Journal of Mathematics and Modeling in Finance

Research Article

Analysis of Risk Trends, Capital Structure Stability, and Profitability Potential of Iranian Listed Companies Using Numerical Risk Scoring and Fuzzy Logic

Zahra Heydari Marbari; Effat Golpar-Raboky; Seyedeh Narges Mirei

Volume 6, Issue 2 , July 2026, Pages 1-18

https://doi.org/10.22054/jmmf.2026.88826.1225

Abstract

This study analyzes the trend of risk and profitability of 60 Iranian listed companies during the period of 2015 to 2022. The research data was extracted from the audited financial statements of these companies and includes key financial variables such as Debt to Equity ratio, Current Ratio, Return on ... Read More

Research Article

Stochastic Dynamics of Ripple XRP for Cross-Border Settlement Optimization

Kiarash Firouzi

Volume 6, Issue 2 , July 2026, Pages 19-41

https://doi.org/10.22054/jmmf.2026.86921.1259

Abstract

The feasibility of XRP as a liquidity medium in cross-border transactions is assessed in this paper using a thorough stochastic framework. We use simulations of settlement latency, regime-switching volatility, and jump-diffusion models. The models are calibrated using historical data from public exchanges ... Read More

Research Article

The Banking Crisis and Macroprudential Policy: Evidence from Iran

Nafiseh Keshtgar; Seyed Hossein Mirjalili

Volume 6, Issue 2 , July 2026, Pages 43-61

https://doi.org/10.22054/jmmf.2026.89408.1235

Abstract

This study aims to identify the macroeconomic factors influencing the likelihood of a banking crisis in Iran, with a particular focus on macroprudential policy. We employed a discrete econometric model (Logit/Probit) using data from 2011 to 2023. The independent variables include the loan-to-deposit ... Read More

Research Article

Maximum Principle for McKean-Vlasov Dynamic Using Lions Partial-Derivatives with Respect to Probability with Application to Finance

Ikram Hamed; Noureddine Hamed; Messaouda Terchi

Volume 6, Issue 2 , July 2026, Pages 63-76

https://doi.org/10.22054/jmmf.2026.89775.1241

Abstract

In this paper, we study optimal control problem for stochastic systems generated by general McKean-Vlasov dynamics. The coefficients of the McKean-Vlasov dynamic depend on the state of the solution process as well as of its probability law. The information available to the controller is possibly less ... Read More

Research Article

Hybrid Interval Forecasting Model for Iraqi Stock Prices Based on Optimized v‑Support Vector Regression

Noor Adnan Abdullah; Zakariya Yahya Algamal

Volume 6, Issue 2 , July 2026, Pages 77-95

https://doi.org/10.22054/jmmf.2026.90440.1248

Abstract

Stock price forecasting poses significant challenges due to non-stationarity, nonlinearity, and noise in financial markets, particularly for the Iraqi stock exchange. This study proposes an enhanced interval-valued forecasting model for daily prices of the Al Mansour Pharmaceutical Industries (MPI) company ... Read More

Research Article

Fuzzy Estimation of Value at Risk for a Portfolio with Triangular Fuzzy Returns

Batoul Salamah; Reza Zarei; Farshid Mehrdoust; Mohammad Ghasem Akbari

Volume 6, Issue 2 , July 2026, Pages 97-123

https://doi.org/10.22054/jmmf.2026.89886.1242

Abstract

Value at Risk (VaR) is a key measure in financial risk management. However, traditional VaR models are often challenged by the inherent uncertainty and ambiguity in market data. This paper introduces a novel method for estimating VaR under fuzzy conditions to address this limitation. In this study, we ... Read More

Research Article

The Application Of The Inverse Physics-Informed Neural Network In Financial Calibration Tasks

Mohamadamin Raeisi-Makiani; Abdolsadeh Neisy; Ali Safdari-Vaighani

Volume 6, Issue 2 , July 2026, Pages 125-137

https://doi.org/10.22054/jmmf.2026.88390.1217

Abstract

In the calibration of a financial model, the process is an optimization task that can be viewed as an inverse problem. Solving this problem typically necessitates having an appropriate pricing function. With recent breakthroughs in machine learning, i.e., physics informed neural networks (PINNs), a cutting-edge ... Read More

Research Article

Deep Sequential Learning for Asset Return Forecasting: An LSTM-Enhanced Capital Asset Pricing Framework

Yasin Fadaei

Volume 6, Issue 2 , July 2026, Pages 139-157

https://doi.org/10.22054/jmmf.2026.91725.1266

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 Long Short-Term Memory (LSTM) networks to enhance return predictions. While CAPM traditionally ... Read More

Research Article

Closed-Form Estimation for the Pareto Distribution Based on Logarithmic Moments

Zahra Karimiezmareh; Ghazal Elahi

Volume 6, Issue 2 , July 2026, Pages 159-182

https://doi.org/10.22054/jmmf.2026.91047.1253

Abstract

The Pareto distribution is a cornerstone for modeling heavy-tailed phenomena in fields like economics, finance, and risk management. While maximum likelihood (ML) estimation is prevalent, its estimators lack closed-form expressions, requiring iterative numerical methods. This paper introduces closed-form ... Read More

Research Article

Modeling Financial Sentiment with a Three-State Lattice Gas: From Agent Interaction to Market-Level Shock Responses

Halim Zeghdoudi; Fatih Tank

Volume 6, Issue 2 , July 2026, Pages 183-209

https://doi.org/10.22054/jmmf.2026.92434.1282

Abstract

This paper develops an agent-based framework for studying financial sentiment dynamics through a three-state lattice gas model in which agents hold bullish, neutral, or bearish positions. Extending classical binary models such as the Ising and voter models, the framework introduces a neutral state to ... Read More

Research Article

Fair Profit Sharing Ratios of Islamic Investment Contracts

Abass Sagna

Volume 6, Issue 2 , July 2026, Pages 211-240

https://doi.org/10.22054/jmmf.2026.90083.1245

Abstract

The aim of this work is to calculate the fair profit-sharing ratios and the expected payoffs at maturity for each partner in islamic investment contrats (or instruments), based on profit and loss-sharing (PL-sharing). These investment contracts, known as mudarabah and musharakah, can be compared to limited ... Read More

Research Article

Credit Risk Management Of Portfolio And Distance To Default Estimation Based On Firm Equity Approach

Saba Yaghobipour

Volume 6, Issue 2 , July 2026, Pages 241-252

https://doi.org/10.22054/jmmf.2026.91229.1256

Abstract

In this paper, the credit risk of investment is managed by a new structural mean-reverting model. For this purpose, the utility maximization problem is expressed as an optimization problem with an expected logarithmic objective function and a mean-reverting constraint. The existence of a solution to ... Read More

Research Article

Joint Partially Models for Dependent Frequency and Severity of Insurance Claims with using Spline Functions

Ehsan Bahrami Samani

Articles in Press, Accepted Manuscript, Available Online from 05 July 2026

https://doi.org/10.22054/jmmf.2026.92058.1274

Abstract

In this paper, the claim counts and claim amounts, both with and without missing values, are assumed to be correlated in the context of non-life insurance. The proposed methodology involves fitting joint random effects partially specified models based on the factorization of the joint distribution of ... Read More

Research Article

A Stochastic Operational Risk Model for Banking Networks Using Hawkes Processes and Markov Switching

Aliakbar Tajari Siahmarzkooh

Articles in Press, Accepted Manuscript, Available Online from 05 July 2026

https://doi.org/10.22054/jmmf.2026.91743.1267

Abstract

This paper develops a novel mathematical framework for modeling operational risk in banking networks, with particular emphasis on rare but high-impact events such as cyber attacks, internal fraud, and system failures. The proposed model combines multivariate Hawkes processes with regime-switching mechanisms ... Read More

Research Article

Deep Learning-Based Option Pricing Under the SVSI Model: Incorporating Stochastic Volatility and Interest Rates

Seyed Nourollah Mousavi; Ali Bolfakeh; Sima Mashayekhi; Rasoul Beykverdi

Articles in Press, Accepted Manuscript, Available Online from 14 July 2026

https://doi.org/10.22054/jmmf.2026.92053.1273

Abstract

The SVSI model is an advanced financial framework that simultaneously accounts for stochastic volatility and stochastic interest rates in the pricing of financial instruments such as options. The primary objective of this model is to enhance forecasting accuracy and risk assessment. In this study, an ... 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

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

Impacts of no short selling and noise reduction on portfolio allocation

Volume 1, Issue 1 , March 2021, , Pages 63-82

https://doi.org/10.22054/jmmf.2020.55023.1015

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

Mean-square stability and convergence of compensated split-step θ-method for nonlinear jump diffusion systems

Volume 1, Issue 1 , March 2021, , Pages 83-101

https://doi.org/10.22054/jmmf.2020.54500.1011

Abstract

In this paper, the existence and uniqueness of the numerical solution of the Stochastic Differential Equations with Jumps(SDEwJs) under the one side Lipschitz conditions and polynomial growth conditions are presented. The Compensated split step θ(CSSθ) method introduce and try to bound the ... Read More

Number of Issues	12
Article View	153,777
PDF Download	85,313
View Per Article	1046.1
PDF Download Per Article	580.36
Number of Submissions	310
Rejected Submissions	125
Reject Rate	40
Accepted Submissions	150
Acceptance Rate	48
Time to Accept (Days)	91
Number of Indexing Databases	17
Number of Reviewers	204

Volume 6 (2026)

Volume 5 (2025)

Volume 4 (2024)

Volume 3 (2023)

Volume 2 (2022)

Volume 1 (2021)

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Indexing and Abstracting