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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…
David J. Moore, Nuriddin Ikromov
We propose a real option framework to value distressed properties and restructure their loans. Our approach reconciles the interests of borrowers and lenders through a constrained optimization model yielding mutually beneficial restructure terms. Borrowers re…
Vincent Brousseau, Alain Durré
In this paper, we propose a new methodology to estimate the volatility of interest rates in the euro area money market. In particular, our approach aims at avoiding the limitations of market implied volatilities, i.e. the dependency on arbitrary choices in te…
Seungmook Choi, Michael D. Marcozzi
We consider a rating-based model for the term structure of credit risk spreads wherein the credit-worthiness of the issuer is represented as a finite-state continuous time Markov process. This approach entails a progressive drift in credit quality towards def…
Yang Liu, Jinqiang Yang
We investigate the implications of time inconsistent preferences on the entrepreneurial decision making. We use a time varying preference model to capture the optimal liquidation choice and investment allocation for the averse risk agent in the incomplete mar…
Huimin Zhao, Fangping Peng
This paper tests the popular continuous-time interest rate models for Chinese repo market to address what and how the interest rates change with the marketlization in China. Using Bandi [1]’s method, we get the functional nonparametric estimation of drift and…
Ivivi Joseph Mwaniki
This article seeks to model daily asset returns using log-ARCH-Lévy type model which is expected to reproduce most of the stylized features of financial time series data (such as volatility clustering, leptokurtic nature of log returns, joint covariance struc…
Seiya Kuno, Masamitsu Ohnishi
This article shows the execution performance of the risk-averse institutional trader with constant absolute risk aversion (CARA) type utility by using the condition of no price manipulation defined in the risk neutral sense. From two linear price impact model…
Wan-Kai Pang, Yuan-Hua Ni, Xun Li, Ka-Fai Cedric Yiu
This paper studies a continuous-time market under a stochastic environment where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a bond. In the model con…
Cesario Mateus, Worawuth Konsilp
This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period from January 2001 to December 2010, it examines the…
Adeyemi Adewale Sonubi
This research paper is focused on the modelling of credit rating, using reduced form approach, in which intensity is defined endogenously based on the firm’s cashflow. It was modelled with reflected stochastic differential equation; this was adopted to evalua…
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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).