Research Article
Gumbel copula-based reliability assessment to describe the dependence of the multicomponent stress-strength model for Pareto distribution

Nooshin Hakamipour

Articles in Press, Accepted Manuscript, Available Online from 16 April 2024

https://doi.org/10.22054/jmmf.2024.78338.1124

Abstract
  The stress-strength model is a commonly utilized topic in reliability studies. In many reliability analyses involving stress-strength models, it is typically assumed that the stress and strength variables are unrelated. Nevertheless, this assumption is often impractical in real-world scenarios. This ...  Read More

Research Article
Pricing asset-or-nothing options using Haar wavelet

Saeed Vahdati; Foad Shokrollahi

Articles in Press, Accepted Manuscript, Available Online from 19 April 2024

https://doi.org/10.22054/jmmf.2024.77996.1120

Abstract
  This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with ...  Read More

Research Article
Measuring the acceptance rate of Usage-Based Insurance (UBI) based on statistical methods (case study: Saman Insurance Company)

Asma Hamzeh; Mitra Ghanbarzadeh; Faezeh Banimostafaarab

Articles in Press, Accepted Manuscript, Available Online from 07 May 2024

https://doi.org/10.22054/jmmf.2024.78086.1121

Abstract
  Usage-based Insurance (UBI) is an innovation that differs from traditional car insurance and seeks to distinguish between high-risk and low-risk drivers. The premium in this policy is calculated based on the distance traveled and telematics variables such as road type, time, speed, etc. This study measured ...  Read More

Research Article
On the numerical performance of the weak multilevel Monte-Carlo method for the Heston Model

Azadeh Ghasemifard; Ali Valinejad

Articles in Press, Accepted Manuscript, Available Online from 09 May 2024

https://doi.org/10.22054/jmmf.2024.78741.1127

Abstract
  In this article, we discuss the numerical implementation of the Multilevel Monte-Carlo (MLMC) scheme for option pricing within the Heston asset model. The Heston model is a stochastic volatility model that captures the dynamics of the underlying asset price and its volatility. The MLMC method is a variance ...  Read More

Research Article
A Comparison of the Linear Model and the Efficient Frontier for the Evaluation of Portfolio Performance

Fatemeh Fattahi; Farhad Hosseinzadeh Lotfi; Andrew C. Worthington

Articles in Press, Accepted Manuscript, Available Online from 18 May 2024

https://doi.org/10.22054/jmmf.2024.76182.1115

Abstract
  ‎Data envelopment analysis (DEA) is a methodology widely used for evaluating the relative performance of portfolios under a mean–variance framework‎. ‎However‎, ‎there has been little discussion of whether nonlinear models best suit this purpose‎. ‎Moreover‎, ‎when ...  Read More

Research Article
An L_1 then L_0 approach to the cardinality constrained mean-variance and mean-CVaR portfolio optimization problems

Maziar Salahi; Tahereh Khodamoradi

Articles in Press, Accepted Manuscript, Available Online from 25 May 2024

https://doi.org/10.22054/jmmf.2024.78407.1125

Abstract
  Cardinality constrained portfolio optimization problems are widely used portfolio optimization models which incorporate restriction on the number of assets in the portfolio. Being mixed-integer programming problems make them NP-hard thus computationally challenging, specially for large number of assets. ...  Read More