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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…
Yong Li, Fang-Ping Peng, Hao-Feng Xu
In empirical finance, it is well-known that the volatility of asset returns is highly persistent. The persistence of the volatility process may be checked by testing for a unit root on stochastic volatility models. In this paper, a Bayesian test statistic bas…
S. Lakshmivarahan, Shengguang Qian, Duane Stock
The time evolution of the value of a firm is commonly modeled by a linear, scalar stochastic differential equation (SDE) of the type where the coefficient in the drift term denotes the (exogenous) stochastic short term interest rate and is the given volatilit…
Murad Shibli
This paper presents a new dynamic approach to control and stabilize the global financial derivatives. Since 2007 the Global Financial Economy has been experiencing what is said to be the worst financial crisis since the Great Depression in the 1930’s. The Ban…
Chonghui Jiang, Yongkai Ma, Yunbi An
Fund managers usually set aside a certain amount of cash to pay for possible redemptions, and it is believed that this will affect overall fund performance. This paper examines the properties of efficient portfolios in the mean-variance framework in the prese…
Moawia Alghalith
In this paper, we relax the assumption of a known time horizon in optimal control models.
Gerald H. L. Cheang, Joseph C. S. Kang, Michael Z. F. Li
In their paper, “On the Cross-sectional Relation between Expected Returns and Betas”, Roll and Ross (1994) demonstrated that the expected returns and betas can have zero relationship even when the underlying market portfolio proxies are nearby the efficient f…
Andrew M. K. Cheung, Van Son Lai
A partial equilibrium model is developed to examine conditions supporting the representation of the value of a firm by the lognormal diffusion process. The model formalizes the operating side of the firm and leads to a formula valuing the firm’s risky profit…
Malay Bhattacharyya, Siddarth Madhav R
The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) approach models the inherent…
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
In this paper we use filtering and maximum likelihood methods to solve a calibration problem for a stochastic dynamical system used to model spiky asset prices. The data used in the calibration problem are the observations at discrete times of the asset price…
Chi Fung Ling, Simon Gar Man Koo
A great deal of academic research provides solid evidence that value investing generated better returns than growth investing from the early 1970s to the mid-1990s. However, the relatively poor performance of value stocks in the late 1990s generated suspicion…
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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).