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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…
Masimba E. Sonono, Hopolang P. Mashele
The paper looks at the quantification of risks of trading strategies in incomplete markets. We realized that the no-arb i trage price intervals are unacceptably large. From a risk management point of view, we are concerned with finding prices that are accepta…
Xinbing Kong, Bingyi Jing, Cuixia Li
It? ’ s semimartingale driven by a Brownian motion is typically used in modeling the asset prices, interest rates and exchange rates, and so on. However, the assumption of Brownian motion as a driving force of the underlying asset price processes is rarely co…
Jonathan Cook
This paper describes strategic behavior in a nonequilibrium model of asset pricing with heterogeneous sophistication. Both risk and return are increasing in the na?veté of investors in the market. Optimal investment involves in considering the effect that na?…
Pascal Heider, Peter N. Posch
Most models for forecasting a company’s value either use only information from single markets or compress informa tion from other markets. We propose a model using a company’s full capital structure including the term structure and type of outstanding debt to…
Christopher Henderson, Julapa Jagtiani
The recent mortgage crisis has resulted in several bank failures. Under the current Basel I capital framework, banks are not required to hold a sufficient amount of capital to support the risk associated with their mortgage activities. The new Basel II capita…
Cesario Mateus, Paulo Terra
The aim of this paper is to analyse for a multi-country large emerging market sample the choice between debt and eq uity simultaneously with the decision between short- and long-term debt s . In order to investigate the joint decision among leverage and matur…
Jingzhen Liu, Ka Fai Cedric Yiu, Ryan C. Loxton, Kok Lay Teo
In this paper, we investigate the problem of maximizing the expected exponential utility for an insurer. In the problem setting, the insurer can invest his/her wealth into the market and he/ she can also purchase the proportional reinsurance. To control the r…
Qiang Zhao, Guo Liu, Guiding Gu
In this paper we discuss the importance sampling Monte Carlo methods for pricing options. The classical importance sampling method is used to eliminate the variance caused by the linear part of the logarithmic function of payoff. The variance caused by the qu…
Sure Mataramvura
In this paper, we revisit pricing contingent claims in incomplete markets. While a lot ha ve been done on pricing in incomplete markets, there is still a gap on the categorization of the payoffs. Some contingent claims are attainable while others will not be…
Andrew P. Leung, Wen Shi
We investigate an optimal portfolio allocation problem between a risky and a risk-free asset, as in [ 1 ]. They obtained explicit conditions for path-independence and optimality of allocation strategies when the price of the risky asset follows a geometric Br…
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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.
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