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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…
Sunday Emmanuel Fadugba, Chuma Raphael Nwozo
This paper considers the valuation of European call options via the fast Fourier transform and the improved Mellin transform. The Fourier valuation techniques and Fourier inversion methods for density calculations add a versatile tool to the set of advanced t…
Jane Aduda, Patrick Weke, Philip Ngare, Joseph Mwaniki
Precise recognition of a time series path is important to policy makers, statisticians, economists, traders, hedgers and speculators alike. The correct time series path is also a key ingredient in pricing models. This study uses daily futures prices of crude…
Raj Jagannathan
We consider a risk-neutral stock-price model where the volatility and the return processes are assumed to be dependent. The market is complete and arbitrage-free. Using a linear regression approach, explicit functions of risk-neutral density functions of stoc…
Pascal Stiefenhofer
This paper considers a general equilibrium model with incomplete financial markets where production sets depend on the financial decisions of the firms. In the short run, firms make financial choices in order to build up production capacity. Given production…
Joseph Atta-Mensah
Scientific evidence clearly shows that as a result of greenhouse emissions, the global climate is changing. Poor developing countries are at most risk because they are more dependent on agriculture; more vulnerable to coastal and water resource changes; and h…
J. T. Eghwerido, E. Ekuma-Okereke, E. Ekuma-Okereke, E. Efe-Eyefia, Edwin Iguodala, T. O. Obilade
In this paper, we considered the different strategies that generate the optimal wealth on investment. The strategy examine depends on the utility function an investor is willing to adopt, say H* at time N in every 2n possible states; in an N period setting. N…
Bangling Li, Shixia Ma
In this paper, we consider the Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin, in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. We derive sy…
Wenjing Gu, Yinglin Liu, Ruili Hao
This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but the…
George M. Mukupa, Elias R. Offen, Douglas Kunda, Edward M. Lungu
In this paper, we compare equilibrium equity premium under discrete distributions of jump amplitudes. In particular, we consider the binomial and gamma distributions because of their applicability in finance. For the binomial, we assume that the price movemen…
Jagriti Das, Dilip C. Nath
In this paper, we have used an algorithm to fit the Burr XII distribution to a set of insurance data. As it is well known, the probability of ultimate ruin is obtained as a solution to an integro-differential equation and in case, the claim severity is distri…
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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).