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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…
Christos E. Kountzakis
In this article, we provide an order-form of the First and the Second Fundamental Theorem of Asset Pricing both in the one-period market model for a finite and infinite state-space and in the case of multi-period model for a finite state-space and a finite ti…
Hideyuki Takada
In this paper, we present a multi-name incomplete information structural model which possess the contagion mechanism and its efficient Monte Carlo algorithm based on Interacting Particle System. Along with the Credit Grades, which is industrially used single-…
Chi-Fai Lo
In this paper, by means of the Lie-Trotter operator splitting method, we have presented a new unified approach not only to rigorously derive Kirk’s approximation but also to obtain a generalisation for multi-asset spread options in a straightforward manner. T…
John-Peter D. Chateau
To capture the impact of skewness and increase kurtosis on Black’s [1] European put values, we first substitute a Gram-Charlier (GC) distribution and next a Johnson distribution for Black’s Gaussian one. We introduce next each distribution in the option payof…
Gang Wang
We establish that [1] ’s parameters are universally unidentified and a subset of their parameterization is over identified. As a solution to the problem with the identifiability, we propose a new representation of double-regime three-factor GDTSMs whose param…
David J. Moore, George C. Philippatos
We find that momentum portfolio returns are still unexplainable after addressing two major concerns in the “Investment Manifesto” of Lin and Zhang [1]: lack of economic basis in risk factor models and aggregate data measurement error. Our model represents a s…
Helen H. Huang, Shunming Zhang
This paper studies asset pricing in arbitrage-free financial markets in general state space (both for frictionless market and for market with transaction cost). The mathematical formulation is based on a locally convex topological space for weakly arbitrage-f…
Erik Bølviken, Frank Proske, Mark Rubtsov
We study a problem related to asset-liability management in life insurance. As shown by Wüthrich, Bühlmann and Furrer in [1], an insurance company can guarantee solvency by purchasing a Margrabe option enabling it to exchange its asset portfolio for a valuati…
Rafiqul Bhuyan, James Kuhle, Nuriddin Ikromov, Charles Chiemeke
Using mean-variance utility function analysis with various degrees of risk aversion, this research examines the impact of Real Estate Investment Trusts (REITs) in creating optimal portfolios. It also examines and develops a sensitivity analysis for differenti…
Asma Graja Elabed, Afif Masmoudi
In this paper, a general Non - Gaussian Stochastic Volatility model is proposed instead of the usual Gaussian model largely studied. We consider a new specification of SV model where the innovations of the return process have centered non - Gaussian error dis…
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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).