Number of Issues

2

Article View

5,944

PDF Download

2,866

View Per Article

141.52

PDF Download Per Article

68.24

Number of Submissions

70

Rejected Submissions

14

Reject Rate

20

Accepted Submissions

32

Acceptance Rate

46

Time to Accept (Days)

70

Number of Indexing Databases

10

Number of Reviewers

66

The Journal of Mathematics and Modeling in Finance (JMMF) is a newly established journal of Allameh Tabataba'i University in collaboration with the Center of Excellence (CoE) in Financial Mathematics of Iran .

To allow for easy and worldwide access to the most updated research findings, the journal is set to be an open-access journal. Yet, the journal does not charge any fee for reviewing, processing, and publishing research papers from the authors or from the research institutes and organizations. All the mentioned processes for paper publication are sponsored by Allameh Tabataba’i University. 

The Journal of Mathematics and Modeling in Finance is devoted to research articles of the highest quality in computation mathematics and financial Mathematics. Areas covered include numerical analysis, computational finance, mathematical modeling in finance, partial differential equations in finance, stochastic differential equations in finance, numerical methods for quantitative finance, machine learning in finance and related fields such as financial economics and financial engineering.

The articles must be of significant computational interest and contain original and substantial mathematical analysis or development of computational methodology. The papers shall be published biannually in electronic formats.

-Approved ranking in 2021-2022 in the Ministry of Science, Research and Technology of Iran

-MSRT listed journals 2021-2022

Research Article
The Effect of Volatility Temporal Changes on the Predictability and Return of Optimal Portfolio Using the DMA Model

Fatemeh Samadi; Hossein Eslami Mofid Abadi

Volume 1, Issue 2 , September 2021, Pages 1-14

http://dx.doi.org/10.22054/jmmf.2021.13835

Abstract
  According to most  nancial experts, it is not possible to study the predictability of stock prices without considering the risks affecting stock returns. On the other hand, identifying risks requires determining the share of risk in the total risk and the probability of risk occurrence in different ...  Read More

Research Article
Estimating the term structure of mortality: an application to actuarial studies

Marzieh Vahdani; Ali Safdari

Volume 1, Issue 2 , September 2021, Pages 15-26

http://dx.doi.org/10.22054/jmmf.2021.13837

Abstract
  Insurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering technique. ...  Read More

Research Article
Designing an Updatable Long Term Health Insurance

Atefeh Kanani Dizaji; Amir Teimour Payandeh Najafabadi; Mohammad Zokaei

Volume 1, Issue 2 , September 2021, Pages 27-42

http://dx.doi.org/10.22054/jmmf.2021.13838

Abstract
  In this paper, we considered the long-term health insurance as a sequence of annual health insurance policies. To improve the disadvantages of long-term health insurance, we specify the optimal contract including optimal insurance premiums and optimal insurance coverage for the healthcare costs using ...  Read More

Research Article
Prediction of outstanding IBNR liabilities using delay probability

Fatemeh Atatalab; Amir Teimour Payandeh Najafabadi

Volume 1, Issue 2 , September 2021, Pages 43-56

http://dx.doi.org/10.22054/jmmf.2021.13839

Abstract
  ‎An important question in non life insurance research is the ‎estimation of number of future payments and corresponding ‎amount of them. A ‎loss reserve is the money set aside by insurance companies to pay ‎policyholders claims on their policies. The policyholder behavior for reporting ...  Read More

Research Article
An Application of Stochastic Approximation in Simulated Method of Moments

Erfan Salavati; Nazanin Mohseni

Volume 1, Issue 2 , September 2021, Pages 57-72

http://dx.doi.org/10.22054/jmmf.2021.13840

Abstract
  Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions. Distributions of financial assets generally have heavier tails than other distributions, ...  Read More

Research Article
Spectral Graph Embedding for Dimension Reduction in Financial Risk Assessment

Hossein Teimoori Faal; Meyssam Bagheri

Volume 1, Issue 2 , September 2021, Pages 73-92

http://dx.doi.org/10.22054/jmmf.2021.13841

Abstract
  The economic downturn in recent years has had a significant negative impact on corporates performance. In the last two years, as in the last years of 2010s, many companies have been influenced by the economic conditions and some have gone bankrupt. This has led to an increase in companies' financial ...  Read More

Research Article
Trade War and the Balanced Trade-Monetary Theory

Saeid Tajdini; Amir Hamooni; Jamal Maghsoudi; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 2 , September 2021, Pages 93-110

http://dx.doi.org/10.22054/jmmf.2021.13842

Abstract
  One of the longest-lasting controversies in the international macroeconomic literature is the purchasing power parity theory. It is the most controversial subject that has been tested with various econometric models in different timeframes and geographic data sets. It is a common assumption used regarding ...  Read More

Research Article
Efficient estimation of Markov-switching model with application in stock price classification

Farshid Mehrdoust; Idin Noorani; Mahdi Khavari

Volume 1, Issue 2 , September 2021, Pages 111-130

http://dx.doi.org/10.22054/jmmf.2021.13843

Abstract
  In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation method to sample a series of stock prices based ...  Read More

Research Article
Network centrality and portfolio optimization using the genetic algorithm

Asghar Abolhasani Hastiany; Alireza Zamanpour

Volume 1, Issue 2 , September 2021, Pages 131-162

http://dx.doi.org/10.22054/jmmf.2021.13844

Abstract
  This study aims to optimize the portfolio using the genetic operator and network centralization. The statistical population of the study is the top 50 companies of Tehran Stock Exchange, in the first quarter of 2021, and to calculate the size of centrality, we used the difference in the overall performance ...  Read More

Research Article
Modeling of Mortgage-Backed Securities based on stochastic processes

Mehrdokht Khani; Abdolsadeh Neisy

Volume 1, Issue 2 , September 2021, Pages 163-180

http://dx.doi.org/10.22054/jmmf.2021.13847

Abstract
  In this paper, we first present a nonlinear structural model for pricing mortgage-backed securities. These derivatives are considered to be the primary cause of the 2008 financial crisis that was raised in the United States. We focus our work on pass-through mortgages, which pay both the principal and ...  Read More

Research Article
Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Hadi Bagherzadeh Valami

Volume 1, Issue 2 , September 2021, Pages 181-194

http://dx.doi.org/10.22054/jmmf.2021.13848

Abstract
  In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...  Read More

Research Article
Modelling the Block Trades Premium: Focusing on Refining and Petrochemical Companies

Mehran Kaviani; Ali Mohammad Ghanbari; Moslem Peymany

Volume 1, Issue 2 , September 2021, Pages 195-222

http://dx.doi.org/10.22054/jmmf.2021.13849

Abstract
  Business expansions being engaged in variety of industries in purpose of getting bigger market share, role of corporate governance within the financial decision. One of the important issues in corporate governance is block trading with purpose of control or invest in target firms. If the plan is to acquire ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Designing an Updatable Long Term Health Insurance

Atefeh Kanani; Amir T Payandeh; Mohammad Zokaei

Articles in Press, Accepted Manuscript, Available Online from 22 June 2021

http://dx.doi.org/10.22054/jmmf.2021.60391.1031

Abstract
  In this paper, we considered the long-term health insurance as a sequence of annual health insurance policies. To improve the disadvantages of long-term health insurance, we specify the optimal contract including optimal insurance premiums and optimal insurance coverage for the healthcare costs using ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Prediction of outstanding IBNR liabilities using delay probability

Fatemeh Atatalab; Amir Teimour Payandeh Najafabadi

Articles in Press, Accepted Manuscript, Available Online from 22 June 2021

http://dx.doi.org/10.22054/jmmf.2021.60610.1032

Abstract
  ‎An important question in non life insurance research is the ‎estimation of number of future payments and corresponding ‎amount of them. A ‎loss reserve is the money set aside by insurance companies to pay ‎policyholders claims on their policies. The policyholder behavior for reporting ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
An Application of Stochastic Approximation in Simulated Method of Moments

Nazanin Mohseni; Erfan Salavati

Articles in Press, Accepted Manuscript, Available Online from 13 July 2021

http://dx.doi.org/10.22054/jmmf.2021.60896.1033

Abstract
  Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions. Distributions of financial assets generally have heavier tails than other distributions, ...  Read More

Original Article
Spectral Graph Embedding for Dimension Reduction in Financial Risk Assessment

Hossein Teimoori Faal; Meyssam Bagheri

Articles in Press, Accepted Manuscript, Available Online from 08 August 2021

http://dx.doi.org/10.22054/jmmf.2021.61970.1037

Abstract
  The economic downturn in recent years has had a significant negative impact on corporates performance. In the last two years, as in the last years of 2010s, many companies have been influenced by the economic conditions and some have gone bankrupt. This has led to an increase in companies' financial ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Trade War and the Balanced Trade-Monetary Theory

Saeid Tajdini; Amir Hamooni; Jamal Maghsoudi; Farzad Jafari; Majid Lotfi Ghahroud

Articles in Press, Accepted Manuscript, Available Online from 30 October 2021

http://dx.doi.org/10.22054/jmmf.2021.62479.1038

Abstract
  One of the longest-lasting controversies in the international macroeconomic literature is the purchasing power parity theory. It is the most controversial subject that has been tested with various econometric models in different timeframes and geographic data sets. It is a common assumption used regarding ...  Read More

Original Article
EFFICIENT ESTIMATION OF MARKOV-SWITCHING MODEL WITH APPLICATION IN STOCK PRICE CLASSIFICATION

Farshid Mehrdoust; Idin Noorani; Mahdi Khavari

Articles in Press, Accepted Manuscript, Available Online from 28 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64976.1042

Abstract
  In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation method to sample a series of stock prices based ...  Read More

Original Article
Network centrality and portfolio optimization using the genetic algorithm

Alireza Zamanpour; Asghar Abolhasani Hastiany

Articles in Press, Accepted Manuscript, Available Online from 31 December 2021

http://dx.doi.org/10.22054/jmmf.2021.65033.1043

Abstract
  This study aims to optimize the portfolio using the genetic operator and network centralization. The statistical population of the study is the top 50 companies of Tehran Stock Exchange, in the first quarter of 2021, and to calculate the size of centrality, we used the difference in the overall performance ...  Read More

Original Article
Modeling of Mortgage-Backed Securities based on stochastic processes

Mehrdokht Khani; Abdolsadeh Neisy

Articles in Press, Accepted Manuscript, Available Online from 23 November 2021

http://dx.doi.org/10.22054/jmmf.2021.62880.1039

Abstract
  In this paper, we first present a nonlinear structural model for pricing mortgage-backed securities. These derivatives are considered to be the primary cause of the 2008 financial crisis that was raised in the United States. We focus our work on pass-through mortgages, which pay both the principal and ...  Read More

Original Article
Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Hadi Bagherzadeh Valami

Articles in Press, Accepted Manuscript, Available Online from 31 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64760.1040

Abstract
  In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...  Read More

Original Article
Modelling the Block Trades Premium: Focusing on Refining and Petrochemical Companies

Mehran Kaviani; Ali Mohammad Ghanbari; Moslem Peymany

Articles in Press, Accepted Manuscript, Available Online from 29 December 2021

http://dx.doi.org/10.22054/jmmf.2021.64854.1041

Abstract
  Business expansions being engaged in variety of industries in purpose of getting bigger market share, role of corporate governance within the financial decision. One of the important issues in corporate governance is block trading with purpose of control or invest in target firms. If the plan is to acquire ...  Read More

Original Article
ASSESSING MACHINE LEARNING PERFORMANCE IN CRYPTOCURRENCY MARKET PRICE PREDICTION

Kamran Pakizeh; Arman Malek; Mahya Karimzadeh khosroshahi; Hasan Hamidi Razi

Articles in Press, Accepted Manuscript, Available Online from 07 February 2022

http://dx.doi.org/10.22054/jmmf.2022.65626.1046

Abstract
  Cryptocurrencies, which are digitally encrypted and decentralized, continue to attract attention of financial market players across the world. Because of high volatility in cryptocurrency market, predicting price of cryptocurrencies has become one of the most complicated fields in financial markets. ...  Read More

Research Article
Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market

Abdulrashid Jamnia; Mohammad Reza Sasouli; Emambakhsh Heidouzahi; Mohsen Dahmarde Ghaleno

Articles in Press, Accepted Manuscript, Available Online from 03 July 2022

http://dx.doi.org/10.22054/jmmf.2022.68318.1055

Abstract
  The capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is ...  Read More

Original Article
Investigating the Performance and Performance Consistency of Iranian Mutual Funds Using CAPM& CARHART’s Four- Factor Models; A Comparative Approach

Khadijeh Ghorbanidolatabadi; Hasan Ghalibaf Asl

Articles in Press, Accepted Manuscript, Available Online from 03 July 2022

http://dx.doi.org/10.22054/jmmf.2022.66434.1051

Abstract
  This study seeks to investigate the performance as well as the performance consistency of Iranian mutual funds during the current and subsequent periods. To this end, the Capital Asset Pricing Model along with CARHART’s four-factor model have been utilized to analyze the performance and performance ...  Read More

Original Article
Catastrophe Swap Valuation Based on Stochastic Damage and its Numerical Solution

Abdolsadeh Neisy; Nasrollah Mahmoudpour; Moslem Peymany; Meisam Amiri

Articles in Press, Accepted Manuscript, Available Online from 03 July 2022

http://dx.doi.org/10.22054/jmmf.2022.66733.1050

Abstract
  Pricing catastrophe swap as an instrument for insurance companies risk management, has received trivial attention in the previous studies, but in most of them, damage severities caused by the disaster has been considered to be fixed. In this study, through considering jumps for modeling the occurrence ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Dynamic behavior in a three coupled Kaldor-Kalecki delayed model

Cadavious M Jones; Chunhua Feng

Articles in Press, Accepted Manuscript, Available Online from 25 July 2022

http://dx.doi.org/10.22054/jmmf.2022.67626.1053

Abstract
  It is known that the original Kaldor-Kalecki model of business cycle was an example of a difference differential model. In the literature there are many results about this model and how it relates to an extended form representing an economic growth model and how the role of government and its simultaneous ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Using local outlier factor to detect fraudulent claims in auto insurance

Maryam Esna-Ashari; Farzan Khamesian; Farbod Khanizadeh

Articles in Press, Accepted Manuscript, Available Online from 25 July 2022

http://dx.doi.org/10.22054/jmmf.2022.68662.1058

Abstract
  ‎Given the significant increase in fraudulent claims and the resulting financial losses‎, ‎it is important to adopt a scientific approach to detect and prevent such cases‎. ‎In fact‎, ‎not equipping companies with an intelligent system to detect suspicious cases has led to ...  Read More

Journal of Mathematics and Modeling in Finance (JMMF)
Banking, Monetary target policy and Stock market shock

Hossein Eslami Mofid Abadi; Marzieh Ebrahimi Shaghaghi; Morteza Taherifard

Articles in Press, Accepted Manuscript, Available Online from 05 August 2022

http://dx.doi.org/10.22054/jmmf.2022.66097.1048

Abstract
  This research has been investigated, economy and balance-sheet effects of the money growth rate targeting. According to financial statements of the banking network and national accounts, using dynamic stochastic general equilibrium New Keynesian and statistical data for the period 1991-2019.For estimating ...  Read More

Original Article
A Numerical solution for the new model of time-fractional bond pricing‎: ‎Using a multiquadric approximation method

Sedighe sharifian; Ali R. Soheili; Abdolsadeh Neisy

Articles in Press, Accepted Manuscript, Available Online from 09 August 2022

http://dx.doi.org/10.22054/jmmf.2022.68274.1056

Abstract
  ‎The bond market is an important part of the financial markets‎ . ‎The coupon bonds are issued by companies or banks for increasing capital ‎, ‎and the interest is paid by banks or companies‎, ‎periodically ‎.‎ ‎In terms of maturities ‎, ‎bonds are divided ...  Read More