance change points about structure model. In the same mean, we combine the Bayesian method with the maximum likelihood method on the detection of the variance multiple change points. With Bayesian…
Dehong Wang, Yue Wu
This paper analyzes the relation between state-owned capital factor and earnings quality through Earnings Response Coefficient (ERC) in Chinese stock markets. Our research finds that the ERC is significantly associated with the role state-owned capital plays…
Onthusitse Baraedi, Elias Offen
This paper discusses optimal portfolio with discounted stochastic cash inflows (SCI). The cash inflows are invested into a market that is characterized by a stock and a cash account. It is assumed that the stock and the cash inflows are stochastic and the sto…
Travis R. A. Sapp
Abundant evidence indicates that financial asset returns are thicker-tailed than a normal distribution would suggest. The most negative outcomes which carry the potential to wreak financial disaster also tend to be the most rare and may fall outside the scope…
Carlo Sala, Giovanni Barone Adesi
This paper proposes a theoretical analysis of the impact of a suboptimal information set on the two main components used in asset pricing, namely the physical and neutral probability measures and the pricing kernel they define. The analysis is carried out by…
Phillip G. Bradford
Consider an ephemeral sale-and-repurchase of a security resulting in the same position before the sale and after the repurchase. A sale-and-repurchase is a wash sale if these transactions result in a loss within ±30 calendar days. Since a portfolio is essenti…
Mauricio Contreras, Alejandro Llanquihuén, Marcelo Villena
In this paper, the multi-asset Black-Scholes model is studied in terms of the importance that the correlation parameter space (equivalent to an N dimensional hypercube) has in the solution of the pricing problem. It is shown that inside of this hypercube ther…
Mauricio Contreras, Rely Pellicer, Daniel Santiagos, Marcelo Villena
An non-equilibrium Black-Scholes model, where the usual constant interest rate r is replaced by a stochastic time dependent rate r ( t ) of the form r ( t )=r+ f ( t ) W ( t ), accounting for market imperfections and prices non-alignment, is developed. The wh…
Amenawo I. Offiong, Hodo B. Riman, Eyoanwan E. Eyo
This study is aimed at determining the optimal portfolio in a three-asset portfolio mix in Nigeria. The research employed majorly two empirical methodologies which were Matrix algebra and Lagrangian method of optimization. Matrix algebra was used to compute t…
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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.
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At least two independent reviewers evaluate the manuscript under single-blind review. Where revisions are required, authors respond point by point.
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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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