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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…
Petter N. Kolm
We investigate the impact of delegated portfolio management on asset prices in a noisy rational equilibrium model. Asset prices in our model are linear in fund managers’ private signals and in realized supply shocks. We show that equilibrium expected returns…
Kawee Numpacharoen, Nattachai Numpacharoen
The purpose of this research is to derive a new algorithm for obtaining a realistic implied correlation matrix. One contemporary method has a limited scope from its simplified assumption of equicorrelation matrix. However, the result of this limitation is not…
Keiichi Kubota, Susumu Saito, Hitoshi Takehara
This paper addresses the question of how taxation affects the cost of capital of firms and value of firms as measured by Tobin’s q . We construct a Real Business Cycle model and derive our original unlevered q on an after-tax basis, by re moving financial tax…
J. H. Witte, D. Ples, J. Corominas
To achieve maximum returns consistent with an investor’s appetite for risk, the correct identification and estimation of all relevant risk factors in a portfolio are necessary. In this paper, we identify the role of foreign currency as an impor tant risk fact…
Joseph P. Ogden, Shanhong Wu
This paper develops separate trade-off models for the valuation and financing of non-growth firms (cash cows) and growth firms that incorporate tax benefits, bankruptcy costs, and relevant agency costs. Cash cows generally have rela tively high leverage, thou…
Masashi Ieda, Takashi Yamashita, Yumiharu Nakano
We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tra…
Zengjing Chen, Kun He, Reg Kulperger
Coherent and convex risk measures, Choquet expectation and Peng ’ s g - expectation are all generalizations of mathe matical expectation. All have been widely used to assess financial riskiness under uncertainty. In this paper , we investi gate differences am…
Sha Sun, Jinqiang Yang, Minghui Li
We propose a tractable model of entrepreneur dynamics where the investment conditions are stochastic. Applying the approach of stochastic control and optimization, we solve the dynamics of the entrepreneur’s optimal investment, con sumption and portfolio allo…
Robert Frontczak
This paper is concerned with the valuation of options in jump diffusion models. The partial integro-differential equation (PIDE) inherent in the pricing problem is solved by using the Mellin integral transform. The solution is a single integral expression ind…
Theodoro Koulis, Alexander Paseka, Aerambamoorthy Thavaneswaran
Optimal as well as recursive parameter estimation for semimartingales had been studied in [1,2]. Recently, there has been a growing interest in modelling volatility of the observed process by nonlinear stochastic processes [3]. In this paper, we study the rec…
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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).