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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…
Sven Husmann, Neda Todorova
This paper extends the option betas presented by Cox and Rubinstein (1985) and Branger and Schlag (2007). In par ticular, we show how the beta of the underlying asset affects both an option’s covariance beta and its asset pricing beta. In contrast to Branger…
David Hudgins, Joon Na
This analysis formulates an approach for converting minimax LQ (linear-quadratic) tracking problems into LQ regula tor designs, and develops a Matlab application program to calculate an H-infinity robust control for discrete-time sys tems with perfect state m…
Hideki Iwaki, Lei Luo
In this paper, we mainly discuss an empirical study of option prices under the hybrid Brownian motion model devel oped by [1]. In a specific case of parameters, we have a simple transition probability density function that has a fat tailed feature as time pas…
Srimantoorao S. Appadoo, Aerambamoorthy Thavaneswaran
Recently there has been growing interest in fuzzy option pricing. Carlsson and Fuller [1] were the first to study the fuzzy real options and Thavaneswaran et al. [2] demonstrated the superiority of the fuzzy forecasts and then derived the membership function…
Xianhua Dai, Hong Li, Yiwen Wang
Since many of predictive financial variables are highly persistent and non-stationary, it is challenging econometrically to explore the predictability of asset returns. Predictability issues are generally addressed in parametric regressions [1,2] in which rat…
Hideki Iwaki, Yusuke Osaki
This paper considers an optimal life insurance for a household subject to mortality risk. The household receives wage income continuously, which could be terminated by unexpected premature loss of earning power. In order to hedge the risk of losing income str…
C. Kenneth Jones
The investment portfolio with stochastic returns can be represented as a maximum flow generalized network with sto chastic multipliers. Modern portfolio theory (MPT) [1] provides a myopic short horizon solution to this network by adding a parametric variance…
William J. Hurley
This paper presents models of equity valuation where future dividends are assumed to follow a generalized Bernoulli process consistent with the actual dividend payout behavior of many firms. This uncertain dividend stream induces a probability distribution of…
Alexey M. Avdeenko
The algorithm of trade on the “ heavy tails ” of distributions of financial sequences is considered. Critical conditions and parameters for the implementation of win-win adviser are established. The algorithm subjected to the total testing the Forex market fo…
Michael Taksar, John Liu, Jiguang Yuan
In this paper, we investigate the optimization of mutual proportional reinsurance—a mutual reserve system that is in - tended for the collective reinsurance needs of homogeneous mutual members, such as P&I Clubs in marine mutual in - surance and reserve banks…
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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).