Journal of Mathematics and Modeling in Finance (JMMF)
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

http://dx.doi.org/10.22054/jmmf.2021.60391.1031

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

Journal of Mathematics and Modeling in Finance (JMMF)
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

http://dx.doi.org/10.22054/jmmf.2021.60610.1032

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

Journal of Mathematics and Modeling in Finance (JMMF)
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

http://dx.doi.org/10.22054/jmmf.2021.60896.1033

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

Original Article
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

http://dx.doi.org/10.22054/jmmf.2021.61970.1037

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

Journal of Mathematics and Modeling in Finance (JMMF)
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

http://dx.doi.org/10.22054/jmmf.2021.62479.1038

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

Original Article
EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION

Farshid Mehrdoust; Idin Noorani; Mahdi Khavari

Articles in Press, Accepted Manuscript, Available Online from 28 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64976.1042

Abstract
  In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation method to sample a series of stock prices based ...  Read More

Original Article
Network centrality and portfolio optimization using the genetic algorithm

Alireza Zamanpour; Asghar Abolhasani Hastiany

Articles in Press, Accepted Manuscript, Available Online from 31 December 2021

http://dx.doi.org/10.22054/jmmf.2021.65033.1043

Abstract
  This study aims to optimize the portfolio using the genetic operator and network centralization. The statistical population of the study is the top 50 companies of Tehran Stock Exchange, in the first quarter of 2021, and to calculate the size of centrality, we used the difference in the overall performance ...  Read More

Original Article
Modeling of Mortgage-Backed Securities based on stochastic processes

Mehrdokht Khani; Abdolsadeh Neisy

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

http://dx.doi.org/10.22054/jmmf.2021.62880.1039

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

Original Article
Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Hadi Bagherzadeh Valami

Articles in Press, Accepted Manuscript, Available Online from 31 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64760.1040

Abstract
  In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...  Read More

Original Article
Modelling the Block Trades Premium: Focusing on Refining and Petrochemical Companies

Mehran Kaviani; Ali Mohammad Ghanbari; Moslem Peymany

Articles in Press, Accepted Manuscript, Available Online from 29 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64854.1041

Abstract
  Business expansions being engaged in variety of industries in purpose of getting bigger market share, role of corporate governance within the financial decision. One of the important issues in corporate governance is block trading with purpose of control or invest in target firms. If the plan is to acquire ...  Read More

Original Article
ASSESSING MACHINE LEARNING PERFORMANCE IN CRYPTOCURRENCY MARKET PRICE PREDICTION

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

Articles in Press, Accepted Manuscript, Available Online from 07 February 2022

http://dx.doi.org/10.22054/jmmf.2022.65626.1046

Abstract
  Cryptocurrencies, which are digitally encrypted and decentralized, continue to attract attention of financial market players across the world. Because of high volatility in cryptocurrency market, predicting price of cryptocurrencies has become one of the most complicated fields in financial markets. ...  Read More