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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…
Peter C. L. Lin, 1 1
The mainstream research in interest-rate modeling has been focusing on a collection of risk tools and pricing formulas which are developed based on the simplified market assumptions and hypotheses. Despite the elegance of the structure, it is noticed that a c…
Truc Le
We review the nature of some well-known phenomena such as volatility smiles, convexity adjustments and parallel derivative markets. We propose that the market is incomplete and postulate the existence of intrinsic risks in every contingent claim as a basis fo…
Yonggang Zhu
The general situation of the Black-Scholes Option Pricing Model was discussed under the assumption of the arbitrage-free market, and the pricing of Asian geometric average options with fixed strike price was analyzed at any valid time. Consequently, the price…
Denis Surzhko
The intention of this paper is to propose extension to the Pluto and Tasche PD calibration model for low default portfolios that could produce more stable LRDF estimates and eliminate the necessity of quartile choice, while preserving adequate level of conser…
Ji Zhou, Alex Paseka
In this paper we derive a pricing kernel for continuous-time long-run risks economy with the Epstein-Zin utility function, non-i.i.d. consumption growth, and incomplete information about fundamentals. In equilibrium, agents learn about latent conditional mean…
Anatoliy Swishchuk, Maksym Tertychnyi, Winsor Hoang
We derive results similar to Bo et al . (2010), but in the case of dynamics of the FX rate driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the…
Olivier Guéant
When executing their orders, different strategies are proposed to investors by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol)—for percentage of volume, IS—Implement…
Christos E. Kountzakis
The main result of this paper is the construction of a strictly positive extension of any no-arbitrage price system defined on an incomplete market of any dimension and for any (finite) number of states of the world. This is proved by using the component func…
Seifedine Kadry, Abdelkhalak El Hami
In this paper, the closed form solution of the non-homogeneous linear first-order difference equation is given. The studied equation is in the form: x n = x 0 + b n , where the initial value x 0 and b , are random variables.
Enahoro Alfred Owoloko, Nicholas Amienwan Omoregbe, Michael Akindele Okedoye
In this paper, the model formulated incorporated stochastic variables such as bank loans and deposits as well as some deterministic variables: cash available, depreciation, capital expenditure, tax and costs, comprising variable costs and fixed costs. This pa…
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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.
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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.
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