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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…
Koichi Miyazaki, Kazuhiro Shimada
Private real estate is attracting attention as one of the alternative investment assets from the viewpoint of high income gain and its low correlation with traditional assets due to low liquidity. The prices of privately placed real estate are mainly based on…
Zhongmin Qian, Xingcheng Xu, 1 1
We have developed a practical and elegant closed-form option pricing formula for general GARCH models using a risk-neutral argument. To estimate the parameters, we propose a procedure and utilize Monte Carlo simulation to calculate the prices. Our formula has…
Atsuo Suzuki
In this paper, we consider perpetual American options under a fractional Brownian motion and give the closed-form solution for their value function. We discuss the pricing model when the underlying asset pays dividends continuously and derive the value functi…
Zhichao Gao, Minghu Ha, Hong Zhang, Linqing Gao
Inter-basin water transfer is a large-scale artificial method to transfer water from water-surplus areas to water-deficient areas, so as to promote the economic development of water-deficient areas. In this paper, water call options are introduced to improve…
Paulina Nangolo, Elias Rabson Offen, Othusitse Basmanebothe
Portfolio insurance is a type of hedging which is a dynamic investment strategy that is designed to guarantee the portfolio value at maturity or up to maturity to be greater or equal to a given lower bond (floor). We analyse the efficiency and the performance…
Andrzej Korzeniowski
Based on Invariance Principle for Brownian Motion, we obtained a closed-form expression of the ruin probability for the Discrete-Time Risk Model with Random Premiums that was recently introduced by Korzeniowski [1] . We show that in this model, given two stra…
Stanley Jere, George Mukupa, Edwin Moyo
In this paper, the portfolio management problem with stochastic wage income and inflation risk for CRRA investors is solved. In real life, investors experience stochastic wage income and inflation risk. This could be due to events such as COVID-19, fiscal pol…
Lu Zhang, Yinpeng Zhang, Li Sun, Junwei Cheng
With the spread of market sentiment of global economic recession, the market favors hedging varieties such as gold and agricultural products. This paper seeks to investigate the explanations of corn futures price movements from the perspective of investor att…
Hamrila Binti Abdul Latif, Bo Wu, Xiaoran Li, Mahani B. T. Mohammad, Sharizal Bin Hashin
In recent years, with the deepening of financial innovation, more and more financial derivatives continue to emerge. Because financial derivatives have the function of hedging risks, these financial derivatives are also very popular among listed commercial ba…
Hugo Gobato Souto
Although it has already been proven many times that the use of the risk parameter Financial Turbulence yields significant positive results in risk and portfolio management, there is currently no research regarding its predictability through the use of time se…
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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).