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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…
Joseph Atta-Mensah
The paper examines a potential role of financing Africa’s infrastructure projects, particularly in Africa, with bonds indexed to the project. Using option-pricing techniques, the author shows that an infrastructure indexed bond is equivalent to a regular bond…
Joseph Atta-Mensah
The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regula…
Vincent Brousseau, Alain Durré
In this paper, we assess how to recover the volatility of interest rates in the euro area money market, on the sole basis of the zero-coupon yield curve. Our primary result is that there exists an empirical regularity (linking rates and volatility) that takes…
E. R. Offen, E. M. Lungu
We look at the price of the European call option in a quanto market defined on a filtered probability space when the exchange rate is being modeled by the process where H t is a semimartingale. Precisely we look at an investor in a Sterling market who intends…
Alma P. Bimbabou Maboulou, Hopolang P. Mashele
The purpose of this paper is to derive or determine the Credit Derivative, especially, the Credit Default Swap which is under the hazard rate (or default intensity) distributed as a multi-factor of the Cox, Ingersoll and Ross (CIR, 1985) models. It is crucial…
Sunday Emmanuel Fadugba, Chuma Raphael Nwozo
In this paper we present the Mellin transform method for the valuation of the American power put option with non-dividend and dividend yields, respectively. We use the Mellin transform method to derive the integral representations for the price and the free b…
Hanghang Zhou, Dianli Zhao
Under the native-born model of default and the circular model of default, we take the price of credit derivatives into account. It’s supposed that the short-term market interest rates are based on Vasicek model in this article. Firstly, we calculate the price…
Qiang Zhao, Guiding Gu
The convenience yield of commodities is an important factor influencing futures prices and its accurate measure is a hot issue. Standard option-based measures assume the commodity prices follow a geometric Brownian motion, while some empirical evidence suppor…
Kazuhiro Takino
In this article, we consider the exponential hedging and the mean-variance hedging in the basis-risk model. We construct hedging strategies for multiple units of claim and calculate hedging errors. We then observe how the hedge error risk increases when the i…
Saud AlMahdi
Traditionally, portfolio managers have been discouraged from timing the market, for example, equity managers have been forced to adhere strictly to a benchmark with static or relatively stable components, such as the S&P 500 or the Russell 3000. This means th…
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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).