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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…
Paul C. Kettler, Olivier Menoukeu-Pamen, Frank Proske
In this paper, we derive the evolution of a stock price from the dynamics of the “best bid” and “best ask”. Under the assumption that the bid and ask prices are described by semimartingales, we study the completeness and the possibility for arbitrage on such…
Beshiru Sanusi, Prince Famous Izedonmi
This study is an empirical investigation on the opinions of experienced staff of commercial banks on creative accounting practices in Nigerian commercial banks. To achieve the objective of this study research questions were raised, hypotheses formulated, and…
Miwaka Yamashita
This paper describes optimal investment strategies for kinked utility functions. One example is a CRRA utility function with a kink at a maximum wealth, which leads a covered call “ like ” strategy and the other is a CRRA utility function with a kink at a min…
Atsuo Suzuki, Katsushige Sawaki
In this paper , we deal with the valuation of Game Russian option with jumps, which is a contract that the seller and the buyer have both the rights to cancel and to exercise it at any time, respectively. This model can be formulated as a coupled optimal stop…
B. F. Nteumagné, E. Pindza, E. Maré
The aim of this paper is to show how options with transaction costs under fractional, mixed Brownian-fractional, and subdiffusive fractional Black-Scholes models can be efficiently computed by using the barycentric Jacobi spectral method. The reliability of t…
Mehdi Bekralas Abdessalem, Masamitsu Ohnishi
The multiplication of disasters during the last two decades beside the urbanism expansion has made catastrophe claims grow dramatically. Against a priced reinsurance, catastrophe derivative products became ever more attractive to i nsurance companies. A robus…
Ruili Hao, Yonghui Liu, Shoubai Wang
This paper discusses the pricing problem of credit default swap in the fractional Brownian motion environment. As credit default swap is exposed to both the interest rate risk and the default risk, we assume that the default intensity of a firm depends on the…
Zhijuan Mao, Zhian Liang
Modern option pricing techniques are often considered among the most mathematical complex of all applied areas of financial mathematics. In particular, the fractional Brownian motion is proper to model the stock dy namics for its long-range dependence. In thi…
Fredrick Mayanja, Sure Mataramvura, Wilson Mahera Charles
In this paper , we present the problem of portfolio optimization under investment . This area of investment is traced with works of Professor Markowitz way back in 1952. First, we determine the probability distribution of the Uganda Securities Exchange (USE)…
Joshua O. Okoro, Charles I. Nkeki
This paper examines optimal variational Merton portfolios (OVMP) with inflation protection strategy for a defined contribution (DC) Pension scheme. The mean and variance of the expected value of wealth for a pension plan member ( PPM ) are also considered in…
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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).