Research Article
1. The first order nonlinear autoregressive model ‎ ‎with Ornstein Uhlenbeck processes driven by white ‎noise

Parisa Nabati

Volume 1, Issue 1 , March 2021, Pages 1-8

http://dx.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

Research Article
2. Robust Net Present Value With Infinite Lifetime

Payam Hanafizadeh; Hadiseh Salmani

Volume 1, Issue 1 , March 2021, Pages 9-30

http://dx.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

Research Article
3. Using Reinforcement Learning Methods to Price a Perishable Product, Case Study: Orange

Abbas Shekari Firouzjaie; Navid Sahebjamnia; Hadi Abdollahzade

Volume 1, Issue 1 , March 2021, Pages 31-48

http://dx.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

Research Article
4. ‎Comparing ‎the ‎‎different types of ‎Markov ‎switching ‎model for Euro to Iran Rial‎ exchange rate

Mahdi Pourrafiee; S. M. Esmaeil Pourmohammad Azizi; Marzieh Mohammadi Larijani; Ali Pahlevannezhad

Volume 1, Issue 1 , March 2021, Pages 49-58

http://dx.doi.org/10.22054/jmmf.2020.54870.1014

Abstract
  According to the rule of equality of equal prices, the price of a foreign commodity within a country depends on the price of the commodity at the origin as well as the exchange rate of that country. According to this rule, if the foreign exchange costs are insignificant, the price of a single commodity ...  Read More

Research Article
5. Finite difference method for basket option pricing under Merton model

Parisa Karami; Ali Safdari

Volume 1, Issue 1 , March 2021, Pages 59-64

http://dx.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

Research Article
6. Unusual behavior: Reversed Leverage Effect Bias

Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 1 , March 2021, Pages 65-76

http://dx.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

Research Article
7. Impacts of No Short Selling and Noise Reduction on Portfolio Allocation

Soudeh Sheybanifar

Volume 1, Issue 1 , March 2021, Pages 77-102

http://dx.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

Research Article
8. Mean-square Stability and Convergence of Compensated Split-Step $theta$-method for Nonlinear Jump Diffusion Systems

Ali R. Soheili; Yasser Taherinasab; Mohammad Amini

Volume 1, Issue 1 , March 2021, Pages 103-126

http://dx.doi.org/10.22054/jmmf.2020.54500.1011

Abstract
  In this paper, we analyze the strong convergence and stability of the Compensated Splite-step $theta$ (CSS$theta$) and Forward-Backward Euler-Maruyama (FBEM) methods for Numerical solutions of Stochastic Differential Equations with jumps (SDEwJs),where ‎$sqrt{2}-1leqthetaleq 1‎$. The drift term ...  Read More

Research Article
9. TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS

Samaneh Bani Asadi; Azim Rivaz

Volume 1, Issue 1 , March 2021, Pages 127-137

http://dx.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

Research Article
10. Mathematical Modeling of Stock Price Behavior and Option Valuation

Moslem Peymany

Volume 1, Issue 1 , March 2021, Pages 139-158

http://dx.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

Research Article
11. Economic Models Involving Time Fractal

Alireza Khalili Golmankhaneh; Karmina K. Ali; Resat Yilmazer; Mohammed K. A. Kaabar

Volume 1, Issue 1 , March 2021, Pages 159-178

http://dx.doi.org/10.22054/jmmf.2021.57757.1024

Abstract
  In this article, the price adjustment equation has been proposed and studied in the frame of fractal calculus which plays an important role in market equilibrium. Fractal time has been recently suggested by researchers in physics due to the self-similar properties and fractional dimension. We investigate ...  Read More

Research Article
12. Forecasting Spot and Future Gold Coin Price Volatility and Their Predictive Power on Each Other by Using ANN-GARCH Model

Nafiseh Shahmoradi; Hasan Ghalibaf Asl

Volume 1, Issue 1 , March 2021, Pages 179-197

http://dx.doi.org/10.22054/jmmf.2021.57842.1025

Abstract
  A large number of investors have been attracted to the Iran Mercantile Exchange as a result of launching Bahar Azadi Coin future contracts, also known as gold coin future contracts, since 2007. The nature of gold price as a physical-commodity and financial asset, as well as other contributing factors ...  Read More