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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…
Mark Burgin, Gunter Meissner, 1 1, 1 1
Extended correlations, i . e . correlations that can take values less than − 1 and/or larger than 1, occur naturally in mathematical models of financial processes. Extended correlations also occur in financial practice, especially in dispersion trading,…
Stefanos Drakos
A methodology to create statistical arbitrage in stock Index S&P500 is presented. A synthetic asset based on the cointegration relationship of the stocks with Index was constructed. In order to capture the dynamic of the market time adaptive algorithms have b…
Xiaowei Wu
This paper studied the macroeconomic and the term structure of treasury bonds in the Shanghai Stock Exchange Market. Different from previous studies, we used a group of 122 observed macroeconomic data to construct our model’s macro factor. Therefore the macro…
Juan He, Jian Wang, Xianglin Jiang
Due to the illiquidity of inventories pledged, the essential of price risk management of supply chain finance is to long-term price risk measure. Long memory in volatility, which attests a slower than exponential decay in the autocorrelation function of stand…
Nargess Hosseinioun
In financial field, outliers represent volatility of stock market, which plays an important role in management, portfolio selection and derivative pricing. Therefore, forecasting outliers of stock market is of the great importance in theory and application. I…
Fred Viole, David Nawrocki
The equivalence between partial moments and stochastic dominance dates back to Bawa [1] and Fishburn [2]. We present a test for first, second, and third degree stochastic dominance between two variables using Lower Partial Moments. The results uphold Hadar an…
Adejumo Wahab Adewuyi
Volatility is an important parameter for financial risk management and it is applied in many issues such as option pricing, portfolio optimization, VaR methodology and hedging; thus the forecasting of volatility or variance can be regarded as a problem of fin…
Victor Gumbo, Simiso Siziba
Following the recent financial crises, there has been a proliferation of new risk management and portfolio construction approaches. These approaches all endeavour to better quantify and manage risk by accounting for the stylised facts of financial time series…
Halil Erturk Esen
Multivariate stochastic volatility (MSV) models are nonlinear state space models that require either linear approximations or computationally demanding methods for handling the high dimensional integrals arising in the estimation problems of the latent volati…
Tianquan Yun
This paper studies the practicable of hydrogen as a renewable energy source. The study proves a theorem on indirect energy conversion, suggests a monetary unit measured by unit energy, in which, comparing values of different industrial products and comparing…
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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).