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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…
Yuming Kuang, Tze Leung Lai
This paper develops a novel method to price basket options by using an application-driven approach to estimating the state price density of the basket or the joint state price density of the asset prices in the basket. In this connection, we also discuss the…
Rituparna Sen, Changie Ma
With increasing availability of data, in many situations it is now possible to reasonably estimate the probability density function (pdf) of a random variable. This is far more informative than using a few summary statistics like mean or variance. In this pap…
Kian-Guan Lim, Hao Cheng, Nelson K. L. Yap
The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying asset return by using a quadratic Radon-Nikodym derivative function. The latter function transforms a fitted Variance Gamma risk-neutral…
Natsumi Ochiai, Masamitsu Ohnishi
We propose a valuation for the bond in which an issuer and a holder are simultaneously granted the right to exercise a call and put options. As the term structure model of interest rate, we use the Generalized Ho-Lee model that is an arbitrage-free binomial l…
Meimei Liang
How idiosyncratic risks are priced in capital asset is always concerned in the financial sector. This paper theoretically analyzes the impact of idiosyncratic volatility on the expected return from the perspective of stock price’s information content, and use…
Lyuxun Yang, Xi Cheng
The time series of share prices is a highly noised, non-stationary chaotic system which possesses both linear and non-linear characteristics. The alternative of either linear or non-linear prediction models is of its inherent limitation. The paper establishes…
Lucy Muthoni, Silas Onyango, Omolo Ongati
There is no agreed-upon method used to construct yield curves at the Nairobi Securities Exchange. The existing practice is that each financial company uses in-house methods to construct the yield curves for their pricing and decision making. The most common y…
Lucy Muthoni
We seek to determine which yield curve construction method produces the best zero coupon yield curve (ZCYC) for Nairobi Securities Exchange (NSE). The ZCYC should be differentiable at all points and at the same time, should produce a continuous and positive f…
Ning Cao, Shanmin Li, Yong Li
This paper analyzes how inside trading affects managers’ decision-making and also examines the effect of the social relations on managers. Through model analysis, the paper shows that inside trading does affect managers’ behavior. Inside trading lowers the ma…
Ivan G. Ivanov, Ivelin G. Ivanov
We consider a set of continuous algebraic Riccati equations with indefinite quadratic parts that arise in H￥ control problems. It is well known that the approach for solving such type of equations is proposed in the literature. Two matrix sequences are constr…
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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).