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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…
Leonard Tchuindjo
Motivated by statistical tests on historical data that confirm the normal distribution assumption on the spreads between major constant maturity swap (CMS) indexes, we propose an easy-to-implement two-factor model for valuing CMS spread link instruments, in w…
Yuan Yao
This paper establishes a dynamic portfolio insurance model under the condition of continuous time, based on Meton's optimal investment-consumption model, which combined the method of replicating dynamic synthetic put option using risk-free and risk assets. An…
Masao Nakagawa
This paper examines optimal consumption/portfolio choices under stochastic habit formation in which it is uncertain how deep consumers would become in the habit of consuming in future. By extending Shroder and Skiadas [1] to stochastic habit formation, the op…
Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana
Recently there has been a surge of interest in higher order moment properties of time varying volatility models. Various GARCH-type models have been developed and successfully applied in empirical finance. Moment properties are important because the existence…
Alex Paseka, Theodoro Koulis, Aerambamoorthy Thavaneswaran
In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CM…
Charles I. Nkeki, Chukwuma R. Nwozo
This paper examines the variational form of classical portfolio strategy and expected terminal wealth for a Pension Plan Member (PPM) in a Defined Contribution (DC) Pension scheme. The flows of contributions made by PPM are invested into a market that is char…
Nop Sopipan, Pairote Sattayatham, Bhusana Premanode
In this paper, we forecast the volatility of gold prices using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out w…
Stafford Johnson, Amit Sen, Brian Balyeat
In this paper, we extend the Johnson, Pawlukiwicz, and Mehta [1] skewness-adjusted binomial model to the pricing of futures options and examine in some detail the asymptotic properties of the skewness model as it applies to futures and spot options. The resul…
Komlan Sedzro, Arif Marouane, Tov Assogbavi
Asset allocation in portfolio construction must simultaneously consider market conditions and investors’ specific preferences. Therefore, it is a multi-criteria decision that goes beyond the scope of the two-criteria, mean and variance of the portfolio return…
Francesco Blasi, Sergio Scarlatti
In this paper we study stochastic dominance rules of first and second order for univariate skew-normal random variables, the analysis being relevant in connection with the problem of portfolio choice in stock markets showing departure from the classical assum…
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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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