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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…
Danmei Chen, 1 1
This paper studies the effects of sudden events on the optimal timing and capacity choice in a duopoly market. According to the characteristics of economic environment, we assume that the product demand follows geometric Brownian motion with a Poisson jump pr…
Masimba E. Sonono, Hopolang P. Mashele, 1 1
Predicting stock price movement is generally accepted to be challenging such that until today it is continuously being attempted. This paper attempts to address the problem of stock price movement using continuous time models. Specifically, the paper provides…
Hafedh Faires
The estimation of claims reserves is usually done by applying techniques called IBNR techniques within a stochastic framework. The main objective of this paper is to predict the partial reserve and to estimate the error rate of prediction distributions by usi…
Lin Xu, Liming Zhang, Dongjin Zhu
In this paper, the optimal investment problem for an agent with dual risk model is studied. The financial market is assumed to be a diffusion process with the coefficients modulated by an external process, which is specified by the solution to a kind of stoch…
Fangping Peng, Kai Zhan, Yujun Lian
This paper examines the Cagan effect in China by using a panel smooth transition approach on the firm-level data. Our results reveal that the demand for money by firms relatively decreases for the high inflation period, because the firm anticipates further pr…
Gang Wang, 1 1
This paper analyzes a simple discrete-time affine multifactor model of the term structure of interest rates in which the pricing factors that follow a Gaussian first-order vector autoregression are observable and there are no possibilities for risk-free arbit…
Olaronke Helen Edogbanya, Sunday Emmanuel Fadugba
This paper presents the study of reduced-form approach and hybrid model for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return of investm…
Marina Resta, Maria Erminia Marina
This paper fits into the research stream started by Aumann and Serrano (2008) with their index R AS , and introduces a new index of riskiness called I θ . In particular, our intuition moves from the observation that the R AS index is defined over the set of g…
Atsushi Iizuka, Yumiharu Nakano
We investigate the asymptotics of the historical value-at-risk under capacities defined by sublinear expectations. By generalizing Glivenko-Cantelli lemma, we show that the historical value-at-risk eventually lies between the upper and lower value-at-risks qu…
Chuma Raphael Nwozo, Sunday Emmanuel Fadugba
This paper presents two transform methods for pricing contingent claims namely the fast Fourier transform method and the fast Hilbert transform method. The fast Fourier transform method utilizes the characteristic function of the underlying instrument’s price…
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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).