Volume 1 (2021)

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The Journal of Mathematics and Modeling in Finance (JMMF) is a newly established journal of Allameh Tabataba'i University in collaboration with the Center of Excellence (CoE) in Financial Mathematics of Iran .

To allow for easy and worldwide access to the most updated research findings, the journal is set to be an open-access journal.

The Journal of Mathematics and Modeling in Finance is devoted to research articles of the highest quality in computation mathematics and financial Mathematics. Areas covered include numerical analysis, computational finance, mathematical modeling in finance, partial differential equations in finance, stochastic differential equations in finance, numerical methods for quantitative finance, machine learning in finance and related fields such as financial economics and financial engineering.

The articles must be of significant computational interest and contain original and substantial mathematical analysis or development of computational methodology. The papers shall be published biannually in electronic formats.

-Approved ranking in 2021-2022 in the Ministry of Science, Research and Technology of Iran

-MSRT listed journals 2021-2022

Research Article
The Rating of Insurance Companies Based on The Regulatory Indicators Using Three Different Scenarios

Asma Hamzeh; Faezeh Banimostafaarab; Fatemeh Atatalab

Volume 2, Issue 2 , December 2022, Pages 1-14


  The rating of insurance companies is one of the necessary and operational policies to regulate and evaluate the performance of the insurance industry. It informs shareholders, customers, insurers, and even regulatory authorities, as well as formal and informal support bodies, about the current performance ...  Read More

Research Article
Introduction a method of determining returns to scale in network data envelopment analysis

Hadi Bagherzadeh Valami; Zeinab Sinaei nasab

Volume 2, Issue 2 , December 2022, Pages 15-36


  In the process of evaluating the Decision Making Units, two factors of efficiency and production size can be used. When the production size of a unit is not optimal, its Returns To Scale (RTS) determines that changing the resources in anotherdirection would enhance its productivity. In most previous ...  Read More

Research Article
Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control

Saman Vahabi; Amir Teimour Payandeh Najafabadi

Volume 2, Issue 2 , December 2022, Pages 37-52


  In this paper, we design a pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In this contract, premiums are received from the policyholder at certain times. Theinsurer undertakes to pay the premiums by a certain guarantee ...  Read More

Research Article
Pricing life settlements in the secondary market using fuzzy internal rate of return

Mahboubeh Aalaei

Volume 2, Issue 2 , December 2022, Pages 53-62


  In this paper‎, ‎fuzzy set theory is implemented to model internal rate of return for calculating the price of life ‎settlements‎‎. ‎D‎eterministic‎, ‎probabilistic and stochastic ‎approaches ‎is ‎used ‎to ‎price life ‎settlements‎ in the ...  Read More

Research Article
Bayesian Inference Using Hyper Product Inverse Moment Prior in the Ultrahigh-Dimensional Generalized Linear Models

Robabeh Hosseinpour Samim Mamaghani; Farzad Eskandari

Volume 2, Issue 2 , December 2022, Pages 63-90


  In this paper, we considered a Bayesian hierarchical method using the hyper product inverse moment prior in the ultrahigh-dimensional generalized linear model (UDGLM), that was useful in the Bayesian variable selection. We showed the posterior probabilities of the true model converge to 1 as the sample ...  Read More

Research Article
Ridge Shrinkage Estimators in Finite Mixture of Generalized Estimating Equations.

Sajad Nezamdoust; Farzad Eskandari

Volume 2, Issue 2 , December 2022, Pages 91-106


  The paper considers the problem of estimation of the parameters in  nite mixture models.In this article, a new method is proposed for of estimation of the parameters in  nite mixture models. Traditionally, the parameter estimation in  nite mixture models is performed from a likelihood ...  Read More

Research Article
Measuring the Accuracy and Precision of Random Forest, Long Short-Term Memory, and Recurrent Neural Network Models in Predicting the Top and Bottom of Bitcoin price

emad koosha; Mohsen Seighaly; Ebrahim Abbasi

Volume 2, Issue 2 , December 2022, Pages 107-128


  The purpose of the present research is to use machine learning models to predict the price of Bitcoin, representing the cryptocurrency market. The price prediction model can be considered as the most important component in algorithmic trading. The performance of machine learning and its models, due to ...  Read More

Research Article
Presenting a comparative model of stock investment portfolio optimization based on Markowitz model

Samaneh Mohammadi Jarchelou; Kianoush Fathi Vajargah; Parvin Azhdari

Volume 2, Issue 2 , December 2022, Pages 129-150


  Investment is the selection of assets to hold and earn more pro t for greater prosperity in the future. The selection of a portfolio based on the theory of constraint is classical data covering analysis evaluation and ranking Sample function. The in vestment process is related to how investors act in ...  Read More

Research Article
Stochastic optimal control with Contingent Convertible Bond in banking industry

Asma Khadimallah; Fathi Abid

Volume 2, Issue 2 , December 2022, Pages 151-166


  This paper has potential implications for the management of the bank. We examine a bank capital structure with contingent convertible debt to improve financial stability. This type of debt converts to equity when the bank is facing financial difficulties and a conversion trigger occurs. We use a leverage ...  Read More

Research Article
Option valuation in markets with finite liquidity under fractional CEV assets

Azadeh Ghasemifard; Seddigheh Banihashemi; Afshin Babaei

Volume 2, Issue 2 , December 2022, Pages 167-180


  ‎The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets‎. ‎Incorporating the price impact into the underlying asset dynamic‎, ‎which means that trading strategies affect the ...  Read More

Research Article
Predicting Going Concern of Companies Using the Tone of Auditor Reporting

Hamid Abbaskhani; Asgar Pakmaram; Nader Rezaei; Jamal Bahri Sales

Volume 2, Issue 2 , December 2022, Pages 181-194


  Despite the growing need for research on the going concern and bankruptcy of companies, most of the conducted studies have used the approach of quantitative data for predicting the going concern and bankruptcy of companies; on the other hand, it is possible to manage these quantitative data by company ...  Read More

Research Article
Robustness in Mean-Variance Portfolio Optimization

Shokouh Shahbeyk

Volume 2, Issue 2 , December 2022, Pages 195-204


  In this paper, we discuss some of the concepts of robustness for uncertain multi-objective optimization problems. An important factor involved with multi objective optimization problems is uncertainty. The uncertainty may arise fromthe estimation of parameters in the model, error of computation, the ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Analysis the Risk Contagion from Financial Sector to other Economic Sectors

Reza Raei; Alireza Najjarpour

Articles in Press, Accepted Manuscript, Available Online from 17 January 2023


  This research has three main goals. The first goal is to investigate the contagion of the risk from the financial sector to other industries. The second objective is to examine the impact of the competitiveness of industries on the spread of the risk sequence from the financial sector to the industries, ...  Read More

Original Article
Efficient Calculation of all Steady States in large-scale overlapping generations models

Monireh Riahi; Felix Kuebler; Abdolali Basiri; Sajjad Rahmany

Articles in Press, Accepted Manuscript, Available Online from 25 February 2023


  In this paper, we address the problem of analyzing and computing all steady states of an overlapping generation (OLG) model with production and many generations. The characterization of steady states coincides with a geometrical representation of the algebraic variety of a polynomial ideal, and, in principle, ...  Read More

Original Article
Estimation of the Hazard Rate Function in the Presence of Measurement Errors

Parviz Nasiri; Roghaieh Kheirazar; Abbas Rasouli; Ali Shadrokh

Articles in Press, Accepted Manuscript, Available Online from 05 July 2023


  In this article, according to the importance of the hazard rate function criterion in theevaluation of statistical distributions, its estimation methods are presented. Here, we suggestestimators for the hazard rate function. First, we use the standard deconvolution kerneldensity estimator and suggest ...  Read More

Research Article
Deep Learning for Option Pricing Under Heston and Bates Models

Ali Bolfake; Seyed Nourollah Mousavi; Sima Mashayekhi

Articles in Press, Accepted Manuscript, Available Online from 02 August 2023


  This paper proposes a new approach to pricing European options using deep learning techniques under the Heston and Bates models of random fluctuations. The deep learning network is trained with eight input hyper-parameters and three hidden layers, and evaluated using mean squared error, correlation coefficient, ...  Read More

Research Article
Mean-standard deviation-conditional value-at-risk portfolio optimization

Maziar Salahi; Tahereh Khodamoradi; Abdelouahed Hamdi

Articles in Press, Accepted Manuscript, Available Online from 06 June 2023


  The use of variance as a risk measure is limited by its non-coherentnature. On the other hand, standard deviation has been demonstrated as acoherent and effective measure of market volatility. This paper suggests theuse of standard deviation in portfolio optimization problems with cardinalityconstraints ...  Read More

Original Article
A Novel Financial Trading System Based on Reinforcement Learning and Technical Analysis Applied on the Tehran Securities Exchange Market

Zahra Pourahmadi; Dariush Fareed; Hamid Reza Mirzaei

Articles in Press, Accepted Manuscript, Available Online from 07 August 2023


  Stock trading is a significant decision-making problem in asset management. This study introduces a financial trading system (FTS) that leverages artificial intelligence (AI) techniques to automate buy and sell orders specifically in Iran's stock market. Due to limited availability of labeled data in ...  Read More

Original Article
Volatility Spillover in Crude Oil Market Using Heston Switching Clayton ‎Model

Soheil Salimi Nasab; Gholam Hosein Gol Arzi; Abdolsadeh Neisy

Articles in Press, Accepted Manuscript, Available Online from 02 September 2023


  The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will examine marginal models and examine Heston switching ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Estimating the parameters of 3/2 stochastic volatility model with jump

Ali Safdari-Vaighani; Pooya Garshasebi

Articles in Press, Accepted Manuscript, Available Online from 03 September 2023


  The financial markets reveal stylized facts that could not be captured by Black-Scholes partial differential equations (PDEs).  In this research, we investigate 3/2 stochastic volatility to pricing options which is more compatible with the interpretation of implied volatility. Numerical study and ...  Read More

The first order nonlinear autoregressive model ‎ ‎with Ornstein Uhlenbeck processes driven by white ‎noise

Parisa Nabati

Volume 1, Issue 1 , March 2021, , Pages 3-10


  This paper presents a nonlinear autoregressive model with ‎Ornstein ‎Uhlenbeck processes innovation driven with white noise. ‎‎‎‎Notations ‎and ‎preliminaries ‎are ‎presented ‎about ‎the ‎Ornstein ‎Uhlenbeck ‎processes ‎that ‎have ‎important ...  Read More

Unusual behavior: Reversed Leverage Effect Bias

Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 1 , March 2021, , Pages 77-88


  According to the literature on risk, bad news induces higher volatility than good news. Although parametric procedures used for conditional variance modeling are associated with model risk, this may affect the volatility and conditional value at risk estimation process either due to estimation or misspecification ...  Read More

Impacts of No Short Selling and Noise Reduction on Portfolio Allocation

Soudeh Sheybanifar

Volume 1, Issue 1 , March 2021, , Pages 91-115


  Since noise present in financial series, often as a result of existence of fraudulent transactions, arbitrage and other factors, causes noise in financial data therefore false estimation of the parameters and hence distorts portfolio allocation strategy, in this paper wavelet transform is used for noise ...  Read More


Samaneh Bani Asadi; Azim Rivaz

Volume 1, Issue 1 , March 2021, , Pages 145-155


  The European option can be exercised only at the expiration date while an American option can be exercised on or at any time before the expiration date.In this paper, we will study the numerical solutions of a class of complex partial differential equations (PDE) systems with free boundary conditions. ...  Read More

Mathematical Modeling of Stock Price Behavior and Option Valuation

Moslem Peymany

Volume 1, Issue 1 , March 2021, , Pages 159-178


  This study emphasizes on the mathematical modeling procedure of stock price behavior and option valuation in order to highlight the role and importance of advanced mathematics and subsequently computer software in financial analysis. To this end, following price process modeling and explaining the procedure ...  Read More