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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…
Theodoros Mavralexakis, Konstantinos Kiriakopoulos, George Kaimakamis, Alexandros Koulis
In this paper the behaviour of various popular risk portfolios measures used for portfolio construction are compared using data from the recent financial crisis. Results are revealing the way optimal portfolios should be constructed. Despite the conventional…
Carlos Barros, Walter Briec, Hermann Ratsimbanierana
Morey and Morey [1] have developed an approach for gauging portfolio efficiencies in the context of the Markowitz model. Following some recent contributions [2,3], this paper analyzes the axiomatic properties of distance functions extending an earlier approac…
George J Jiang, Guanzhong Pan, Lei Shi
Exchanges often impose daily limits for asset price changes. These restrictions have a direct impact on the prices of options traded on these assets. In this paper, we derive closed-form solution of option pricing formula when there are restrictions on change…
Emran Tohidi, Omid Reza Navid Samadi, Mohammad Hadi Farahi
This paper introduces a numerical technique for solving a class of optimal control problems containing nonlinear dynamical system and functional of state variables. This numerical method consists of two major parts. In the first part, using linear combination…
Heather Mitchell, Michael McKenzie
The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns test for nonlinearity. Our estimation results suggest that a tick/volatility ratio threshold exists, beyond which the test results are biased. Further, tick/vola…
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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).