Research Article
Gumbel copula-based reliability assessment to describe the dependence of the multicomponent stress-strength model for Pareto distribution

Nooshin Hakamipour

Volume 4, Issue 1 , July 2024, Pages 1-17

https://doi.org/10.22054/jmmf.2024.78338.1124

Abstract
  The stress-strength model is a commonly utilized topic in reliability studies. In many reliability analyses involving stress-strength models, it is typically assumed that the stress and strength variables are unrelated. Nevertheless, this assumption is often impractical in real-world scenarios. This ...  Read More

Research Article
Pricing asset-or-nothing options using Haar wavelet

Saeed Vahdati; Foad Shokrollahi

Volume 4, Issue 1 , July 2024, Pages 19-35

https://doi.org/10.22054/jmmf.2024.77996.1120

Abstract
  This article proposes a new numerical technique for pricing asset-or-nothing options using the Black-Scholes partial differential equation (PDE). We first use the θ−weighted method to discretize the time domain, and then use Haar wavelets to approximate the functions and derivatives with ...  Read More

Research Article
Measuring the acceptance rate of Usage-Based Insurance (UBI) based on statistical methods (case study: Saman Insurance Company)

Asma Hamzeh; Mitra Ghanbarzadeh; Faezeh Banimostafaarab

Volume 4, Issue 1 , July 2024, Pages 37-55

https://doi.org/10.22054/jmmf.2024.78086.1121

Abstract
  Usage-based Insurance (UBI) is an innovation that differs from traditional car insurance and seeks to distinguish between high-risk and low-risk drivers. The premium in this policy is calculated based on the distance traveled and telematics variables such as road type, time, speed, etc. This study measured ...  Read More

Research Article
On the numerical performance of the weak multilevel Monte-Carlo method for the Heston Model

Azadeh Ghasemifard; Ali Valinejad

Volume 4, Issue 1 , July 2024, Pages 57-66

https://doi.org/10.22054/jmmf.2024.78741.1127

Abstract
  In this article, we discuss the numerical implementation of the Multilevel Monte-Carlo (MLMC) scheme for option pricing within the Heston asset model. The Heston model is a stochastic volatility model that captures the dynamics of the underlying asset price and its volatility. The MLMC method is a variance ...  Read More

Research Article
Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model

Farshid Mehrdoust; Maryam Noorani

Volume 4, Issue 1 , July 2024, Pages 67-82

https://doi.org/10.22054/jmmf.2024.78910.1128

Abstract
  ‎This study suggests a novel approach for calibrating European option pricing model by a hybrid model based on the optimized artificial neural network and Black-Scholes model‎. ‎In this model‎, ‎the inputs of the artificial neural network are the Black-Scholes equations with different ...  Read More

Research Article
A Comparison of the Linear Model and the Efficient Frontier for the Evaluation of Portfolio Performance

Fatemeh Fattahi; Farhad Hosseinzadeh Lotfi; Andrew C. Worthington

Volume 4, Issue 1 , July 2024, Pages 83-96

https://doi.org/10.22054/jmmf.2024.76182.1115

Abstract
  ‎Data envelopment analysis (DEA) is a methodology widely used for evaluating the relative performance of portfolios under a mean–variance framework‎. ‎However‎, ‎there has been little discussion of whether nonlinear models best suit this purpose‎. ‎Moreover‎, ‎when ...  Read More

Research Article
An L_1 then L_0 approach to the cardinality constrained mean-variance and mean-CVaR portfolio optimization problems

Maziar Salahi; Tahereh Khodamoradi

Volume 4, Issue 1 , July 2024, Pages 97-113

https://doi.org/10.22054/jmmf.2024.78407.1125

Abstract
  Cardinality constrained portfolio optimization problems are widely used portfolio optimization models which incorporate restriction on the number of assets in the portfolio. Being mixed-integer programming problems make them NP-hard thus computationally challenging, specially for large number of assets. ...  Read More

Research Article
Evaluation of ‎e‎conomic variables on pension fund performance of selected countries

Mitra Ghanbarzadeh; Nasrin Hozarmoghadam; Asma Hamzeh

Volume 4, Issue 1 , July 2024, Pages 115-125

https://doi.org/10.22054/jmmf.2024.79648.1134

Abstract
  ‎Since pension funds are part of the social security system and have a socio-economic function, in order to maintain the value of the insured's savings, they should invest them, which will have a direct relationship with the money market and the capital market of each country. Due to the significant ...  Read More

Research Article
Mean-AVaR-Entropy ‎o‎ptimization portfolio selection model in uncertain environments

Farahnaz Omidi; Leila Torkzadeh; Kazem Nouri

Volume 4, Issue 1 , July 2024, Pages 127-145

https://doi.org/10.22054/jmmf.2024.79078.1129

Abstract
  This paper investigates the complexities surrounding uncertain portfolio selection in cases where security returns are not well-represented by historical data. Uncertainty in security returns is addressed by treating them as uncertain variables. Portfolio selection models are developed using the quadratic-entropy ...  Read More

Research Article
Option pricing in high volatile illiquid market

Sima Mashayekhi; Seyed Nourollah Mousavi

Volume 4, Issue 1 , July 2024, Pages 147-157

https://doi.org/10.22054/jmmf.2024.78625.1126

Abstract
  This study compares the performance of the classic Black-Scholes model and the generalized Liu and Young model in pricing European options and calculating derivatives sensitivities in high volatile illiquid markets. The generalized Liu and Young model is a more accurate option pricing model that incorporates ...  Read More

Research Article
Improving the accuracy of financial time series prediction using nonlinear exponential autoregressive models

Mohammad Abdollahzadeh; Ataabak Baagherzadeh Hushmandi; Parisa Nabati

Volume 4, Issue 1 , July 2024, Pages 159-173

https://doi.org/10.22054/jmmf.2024.77904.1119

Abstract
  In recent years, precise analysis and prediction of financial time series data have received significant attention. While advanced linear models provide suitable predictions for short and medium-term periods, market studies have indicated that stock behavior adheres to nonlinear patterns and linear models ...  Read More

Research Article
A high order numerical method for Ito stochastic Volterra integral equations

Sadegh Amiri; Yasin Behrouzi

Volume 4, Issue 1 , July 2024, Pages 175-193

https://doi.org/10.22054/jmmf.2024.80370.1138

Abstract
  The main purpose of this paper is to propose a high order numerical method based on the finite difference methods for solving nonlinear Itˆo stochastic Volterra integral equations (SVIEs) of the second kind. To develop the method, a fourth-order implicit finite difference method and the explicit ...  Read More