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. Yet, the journal does not charge any fee for reviewing, processing, and publishing research papers from the authors or from the research institutes and organizations. All the mentioned processes for paper publication are sponsored by Allameh Tabataba’i University. 

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
Assessing machine learning performance in cryptocurrency market price prediction

Kamran Pakizeh; Arman Malek; Mahya Karimzadeh khosroshahi; Hasan Hamidi Razi

Volume 2, Issue 1 , January 2022, Pages 1-32


  Cryptocurrencies, which are digitally encrypted and decentralized, continue to attract attention of  nancial market players across the world. Because of high volatility in cryptocurrency market, predicting price of cryptocurrencies has become one of the most complicated  elds in  nan-cial ...  Read More

Research Article
Banking, Monetary target policy and Stock market shock

Hossein Eslami Mofid Abadi; Marzieh Ebrahimi Shaghaghi; Morteza Taherifard

Volume 2, Issue 1 , January 2022, Pages 33-62


  This research has been investigated, economy and balance-sheet effects of the money growth rate targeting. According to financial statements of the banking network and national accounts, using dynamic stochastic general equilibrium New Keynesian and statistical data for the period 1991-2019.For estimating ...  Read More

Research Article
Investigating the Performance and Performance Consistency of Iranian Mutual Funds Using CAPM& CARHART’s Four- Factor Models; A Comparative Approach

Khadijeh Ghorbanidolatabadi; Hasan Ghalibaf Asl

Volume 2, Issue 1 , January 2022, Pages 63-86


  This study seeks to investigate the performance as well as the performance consistency of Iranian mutual funds during the current and subsequent periods. To this end, the Capital Asset Pricing Model along with CARHART’s four-factor model have been utilized to analyze the performance and performance ...  Read More

Research Article
Catastrophe Swap Valuation Based on Stochastic Damage and its Numerical Solution

Abdolsadeh Neisy; Nasrollah Mahmoudpour; Moslem Peymany; Meisam Amiri

Volume 2, Issue 1 , January 2022, Pages 87-106


  Pricing catastrophe swap as an instrument for insurance companies risk management, has received trivial attention in the previous studies, but in most of them, damage severities caused by the disaster has been considered to be fixed. In this study, through considering jumps for modeling the occurrence ...  Read More

Research Article
Assets Supply demand Physical Equilibrium in Financial Market by Artificial Neural Network

kamran ayati

Volume 2, Issue 1 , January 2022, Pages 107-116


  ‎In this article supply demand based on prices volumes are extracted as measure of swaps between two or more indexes by neural network for recommend Market Makers to increase performance of Large Traded Volumes in real time Markets Quotes‎. ‎Neural network are widely applicable tools for ...  Read More

Research Article
Dynamic behavior in a three coupled Kaldor-Kalecki delayed model

Chunhua Feng; Cadavious M Jones

Volume 2, Issue 1 , January 2022, Pages 117-130


  It is known that the original Kaldor-Kalecki model of business cycle was an example of a difference differential model. In the literature there are many results about this model and how it relates to an extended form representing an economic growth model and how the role of government and its simultaneous ...  Read More

Research Article
A Numerical solution for the new model of time-fractional bond pricing‎: ‎Using a multiquadric approximation method

Sedighe sharifian; Ali R. Soheili; Abdolsadeh Neisy

Volume 2, Issue 1 , January 2022, Pages 131-150


  ‎The bond market is an important part of the financial markets‎ . ‎The coupon bonds are issued by companies or banks for increasing capital ‎, ‎and the interest is paid by banks or companies‎, ‎periodically ‎.‎ ‎In terms of maturities ‎, ‎bonds are divided ...  Read More

Research Article
Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market

Abdulrashid Jamnia; Mohammad Reza Sasouli; Emambakhsh Heidouzahi; Mohsen Dahmarde Ghaleno

Volume 2, Issue 1 , January 2022, Pages 151-166


  The capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is ...  Read More

Research Article
Using local outlier factor to detect fraudulent claims in auto insurance

Maryam Esna-Ashari; Farzan Khamesian; Farbod Khanizadeh

Volume 2, Issue 1 , January 2022, Pages 167-182


  ‎Given the significant increase in fraudulent claims and the resulting financial losses‎, ‎it is important to adopt a scientific approach to detect and prevent such cases‎. ‎In fact‎, ‎not equipping companies with an intelligent system to detect suspicious cases has led to the payment of ...  Read More

Research Article
Monetary behavior theory in long-term and turbulent conditions on the Russian Ruble

Farzad Jafari; Amir Hamooni; Saeid Tajdini; Mohammad Qezelbash; Niloufar Ebrahimiyan

Volume 2, Issue 1 , January 2022, Pages 183-194


  In this study, based on the monetary behavior theory, which considers the mean and standard deviation of GDP per capita besides the inflation difference between two countries, we first present a model for determining the fair value of the Russian ruble in the long run from 1999 to 2021 based on macroeconomic ...  Read More

Research Article
A numerical method for solving the underlying price problem driven by a fractional Levy process

Tayebeh Nasiri; Ali Zakeri; Azim Aminataei

Volume 2, Issue 1 , January 2022, Pages 195-208


  We consider European style options with risk-neutral parameters and time-fractional Levy diffusion equation of the exponential option pricing model in this paper. In a real market, volatility is a measure of the quantity of inflation in asset prices and changes. This makes it essential to accurately ...  Read More

Research Article
Explicit solutions of Cauchy problems for degenerate hyperbolic equations with Transmutations methods

Mahdieh Aminian Shahrokhabadi; Hossein Azari

Volume 2, Issue 1 , January 2022, Pages 209-247


  ‎This article's primary goal is to compute an explicit transmutation-based solution to a degenerate hyperbolic equation of second order in terms of time‎. ‎To reduce a new problem to a problem that has already been solved‎, ‎or at the very least to a smaller problem‎, ‎is ...  Read More

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

Asma Hamzeh; Faezeh Banimostafaarab; Fatemeh Atatalab

Articles in Press, Accepted Manuscript, Available Online from 06 September 2022


  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

Journal of Mathematics and Modeling in Finance (JMMF)
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

Articles in Press, Accepted Manuscript, Available Online from 14 September 2022


  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

Original Article

Hadi Bagherzadeh Valami; Zeinab Sinaei nasab

Articles in Press, Accepted Manuscript, Available Online from 14 September 2022


  Data Envelopment Analysis (DEA) is an effective method for measuring the efficiency of Decision Making Units (DMUs) In the process of evaluating the Decision Making Unitss, two factors of efficiency and production size can be used. When the production size of a unit is not optimal, its Returns To Scale ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control

Saman Vahabi; Amir Teimour Payandeh Najafabadi

Articles in Press, Accepted Manuscript, Available Online from 04 October 2022


  There are a variety of products in the life insurance literature. These products differ in how the benefits are paid and the execution time. In this paper, we designed pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In ...  Read More

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

Mahboubeh Aalaei

Articles in Press, Accepted Manuscript, Available Online from 18 October 2022


  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

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

Robabeh Hosseinpour Samim Mamaghani; Farzad ESkandari

Articles in Press, Accepted Manuscript, Available Online from 01 November 2022


  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 size ...  Read More

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

Sajad Nezamdoust; Farzad Eskandari

Articles in Press, Accepted Manuscript, Available Online from 02 November 2022


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

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

Samaneh Mohammadi Jarchelou; Kianoush Fathi Vajargah; Parvin Azhdari

Articles in Press, Accepted Manuscript, Available Online from 20 November 2022


  The investment process is related to how investors act in deciding on the types of tradable securities to invest in and the amount and timing. Various methods have been proposed for the investment process, but the lack of rapid computational methods for determining investment policies in securities analysis ...  Read More

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

Asma Khadimallah; Fathi Abid

Articles in Press, Accepted Manuscript, Available Online from 20 November 2022


  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

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

Azadeh Ghasemifard; Seddigheh Banihashemi; Afshin Babaei

Articles in Press, Accepted Manuscript, Available Online from 28 November 2022


  ‎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

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

Parisa Nabati

Volume 1, Issue 1 , March 2021, , Pages 1-8


  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

Using Reinforcement Learning Methods to Price a Perishable Product, Case Study: Orange

Abbas Shekari Firouzjaie; Navid Sahebjamnia; Hadi Abdollahzade

Volume 1, Issue 1 , March 2021, , Pages 31-48


  ‎Determining the optimal selling price for different commodities has always been one of the main topics of scientific and industrial research‎. ‎Perishable products have a short life and due to their deterioration over time‎, ‎they cause great damage if not managed‎. ‎Many ...  Read More

Finite difference method for basket option pricing under Merton model

Parisa Karami; Ali Safdari

Volume 1, Issue 1 , March 2021, , Pages 59-64


  In financial markets , dynamics of underlying assets are often specified via stochasticdifferential equations of jump - diffusion type . In this paper , we suppose that two financialassets evolved by correlated Brownian motion . The value of a contingent claim written on twounderlying assets under jump ...  Read More

Impacts of No Short Selling and Noise Reduction on Portfolio Allocation

Soudeh Sheybanifar

Volume 1, Issue 1 , March 2021, , Pages 77-102


  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

Mean-square Stability and Convergence of Compensated Split-Step $theta$-method for Nonlinear Jump Diffusion Systems

Ali R. Soheili; Yasser Taherinasab; Mohammad Amini

Volume 1, Issue 1 , March 2021, , Pages 103-126


  In this paper, we analyze the strong convergence and stability of the Compensated Splite-step $theta$ (CSS$theta$) and Forward-Backward Euler-Maruyama (FBEM) methods for Numerical solutions of Stochastic Differential Equations with jumps (SDEwJs),where ‎$sqrt{2}-1leqthetaleq 1‎$. The drift term ...  Read More