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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…
Anatoliy Swishchuk, Kaijie Cui
We applied two daily average temperature models to Canadian cities data and derived their derivative pricing applica tions. The first model is characterized by mean-reverting Ornstein-Uhlenbeck process driven by general Lévy process with seasonal mean and vol…
Stéphane Goutte
We consider general regime switching stochastic volatility models where both the asset and the volatility dynamics depend on the values of a Markov jump process. Due to the stochastic volatility and the Markov regime switching, this financial market is thus i…
Max-Olivier Hongler
Given an asset with value S t , we revisit the Black and Scholes dynamics when the driving noise ξ t is a non-Gaussian super-diffusive stochastic process with variance of the type . This super-diffusive quadratic variance behavior, synthesizes a ballistic com…
Annamaria Barbagallo, Patrizia Daniele, Mariagrazia Lorino, Antonino Maugeri, Cristina Mirabella
This paper is the sequel of the previous papers [1] and [2]. More precisely, we study the regularity of the solutions of the evolutionary variational inequality governing the general financial evolutionary problem. Specifically we obtain that such a solution…
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
A multiscale SABR model that describes the dynamics of forward prices/rates is presented. New closed form formulae for the transition probability density functions of the normal and lognormal SABR and multiscale SABR models and for the prices of the correspon…
Paul Carlisle Kettler, Aleh L. Yablonski, Frank Proske
The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price pro…
Victor Gumbo
It is possible to construct an arbitrage-free interest rate model in which the LIBOR rates follow a log-normal process leading to Black-type pricing formulae for caps and floors. The key to their approach is to start directly with modeling observed market rat…
Qing Zhou, Chao Li
In this paper, we present the fundamental framework of the evaluation problem under which the evaluation operator satisfying some axioms is linear. Based on the dynamic linear evaluation mechanism of contingent claims, studying this evaluation rule in the mar…
Marcos Escobar, Hamidreza Arian, Luis Seco
In this paper we study a multivariate extension of a structural credit risk model, the CreditGrades model, under the assumption of stochastic volatility and correlation between the assets of the companies. The covariance of the assets follows two popular mode…
Sure Mataramvura
The exchange option was introduced by Margrabe in [1] and its price was explicitly computed therein, albeit with some small variations to the models considered here. After that important introduction of an option to exchange one commodity for another, a lot m…
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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.
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At least two independent reviewers evaluate the manuscript under single-blind review. Where revisions are required, authors respond point by point.
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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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