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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…
Ramesh Bollapragada, Igor Savin, Laoucine Kerbache
ETFs are baskets of securities designed to track the performance of an index. They are designed to provide exposure to broad-based indexes at a lower cost. We first analyzed why ETF should be the choice for an investment. We provide a brief history of this se…
Gabriel Penagos, Gonzalo Rubio
Given the striking effects of the recent financial turmoil, and the importance of value and growth portfolios for both local and international portfolio allocation, we investigate the effects of systemic jumps on the optimal portfolio in vestment strategies a…
Ludwig B. Chincarini, Daehwan Kim
The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio manage ment. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio man agement have neglected the…
John Simister, Richard Whittle
Ethical investments are a now a considerable sector in the investment market, with the Financial Times running the headline “Green and ethical investment comes of age” (Shepherd, [1]). Claudia Quiroz (lead fund manager for Cheviot Climate Assets Fund) predict…
Jinwu Huang
The effects of future output price uncertainty and wage uncertainty on a firm’s investment decision are examined in this paper, by assuming the competitively risk-neutral firm maximizes the expected value of the sum of discounted cash flows. We find that the…
Charles I. Nkeki
This paper examines optimal portfolios with discounted stochastic cash inflows (SCI). The cash inflows are invested into a market that is characterized by inflation-linked bond, a stock and a cash account. It was assumed that inflation- linked bond, stock and…
Haim Shalit, Doron Greenberg
One of the more efficient methods to hedge portfolios of securities whose put options are not traded is to use stock index options. We use the mean-extended Gini ( MEG ) model to derive the optimal hedge ratios for stock index options. We calculate the MEG ra…
Theodoro Koulis, Aera Thavaneswaran
A class of martingale estimating functions based on the first two moments of the observed process provides a conven ient framework for estimating the parameters of diffusion processes [1]. In the Bayesian set up, combined estimating functions had been studied…
Alessandro Ramponi
In this paper we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged position in a continuous time, regime-switching jump-diffusion market, by using Fourier Transform methods. However, the analysis of this hedging…
Yi-Long Hsiao
A window reset option is a kind of reset options with continuous reset constraints. The issue is very important for ap plying to employee stock options in finance or reservation options on truck-only toll lanes in traffic management. Our contribution of this…
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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).