Journal of Mathematics and Modeling in Finance

Research Article

Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment

Behzad Abbasi; Kazem Nouri

Volume 4, Issue 2 , December 2024, Pages 1-16

https://doi.org/10.22054/jmmf.2024.80898.1140

Abstract

Option pricing is a fundamental issue in financial markets, and barrier options are a popular type of options that can become valuable or worthless when the underlying asset price reaches a predetermined level. A double barrier option consist two barriers, one situated above and the other below the prevailing ... Read More

Research Article

European option pricing underlying two assets using PINN

Kimiya Tavakoli; Abdolsadeh Neisy; Alireza Zamanpour

Volume 4, Issue 2 , December 2024, Pages 17-31

https://doi.org/10.22054/jmmf.2024.79962.1135

Abstract

Modeling and pricing European options are crucial tasks for financial companies seeking to determine the fair value of these instruments. Conventional methods, such as using Black-Scholes partial differential equations (PDEs), face challenges due to the high complexity involved and lack of data. To address ... Read More

Research Article

Fraud detection in supplementary health insurance based on smart contract in blockchain ‎network

Abbas Raad; Reza Ofoghi; Ghadir Mahdavi

Volume 4, Issue 2 , December 2024, Pages 33-56

https://doi.org/10.22054/jmmf.2024.79731.1136

Abstract

This study aims to examine the function of blockchain technology to detect fraud in health insurance. we consider the literature on fraud in health insurance, blockchain, and smart contracts to to test a newly structured software system based on blockchain technology for this purpose. Different blockchain ... Read More

Research Article

Stochastic portfolio optimization by diversity-weighted portfolio approach

Shokoofeh Banihashemi; Parto Karimi

Volume 4, Issue 2 , December 2024, Pages 57-64

https://doi.org/10.22054/jmmf.2024.79396.1131

Abstract

‎‎The portfolio optimization problem, including portfolio selection, typically aims to maximize return and minimize risk. In this paper, we discuss about increasing use of stochastic portfolios in investments and aim to create optimal portfolios. It follows the relative wealth process of these ... Read More

Research Article

Investigating Levy's model in financial series prediction(case of vanilla option)

Seyed Jalal Tabatabaei

Volume 4, Issue 2 , December 2024, Pages 65-82

https://doi.org/10.22054/jmmf.2024.81540.1144

Abstract

In recent years, there has been growing interest in the application of stochastic processes to model financial markets, particularly in the pricing and prediction of derivative instruments such as options. One of the more advanced models that has emerged for capturing the dynamics of financial time series ... Read More

Research Article

Asset-liability management for with-profit life insurance policies: A novel multi-stage stochastic programming model

Farnaz Hooshmand; Mitra Ghanbarzadeh

Volume 4, Issue 2 , December 2024, Pages 83-97

https://doi.org/10.22054/jmmf.2024.80428.1139

Abstract

Asset-liability management (ALM) is a critical issue for insurance companies because the premiums received from policyholders should be invested according to regulatory frameworks while providing suitable profitability, and simultaneously, the insurer should fulfill its obligations to policyholders on ... Read More

Research Article

Stochastic-fractional optimal control problems and application in portfolio management

Saba Yaghobipour; Majid Yarahmadi

Volume 4, Issue 2 , December 2024, Pages 99-114

https://doi.org/10.22054/jmmf.2024.82579.1151

Abstract

The aim of this paper is to propose a new method for solving a calss of stochasticfractional optimal control problems. To this end, we introduce an equivalent form for the presented stochastic-fractional optimal control problem and prove that these problems have the same solution. Therefore, the corresponding ... Read More

Research Article

Sensitivity assessing to data volume for forecasting: introducing similarity methods as suitable ones in feature selection methods

Mahdi Goldani; Soraya Asadi Tirvan

Volume 4, Issue 2 , December 2024, Pages 115-134

https://doi.org/10.22054/jmmf.2024.81735.1145

Abstract

In predictive modeling, overfitting poses a significant risk, particularly when the feature count surpasses the number of observations, a common scenario in highdimensional datasets. To mitigate this risk, feature selection is employed to enhance model generalizability by reducing the dimensionality ... Read More

The first order nonlinear autoregressive model ‎ ‎with Ornstein Uhlenbeck processes driven by white ‎noise

Volume 1, Issue 1 , March 2021, , Pages 1-7

https://doi.org/10.22054/jmmf.2020.53300.1005

Abstract

This paper presents a nonlinear autoregressive model with ‎Ornstein ‎Uhlenbeck processes innovation driven with white noise. ‎‎‎‎Notations ‎and ‎preliminaries ‎are ‎presented ‎about ‎the ‎Ornstein ‎Uhlenbeck ‎processes ‎that ‎have ‎important ... 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

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

Mathematical modeling of stock price behavior and option valuation

Volume 1, Issue 1 , March 2021, , Pages 113-129

https://doi.org/10.22054/jmmf.2020.56846.1022

Abstract

This study emphasizes on the mathematical modeling procedure of stock price behavior and option valuation in order to highlight the role and importance of advanced mathematics and subsequently computer software in financial analysis. To this end, following price process modeling and explaining the procedure ... Read More

Number of Issues	8
Article View	29,138
PDF Download	28,412
View Per Article	316.72
PDF Download Per Article	308.83
Number of Submissions	165
Rejected Submissions	41
Reject Rate	25
Accepted Submissions	92
Acceptance Rate	56
Time to Accept (Days)	79
Number of Indexing Databases	17
Number of Reviewers	129

Volume 4 (2024)

Volume 3 (2023)

Volume 2 (2022)

Volume 1 (2021)

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Indexing and Abstracting