Number of Issues

1

Article View

2,259

PDF Download

1,514

View Per Article

112.95

PDF Download Per Article

75.7

Number of Submissions

42

Rejected Submissions

8

Reject Rate

19

Accepted Submissions

20

Acceptance Rate

48

Time to Accept (Days)

70

Number of Indexing Databases

9

Number of Reviewers

37

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.

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.

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

Parisa Nabati

Volume 1, Issue 1 , Winter and Spring 2021, Pages 1-8

Abstract
  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 ‎applications ‎in ‎finance. ...  Read More

2. Robust Net Present Value With Infinite Lifetime

Payam Hanafizadeh; Hadiseh Salmani

Volume 1, Issue 1 , Winter and Spring 2021, Pages 9-30

Abstract
  In this study, Robust Net Present Value (RNPV) has been developed for evaluation of projects with infinite life. In this method, the changes of uncertain net incomes in a financial cash flow are postulated in a convex, continuous, and closed region. It has been indicated that RNPV, in the infinite life ...  Read More

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

Abbas Shekari Firouzjaie; Navid Sahebjamnia; Hadi Abdollahzade

Volume 1, Issue 1 , Winter and Spring 2021, Pages 31-48

Abstract
  ‎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

4. ‎Comparing ‎the ‎‎different types of ‎Markov ‎switching ‎model for Euro to Iran Rial‎ exchange rate

Mahdi Pourrafiee; S. M. Esmaeil Pourmohammad Azizi; Marzieh Mohammadi Larijani; Ali Pahlevannezhad

Volume 1, Issue 1 , Winter and Spring 2021, Pages 49-58

Abstract
  According to the rule of equality of equal prices, the price of a foreign commodity within a country depends on the price of the commodity at the origin as well as the exchange rate of that country. According to this rule, if the foreign exchange costs are insignificant, the price of a single commodity ...  Read More

5. Finite difference method for basket option pricing under Merton model

Parisa Karami; Ali Safdari

Volume 1, Issue 1 , Winter and Spring 2021, Pages 59-64

Abstract
  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

6. Unusual behavior: Reversed Leverage Effect Bias

Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 1 , Winter and Spring 2021, Pages 65-76

Abstract
  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

7. Impacts of No Short Selling and Noise Reduction on Portfolio Allocation

Soudeh Sheybanifar

Volume 1, Issue 1 , Winter and Spring 2021, Pages 77-102

Abstract
  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

8. 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 , Winter and Spring 2021, Pages 103-126

Abstract
  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

9. TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS

Samaneh Bani Asadi; Azim Rivaz

Volume 1, Issue 1 , Winter and Spring 2021, Pages 127-137

Abstract
  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

10. Mathematical Modeling of Stock Price Behavior and Option Valuation

Moslem Peymany

Volume 1, Issue 1 , Winter and Spring 2021, Pages 139-158

Abstract
  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

11. Economic Models Involving Time Fractal

Alireza Khalili Golmankhaneh; Karmina K. Ali; Resat Yilmazer; Mohammed K. A. Kaabar

Volume 1, Issue 1 , Winter and Spring 2021, Pages 159-178

Abstract
  In this article, the price adjustment equation has been proposed and studied in the frame of fractal calculus which plays an important role in market equilibrium. Fractal time has been recently suggested by researchers in physics due to the self-similar properties and fractional dimension. We investigate ...  Read More

12. Forecasting Spot and Future Gold Coin Price Volatility and Their Predictive Power on Each Other by Using ANN-GARCH Model

Nafiseh Shahmoradi; Hasan Ghalibaf Asl

Volume 1, Issue 1 , Winter and Spring 2021, Pages 179-197

Abstract
  A large number of investors have been attracted to the Iran Mercantile Exchange as a result of launching Bahar Azadi Coin future contracts, also known as gold coin future contracts, since 2007. The nature of gold price as a physical-commodity and financial asset, as well as other contributing factors ...  Read More

1. Estimating the term structure of mortality: an application to actuarial studies

Marzieh Vahdani; Ali Safdari

Articles in Press, Accepted Manuscript, Available Online from 22 June 2021

Abstract
  Insurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering technique. ...  Read More

2. The Effect of Volatility Temporal Changes on the Predictability and Return of Optimal Portfolio Using the DMA Model

Fatemeh Samadi; Hossein Eslami Mofid Abadi

Articles in Press, Accepted Manuscript, Available Online from 22 June 2021

Abstract
  According to most financial experts, it is not possible to study the predictability of stock prices without considering the risks affecting stock returns. On the other hand, identify-ing risks requires determining the share of risk in the total risk and the probability of risk occurrence in different ...  Read More

3. Prediction of outstanding IBNR liabilities using delay probability

Fatemeh Atatalab; Amir Teimour Payandeh Najafabadi

Articles in Press, Accepted Manuscript, Available Online from 22 June 2021

Abstract
  ‎An important question in non life insurance research is the ‎estimation of number of future payments and corresponding ‎amount of them. A ‎loss reserve is the money set aside by insurance companies to pay ‎policyholders claims on their policies. The policyholder behavior for reporting ...  Read More

4. Designing an Updatable Long Term Health Insurance

Atefeh Kanani; Amir T Payandeh; Mohammad Zokaei

Articles in Press, Accepted Manuscript, Available Online from 22 June 2021

Abstract
  In this paper, we considered the long-term health insurance as a sequence of annual health insurance policies. To improve the disadvantages of long-term health insurance, we specify the optimal contract including optimal insurance premiums and optimal insurance coverage for the healthcare costs using ...  Read More

5. An Application of Stochastic Approximation in Simulated Method of Moments

Nazanin Mohseni; Erfan Salavati

Articles in Press, Accepted Manuscript, Available Online from 13 July 2021

Abstract
  Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions. Distributions of financial assets generally have heavier tails than other distributions, ...  Read More

6. Spectral Graph Embedding for Dimension Reduction in Financial Risk Assessment

Hossein Teimoori Faal; Meyssam Bagheri

Articles in Press, Accepted Manuscript, Available Online from 08 August 2021

Abstract
  The economic downturn in recent years has had a significant negative impact on corporates performance. In the last two years, as in the last years of 2010s, many companies have been influenced by the economic conditions and some have gone bankrupt. This has led to an increase in companies' financial ...  Read More

7. Trade War and the Balanced Trade-Monetary Theory

Saeid Tajdini; Amir Hamooni; Jamal Maghsoudi; Farzad Jafari; Majid Lotfi Ghahroud

Articles in Press, Accepted Manuscript, Available Online from 30 October 2021

Abstract
  One of the longest-lasting controversies in the international macroeconomic literature is the purchasing power parity theory. It is the most controversial subject that has been tested with various econometric models in different timeframes and geographic data sets. It is a common assumption used regarding ...  Read More

8. Modeling of Mortgage-Backed Securities based on stochastic processes

Mehrdokht Khani; Abdolsadeh Neisy

Articles in Press, Accepted Manuscript, Available Online from 23 November 2021

Abstract
  In this paper, we first present a nonlinear structural model for pricing mortgage-backed securities. These derivatives are considered to be the primary cause of the 2008 financial crisis that was raised in the United States. We focus our work on pass-through mortgages, which pay both the principal and ...  Read More