ArticlesArchiveAboutEditorial BoardAuthor Guidelines
Call for papersThe 2026 special issue on Climate & Health is open for submissions.Learn more
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…
Samuel Y. M. Ze-To
This paper examines the predictability of implied required rate of return (R OI ) of individual stock in the cross-section of stock returns. The required rate of return of each stock is implied using its corresponding stock options and used in estimating the…
Yujie Cui, Baoli Yu
As the Stock index futures with Cri 300 index for the subject matter launch, the research to stock options done by China’s financial market is gradually in-depth, which has great significance to the improvement of the financial markets. With the Black-Scholes…
Jau-Lian Jeng, Qingfeng Wilson Liu
This paper employs a new approach to analyze potentially omitted non-diversifiable factors in the idiosyncratic risks from multi-factor asset pricing models. It is shown that if there is an omitted non-diversifiable hidden factor, the idiosyncratic risks will…
Hong-Ming Yin
In this paper we study global properties of the optimal excising boundary for the American option-pricing model. It is shown that a global comparison principle with respect to time-dependent volatility holds. Moreover, we proved a global regularity for the fr…
Xin Zhang
This paper examines why credit constraints for domestic and exporting firms arise in a setting where banks do not observe firms’ productivities. To maintain incentive-compatibility, banks lend below the amount needed for first-best production. The longer time…
Samuel Y. M. Ze-To
This study develops a new conditional extreme value theory-based model (EVT) combined with the NIG + Jump model to forecast extreme risks. This paper utilizes the NIG + Jump model to asymmetrically feedback the past realization of jump innovation to the futur…
Avner Wolf, Christopher Hessel
This paper presents a new option that can be used by agents for managing foreign exchange risk. Unlike the Garman Kolhagen model [1], (GK), this paper presents a new model with a preset exchange rate (PE), that allows the agent to take advantage of the his/he…
Lan Ma Nygren, Peter Lakner
Under the constraint that the initial capital is not enough for a perfect hedge, the problem of deriving an optimal partial hedging portfolio so as to minimize the shortfall risk is worked out by solving two connected subproblems sequentially. One subproblem…
Moawia Alghalith
Using the portfolio model, we introduce a general stochastic process that is not necessarily a diffusion/jump process and the random variable is not necessarily normally distributed.
Farshid Mehrdoust, Kianoush Fathi Vajargah
In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo algorithm with variance reduction procedures. We evaluate Asian-style and European-style options pricing based on Black-Scholes model. Finally, some numerical…
No articles in this issue.
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).