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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…
G. Shija, M. J. Jacob
This paper analyses the Gerber-Shiu penalty function of a Markov modulated risk model with delayed by-claims and random incomes. It is assumed that each main claim will also generate a by-claim and the occurrence of the by-claim may be delayed depending on as…
Panpan Ren, Jianglun Wu
The purpose of this paper is to study on-line portfolio selection strategies for currency exchange markets and our focus is on the markets with presence of decrements. To this end, we first analyze the main factors arising in the decrements. Then we develop a…
Shunquan Zhu
This paper is based on covariance and expected return, building portfolio risk optimization model. Using Genetic Algorithm and Quadratic Programming, three securities portfolio Optimization model is resolved, and we find that Genetic Algorithm having priority…
Leonid Galtchouk
In this paper, some basic results of stochastic calculus are revised using the following observation: For any semimartingale, the series of jumps at predictable stopping times converges a.s. on any finite time interval, whereas the series of jumps at totally…
Zhigang Liu, Congming Mu, Chunhui Wen, 1 1
This paper extends the standard model of real option by allowing managerial biases originating from the cognition about the economic states in the future to examine the impacts of internal liquid funds on the firm’s investment decisions. The model indicates t…
Yinglin Liu, Ruili Hao, Zuhua Wang
This paper mainly studies the pricing of credit default swap with the loan as the reference asset under the primary-secondary model. In the contract of credit default swap (CDS), we consider that the defaults of the counterparties are correlated with the stoc…
Sindre Duedahl
In this paper, we propose an implementation method for a new concept of stochastic duration which can be used to measure the sensitivity of complex bond portfolios with respect to the fluctuations of the yield surface. Our approach relies on a first order app…
Dilip C. Nath, Jagriti Das
In this paper, we have fitted two heavy tailed distributions viz the Weibull distribution and the Burr XII distribution to a set of Motor insurance claim data. As it is known, the probability of ruin is obtained as a solution to an integro differential equati…
Adeline Peter Mtunya, Philip Ngare, Yaw Nkansah-Gyekye
We study how firms’ management can ensure steady dividend growth and payout to the share-holders in an emerging market. We create the dividend equalization reserve account whereby during high profit some amount of money is kept in order to top up dividends du…
Armin Müller
Pricing derivatives with Monte-Carlo simulations involve standard errors that typically decrease at a rate proportional to where N is the sample size. Several approaches have been discussed to reduce the empirical variance for a given sample size. This articl…
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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).