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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…
Stefanos Drakos
In the modern financial market the derivative pricing considers the use of historical or implied volatility which is actually the forward expectation of uncertainty. The common way of derivative pricing is to use the volatility as constant value in the well k…
Bodo Herzog, 1 1, 1 1
The paper studies liquidity management in the banking sector at the zero lower bound implemented by central banks. The new era of monetary policy with interest rates at zero and quantitative easing programs raise questions about the effectiveness of central b…
Christos E. Kountzakis, Maria P. Koutsouraki
This paper is devoted to the connection between the probability distributions which produce solutions of the one-dimensional, time-independent Schr?dinger Equation and the Risk Measures’ Theory. We deduce that the Pareto, the Generalized Pareto Distributions…
Peter C. L. Lin, 1 1
Alternative alpha represents risk-adjust absolute return of an alternative investing instrument regressed on alternative risk factors. Over the years, the definition is extended to the absolute return generated from alternative asset speculation-long-only or…
Johan Fellman
In earlier papers, classes of transfer policies have been studied and maximal and minimal Lorenz curves obtained. In addition, there are policies belonging to the class with given Gini indices or passing through given points in the plane. In general, a transf…
Hela Maalej, Jean-Luc Prigent
This paper compares the performance of the two main portfolio insurance strategies, namely the Option-Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). For this purpose, we use the stochastic dominance approach. We provi…
Xingguo Zhang
The article discussed the feasibility from the idiosyncratic risk point of view that CEO enhances the stability of its position by income smoothing. Taking the data of A-share companies listed in Shanghai Stock Exchange and Shenzhen Stock Exchange between 200…
Waly Ngom, 1 1
We study the default risk in incomplete information. That means we model the value of a firm by a Lévy process which is the sum of a Brownian motion with drift and a compound Poisson process. This Lévy process cannot be completely observed, and another proces…
Olga Kosta, Natalia Stepanova
This paper presents a nonparametric method for computing the Value at Risk (VaR) based on efficient density estimators with Fejér-type kernel functions and empirical bandwidths obtained from Fourier analysis techniques. The kernel-type estimator with a Fejér-…
Matthew Ginley, David W. Scott, Katherine E. Ensor
Leveraged Exchange Traded Funds (LETFs) are constructed to provide the indicated leverage multiple of the daily total return on an underlying index. LETFs may perform as expected on a daily basis; however, fund issuers state that there is no guarantee of achi…
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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).