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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…
Patrick Kandege Mwanakatwe, Joanitha Daniel, Kulwa Roberth Nzungu
Given the significance and complexity of forecasting the crude oil price volatility, this paper introduces the Heston model to predict volatility dynamics of crude oil price. The high-frequency intra-day data of the West Texas Intermediate (WTI) market serves…
Moon Hoe Lee
As shown by continuous-time mathematics, a current stock price is the sum of the mean or equity value and the residual volatility of the current stock price. The residual volatility is a fraction of the volatility of the current stock price. Equity value is d…
Koichi Miyazaki, Kazuhiro Shimada
In this study, we explore the Public Market Equivalent (PME) as a measure of Private Equity (PE) fund performance relative to the listed market. While various PME methods exist, the “direct alpha method” has been identified as the superior approach. However,…
Derek J. Streidl
Revealed preference is a powerful tool within the realm of consumer theory and behavioral economics used to determine consumer proclivity towards goods and services which maximize their individual utilities in scenarios where the alternatives would have only…
Luhan Gao
This paper explores the fundamental concept of Behavioral Finance and how it relates to an individual’s decision-making in regard to the balance between risk and return. A literature review was conducted, drawing from academic concepts in books and online res…
Simone Caenazzo, Ksenia Ponomareva, Mark Pain, Rob Wareing, Jameel Shivji
Under the UK Consumer Act 1974, obligors of Hire Purchase and Conditional Sale contracts are allowed to perform a Voluntary Termination (VT) once certain conditions are met. Upon such an event, lenders recover the underlying assets but are potentially liable…
Eric M. Kimani, Anthony Ngunyi, Joseph K. Mungatu
Cryptocurrencies are considered to be among the most disruptive innovations done in the financial sector within the last decade. It is a digital asset that is designed to serve as a medium of exchange using cryptography. Financial modeling of cryptocurrencies…
Agnella Nemuo Mandia, Patrick Guge Oloo Weke, Joseph Kyalo Mung’atu, 1 1
This paper examines stop-loss reinsurance threshold for a pool of dependent risk, which is motivated by the fact that insurance penetration in Africa is far below the world’s average rate. The study applies convex combination of quantile measures to produce a…
Miwaka Yamashita
In this paper, I consider insurers’ reinsurance strategies to find an optimal reinsurance cover ratio for underwritten insurance exposure. First, I describe the one-period model and the continuous time dynamic model by stochastic differential equation in the…
Marcelin Romeo Noumegni Kenmoe, Jane Akinyi Aduda, Mbele Bidima Martin Le Doux
Gerber-Shiu function is the joint distribution of the time to ruin, the surplus before ruin and the deficit at ruin. In this paper, we propose a non-parametric estimator of the expected discounted penalty function; the Gerber-Shiu function for a compound Pois…
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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).