Research Article
Surrender analysis of life insurance in Iran at two micro-corporate and macroeconomic levels

Mitra Ghanbarzadeh; Nasrin Hozarmoghadam

Articles in Press, Accepted Manuscript, Available Online from 02 March 2025

https://doi.org/10.22054/jmmf.2025.83623.1164

Abstract
  To increase the share of life insurance from the written insurance premium of commercial insurance and also considering the necessity of keeping life insurance customers by insurance companies, it is necessary to investigate the causes of surrendering life insurance and provide solutions to prevent it. ...  Read More

Research Article
Comparative analysis of stochastic models for simulating leveraged ETF price paths

Kartikay Goyle

Articles in Press, Accepted Manuscript, Available Online from 09 March 2025

https://doi.org/10.22054/jmmf.2025.83588.1162

Abstract
  This paper compares stochastic models for simulating leveraged Exchange-Traded Funds (LETFs) price paths, focusing on their applications in risk management and option pricing. Using TQQQ (a 3x leveraged ETF tracking NASDAQ-100) as our case study, we evaluate Geometric Brownian Motion (GBM), Generalized ...  Read More

Research Article
Option pricing under non-normal distribution in mixed of Gram-Charlier model and fractional models (A case study of Iran Stock Exchange‏)

Mohammad Reza Haddadi; Hossein Nasrollahi

Articles in Press, Accepted Manuscript, Available Online from 08 March 2025

https://doi.org/10.22054/jmmf.2025.83277.1154

Abstract
  In order to reduce the risk of financial markets, various tools have emerged, and option contracts are the most common tools in this regard. The Black-Scholes model is used to price a wide range of options contracts. The basic assumption in this model is to follow the normal distribution of returns. ...  Read More

Research Article
Comparing the performance of different deep learning architectures for time series forecasting

Reza Taleblou

Articles in Press, Accepted Manuscript, Available Online from 14 March 2025

https://doi.org/10.22054/jmmf.2025.83410.1157

Abstract
  In this paper, we evaluate the performance of two machine learning architectures— Recurrent Neural Networks (RNN) and Transformer-based models—on four commodity-based company indices from the Tehran Stock Exchange. The Transformer-based models used in this study include AutoFormer, FEDformer, ...  Read More

Research Article
Enhanced portfolio performance evaluation using adjusted dynamic conditional Jensen’s alpha: A time-sensitive risk approach

Hasan Bayati; Saeid Tajdini; Seung Wook Jung; Majid Lotfi Ghahroud

Articles in Press, Accepted Manuscript, Available Online from 16 March 2025

https://doi.org/10.22054/jmmf.2025.83668.1166

Abstract
  This study presents an enhanced framework for portfolio performance evaluation by refining Jensens alpha to incorporate dynamic conditional beta. Traditional models rely on static beta assumptions, often overlooking the time-varying nature of portfolio risk and its influence on performance metrics. By ...  Read More