Editorial

Volume 5, Issue 1 , July 2025

https://doi.org/10.22054/jmmf.2025.19106

Abstract

Research Article

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

Mitra Ghanbarzadeh; Nasrin Hozarmoghadam

Volume 5, Issue 1 , July 2025, Pages 1-13

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

Volume 5, Issue 1 , July 2025, Pages 15-46

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

Volume 5, Issue 1 , July 2025, Pages 47-62

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

Volume 5, Issue 1 , July 2025, Pages 63-87

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

Volume 5, Issue 1 , July 2025, Pages 89-101

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

Research Article

Measuring information asymmetry surrounding earnings announcements

Rexon Nainggolan; Hendri Sembiring; Clarijun Quimada Montebon

Volume 5, Issue 1 , July 2025, Pages 103-118

https://doi.org/10.22054/jmmf.2025.83341.1161

Abstract

The primary objective of this research is to measure the information asymmetry before, during, and after earnings announcements and how it relates to the drift in post-earnings announcements over an extended period. The study uses the bid-ask spread as an information asymmetry proxy and employs a market ... Read More

Research Article

Designing an epidemic health ‎insurance

Fatemeh Atatalab; Amir Teimour Payandeh Najafabadi; Mohammad Zokaei

Volume 5, Issue 1 , July 2025, Pages 121-135

https://doi.org/10.22054/jmmf.2025.83429.1159

Abstract

The outbreak of the pandemic has prompted the scientific community to build models that can reliably monitor and predict the evolution of pandemics. Payment of medical expenses is the most important benefit offered by pandemic insurance policies. This paper considers a one year healthcare insurance contract ... Read More

Research Article

Modifying premiums for life insurance products using specific mortality tables

Mahboubeh Aalaei; Khadijeh Ebrahimnezhad

Volume 5, Issue 1 , July 2025, Pages 137-153

https://doi.org/10.22054/jmmf.2025.83627.1165

Abstract

‎The aim of this study is to examine the impact of different adjustment multipliers (β) on mortality tables and their effect on premium calculation in the life insurance industry‎. ‎In this research‎, ‎standard mortality tables are compared with mortality tables adjusted by modification ... Read More

Research Article

On data-driven robust portfolio optimization with semi mean absolute deviation via support vector clustering

Eftekhar Kosarinia; Maziar Salahi; Tahereh Khodamoradi

Volume 5, Issue 1 , July 2025, Pages 155-165

https://doi.org/10.22054/jmmf.2025.84881.1170

Abstract

In [14] the authors have studied robust semi-mean absolute deviation portfolio optimization model when assets expected returns involve uncertainty. They applied a data driven approach via support vector clustering to construct the uncertainty set using support vector clustering. In this paper, we show ... Read More

Research Article

A generation theorem for the perturbation of exponentially equicontinuous C₀-semigroups on locally convex spaces

Jawad Ettayb

Volume 5, Issue 1 , July 2025, Pages 167-173

https://doi.org/10.22054/jmmf.2025.85197.1173

Abstract

In this paper, we study the well-posedness of the evolution equation of the form u'(t) = Au(t) + Cu(t), t ≥ 0 where A is the infinitesimal generator of an exponentially equicontinuous C₀-semigroup and C is a (possibly unbounded) linear operator in a sequentially complete locally convex Hausdorff ... Read More

Research Article

Mitigating data imbalance for enhanced third-party insurance claim prediction using machine ‎learning

Maryam Esna-Ashari; Hamideh Badi; Majid Chahkandi; ‎Hamid Saadatfar

Volume 5, Issue 1 , July 2025, Pages 175-187

https://doi.org/10.22054/jmmf.2025.84807.1169

Abstract

Accurate prediction of third-party insurance claims is critical for pricing policies and managing risk. However, the highly imbalanced nature of insurance data—where non-claim cases vastly outnumber claim cases—poses significant challenges to standard predictive models. This study explores ... Read More

Research Article

A mathematical model for deriving the optimal trajectory of life insurance demand

Ghadir Mahdavi

Volume 5, Issue 1 , July 2025, Pages 189-204

https://doi.org/10.22054/jmmf.2025.85123.1172

Abstract

This study explores the optimal trajectory of life insurance demand, a crucial financial tool for managing mortality risk and ensuring economic security for family. Various factors, including mortality risk, wealth growth, interest rates, and policyholder preferences, influence insurance decisions. To ... Read More

Research Article

Forecasting Returns with a Hybrid Model: Neural Network Autoregressive Market Predictions and CAPM for Asset Valuation

Mohammad Zare

Articles in Press, Accepted Manuscript, Available Online from 19 July 2025

https://doi.org/10.22054/jmmf.2025.85583.1178

Abstract

‎Accurate forecasting of asset returns is essential for informed investment decisions and effective portfolio management‎. ‎This paper explores a hybrid model that combines the Capital Asset Pricing Model (CAPM) with Neural Network Autoregressive (NNAR) models to enhance return predictions‎. ... Read More

Research Article

Solving The Black-Scholes Problem Using a Combined Numerical Method (A Case Study of Tehran Stock Exchange)

Mostafa Kebriyayee; Abdolali Basiri; Reza Pourgholi; Rafi Hasani Moghadam

Articles in Press, Accepted Manuscript, Available Online from 17 August 2025

https://doi.org/10.22054/jmmf.2025.84966.1171

Abstract

The Black-Scholes model is one of the most widely used frameworks for pricing options in financial markets. However, its analytical solutions are often limited to idealized conditions, necessitating the use of numerical methods for more complex scenarios. This study proposes a combined numerical approach ... Read More

Research Article

Evaluation of Systemic Risk and Spillover of Index Volatilities of Different Industry Groups in Tehran Stock Exchange

Mehdi Mohammad pour; Majid Zanjirdar; Peyman Ghafari Ashtiani

Articles in Press, Accepted Manuscript, Available Online from 17 August 2025

https://doi.org/10.22054/jmmf.2025.85601.1179

Abstract

The expansion of communications between active industries and companies in different industry groups on the Tehran Stock Exchange has caused that, in the event of volatility in an industry index, this volatility can spread like a domino to other industry groups and also to other economic sectors, creating ... Read More

Research Article

Applications of Some Deep Learning Algorithms to Predict Trend in the Forex Exchange Market

Mohammad Ali Jafari; Sina Ghasemilo

Articles in Press, Accepted Manuscript, Available Online from 17 August 2025

https://doi.org/10.22054/jmmf.2025.85949.1183

Abstract

Predicting time series has always been one of the challenges in the financial markets. With the increase in the amount of data, the need to use modern tools instead of classical statistical and time series methods has become clear. In this paper, some deep learning algorithms such as Multilayer Perceptrons ... Read More

Research Article

Copula-Based Risk Modeling: A Comparative Analysis of MCAViaR and Gaussian Copulas for Global Indices

Mohammadreza Rostami; Fatemeh Rasti; Ebrahim Abbasi

Articles in Press, Accepted Manuscript, Available Online from 10 September 2025

https://doi.org/10.22054/jmmf.2025.86227.1187

Abstract

This study comparatively analyzes two advanced financial risk modeling frameworks: a copula-based Value-at-Risk (VaR) approach and the Multivariate Conditional Autoregressive Value-at-Risk (MCAViaR) model. We assess their effectiveness in capturing risk dynamics across diverse global markets, using daily ... Read More

Research Article

Bank Client Credit Scoring, Along With Loan Parameters Optimization Using the Simulation-Optimization Model

Amir Khorrami; Mahmoud Dehghan Nayeri; Ali Rajabzadeh

Articles in Press, Accepted Manuscript, Available Online from 11 September 2025

https://doi.org/10.22054/jmmf.2025.86361.1191

Abstract

This study assesses a new simulation-optimization method for credit scoring and bank loan parameter optimization. The proposed approach encompasses data preparation, credit scoring, and simulation-optimization stages. Initially, data regarding bank loans and company financial statements are collected ... Read More

Research Article

Deep Learning and Statistical Approaches in Financial Modeling of Foreign Assets and Liabilities of Nepal’s Banking System

Aayush Man Regmi; Samrajya Raj Acharya

Articles in Press, Accepted Manuscript, Available Online from 10 September 2025

https://doi.org/10.22054/jmmf.2025.85594.1176

Abstract

In an environment marked by financial volatility and rapid economic shifts, reliable forecasts are critical for informed policy-making and strategic financial planning. This study investigates the detailed mathematical exploration followed by its computational performance of time series and deep learning ... Read More

Research Article

A Comparison Between Behavioral Similarity Methods vs Standard Deviation Method in Predicting Time Series Dataset, Case Study of Finance Market

Mahdi Goldani

Articles in Press, Accepted Manuscript, Available Online from 10 September 2025

https://doi.org/10.22054/jmmf.2025.86596.1193

Abstract

In statistical modeling, prediction and explanation are two fundamental objectives. When the primary goal is forecasting, it is important to account for the inherent uncertainty associated with estimating unknown outcomes. Traditionally, confidence intervals constructed using standard deviations have ... Read More

Research Article

A Hybrid LSTM Neural Network Approach for Modeling Periodical Long-Memory Characteristics in Financial Energy Index Time Series

Minou Yari; Mohammad Reza Salehi Rad; Mohammad Bahrani

Articles in Press, Accepted Manuscript, Available Online from 10 September 2025

https://doi.org/10.22054/jmmf.2025.85886.1185

Abstract

Forecasting financial market volatility has always been a major challenge in economics and financial engineering. In this study, a hybrid approach based on FIGARCH and PLM-GARCH models combined with Long Short-Term Memory (LSTM) neural networks is proposed for modeling financial time series. The analyzed ... Read More

Robust net present value with infinite lifetime

Volume 1, Issue 1 , March 2021, , Pages 9-26

https://doi.org/10.22054/jmmf.2020.53929.1006

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

Using reinforcement learning method to price a perishable product, case study: orange

Volume 1, Issue 1 , March 2021, , Pages 27-40

https://doi.org/10.22054/jmmf.2020.54852.1013

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

Finite difference method for basket option pricing under Merton model

Volume 1, Issue 1 , March 2021, , Pages 49-52

https://doi.org/10.22054/jmmf.2021.56261.1018

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

Unusual behavior: reversed leverage effect bias

Volume 1, Issue 1 , March 2021, , Pages 53-61

https://doi.org/10.22054/jmmf.2020.54928.1016

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

Tau method for pricing American options under complex models

Volume 1, Issue 1 , March 2021, , Pages 103-111

https://doi.org/10.22054/jmmf.2020.56197.1017

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

Number of Issues	9
Article View	72,109
PDF Download	53,199
View Per Article	616.32
PDF Download Per Article	454.69
Number of Submissions	211
Rejected Submissions	59
Reject Rate	28
Accepted Submissions	117
Acceptance Rate	55
Time to Accept (Days)	82
Number of Indexing Databases	17
Number of Reviewers	166

Volume 5 (2025)

Volume 4 (2024)

Volume 3 (2023)

Volume 2 (2022)

Volume 1 (2021)

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Indexing and Abstracting