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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…
Ban Zheng, Eric Moulines, Frédéric Abergel
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that the liquidity balance o…
Sallieu Kabay Samura, Junjun Mao, Dengbao Yao
In this paper, we prove the celebrated Bichteler-Dellaccherie Theorem which states that the class of stochastic processes X allowing for a useful integration theory consists precisely of those processes which can be written in the form X = X 0 + M + A , where…
Takanobu Mizuta, Kiyoshi Izumi, Isao Yagi, Shinobu Yoshimura
We built an artificial market model and compared effects of price variation limits, short selling regulations and up-tick rules. In the case without the regulations, the price fell to below a fundamental value when an economic crush occurred. On the other han…
Romar Correa
We separate the “ rentier ” portion of the budget constraint of the representative agent from the “ income-plus-distributed profits ” segment. The former’s wealth consists exclusively of returns on government bonds, the latter’s wealth is wage income from wor…
Alfons Balmann, Karin Kataria, Oliver Musshoff
This paper shows how agent-based stochastic approaches can provide a complementary and more flexible approach to study investment incentives and price dynamics in a real options framework. We particularly study the case of two- stage production chains in whic…
John Knight, Stephen Satchell, Jessica Qi Zhang
We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased or decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect…
Hiroaki Hata, Jun Sekine
The risk-sensitive asset management problem with a finite horizon is studied under a financial market model having a Wishart autoregressive stochastic factor, which is positive-definite symmetric matrix-valued. This financial market model has the following in…
Elie Ngongang
Investment is an important instrument of growth and competitiveness for non financial firms. However, these firms have limited financial resources (or liquidity) at their disposal. The financial constraint is defined as a conditionality to be met in order to…
Christopher Adcock
This paper considers efficient set mathematics for the case where the covariance matrix of asset returns is assumed known but ex ante the vector of expected returns is replaced by an estimated or forecast value. It is shown that the ex post mean and variance…
George Tzagkarakis, Juliana Caicedo-Llano, Thomas Dionysopoulos
In this paper, a long-short beta neutral portfolio strategy is proposed based on earnings yields forecasts, where positions are modified by accounting for time-varying risk budgeting by employing an appropriate integration measure. In con trast to previous wo…
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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).