Volume 2 (2022)
Volume 1 (2021)

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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.

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.

According to the scientific agreement by Iranian Association of Islamic Finance (IAIF), the journal is supported in publishing research papers.

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

-MSRT listed journals 2021-2022

Research Article
A new hybrid method of dynamic mode decomposition and long short-term memory for financial market forecasting

Roya Karimkhani; Yousef Edrisi Tabriz; Ghasem Ahmadi

Volume 3, Issue 2 , December 2023, Pages 1-17


  ‎Forecasting price trends in financial markets is of particular importance for traders because price trends are inherently dynamic and forecasting these trends is complicated‎. In this study‎, ‎we present a new hybrid method based on combination of the dynamic mode decomposition method ...  Read More

Research Article
The artificial neural networks for investigation of correlation between economic variables and stock market indices

Mehdi Rezaei; Najmeh Neshat; ‎Abbasali Jafari Nodoushan; Amirmohammad Ahmadzadeh

Volume 3, Issue 2 , December 2023, Pages 19-35


  ‎In this research‎, ‎we investigated the interactive effects between the macroeconomic variables of currency‎, ‎gold‎, ‎and oil on two indicators of total and equal weighted indices considering the importance of correlation between economic variables and stock market indices‎. ...  Read More

Research Article
Comparative analysis on forecasting methods and how to choose a suitable one: case study in financial time series

Mahdi Goldani

Volume 3, Issue 2 , December 2023, Pages 37-61


  Forecasting in the financial markets is vital for informed decision-making, risk management, efficient capital allocation, asset valuation, and economic stability. This study thoroughly examines forecasting techniques to predict the 30-day closing prices of APPLE in a select group of 100 prominent companies ...  Read More

Research Article
An online portfolio selection algorithm using beta risk measure and fuzzy clustering

Matin Abdi; Seyyed Babak Ebrahimi; Amir Abbas Najafi

Volume 3, Issue 2 , December 2023, Pages 63-76


  An online portfolio selection algorithm has been presented in this research. Online portfolio selection algorithms are concerned with capital allocation to several stocks to maximize the portfolio return over the long run by deciding the optimal portfolio in each period. Despite other online portfolio ...  Read More

Research Article
An analysis of volatility and herd behavior among investors in the S&P500 stock market index, Bitcoin, and gold markets

Mohammad Qezelbash; Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud; Mohammad Farajnezhad

Volume 3, Issue 2 , December 2023, Pages 77-92


  In recent years, cryptocurrency has attracted more attention and is a new option in the economy and the financial sector. The purpose of this study is to the volatility and “herd behavior” of the cryptocurrency, gold, and stock markets in the US. This research is aimed at investor “herd ...  Read More

Research Article
Modeling auto insurance frequency using K-means and mixture regression

Maryem Jaziri; Afif Masmoudi

Volume 3, Issue 2 , December 2023, Pages 93-109


  Given the importance of policyholder classification in helping to make a good decision in predicting optimal premiums for actuaries.This paper proposes, first, an optimal construction of policyholder classes. Second, Poisson-negative Binomial mixture regression model is proposed as an alternative to ...  Read More

Research Article
The effect of audit committee financial expertise on relationship between companies irresponsibility and stock price crash ‎risk

Ali Tamoradi; Zoleikha Morsaliarzanagh; Zeinab Rezaei; Ebrahim Abbasi

Volume 3, Issue 2 , December 2023, Pages 111-128


  The present study aims to investigate the effect of corporate irresponsibility on stock price crash risk by emphasizing the moderating role of financial expertise of the audit committee in companies listed on the Tehran Stock Exchange. To estimate the multiple regression model to test the hypothesis, ...  Read More

Research Article
Unraveling the impact of Iranian currency exchange on central bank digital currency: navigating through history-oriented bias

Majid Lotfi Ghahroud; Farzad Jafari; Saeid Tajdini; Mohammad Farajnezhad; Mohammad Qezelbash

Volume 3, Issue 2 , December 2023, Pages 129-148


  This study examines the dynamics of the Iranian foreign exchange market and its impact on the exchange rate used by traders, and not the official rate in Iran. The study aims to extend Fama's theory of market efficiency and proposes a new model to define the opposite point called "Historical bias". The ...  Read More

Research Article
Disclosure of material information and dividend

Shohre Hadidifard; Mona Parsaei; Nafiseh Shahmoradi

Volume 3, Issue 2 , December 2023, Pages 149-160


  The substitution hypothesis postulates that various corpo- rate governance forms and dividend disbursements serve as alternatives. Given that transparent information disclosure mitigates agency issues by lessening information asymmetry and fortifying corporate governance, this study aims to explore the ...  Read More

Research Article
Cross-sectional estimation of loss reserve for cargo insurance market: the case of cargo insurance in Iran

Parissa Ghonji; Ghadir Mahdavi; Mitra Ghanbarzadeh

Volume 3, Issue 2 , December 2023, Pages 161-176


  Insurance companies regularly estimate loss reserves due to delays in settling claims. These delays depend on the time taken from claim filing to settlement. The study aims to estimate reported loss reserves through cross-sectional regression using cargo insurance market data. The model considers written ...  Read More

Research Article
Life settlements pricing based on fuzzy interest rates ‎arisen ‎‎from‎ ‎life ‎insurance‎ ‎premiums

Mahboubeh Aalaei; Khadijeh Ebrahimnezhad

Volume 3, Issue 2 , December 2023, Pages 177-188


  ‎In this article, fuzzy random variables are used to model interest rate uncertainty used in the calculation of whole life insurance premiums, and calculate the effect of this uncertainty on the price of life settlements. The fuzzy results obtained from deterministic and probabilistic pricing approaches ...  Read More

Research Article
A dynamical system model-driven approach to pricing with smart volatility: a case study of catastrophe bonds pricing for China’s flood

S. Pourmohammad Azizi; RajabAli Ghasempour; Amirhossein Nafei

Volume 3, Issue 2 , December 2023, Pages 191-207


  This study explores the application of dynamic systems for modeling and valuing catastrophe bonds to establish a more intelligent and adaptive approach to determining their volatility parameter. These financial instruments hold significant importance for insurance companies in safeguarding against the ...  Read More

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

Nooshin Hakamipour

Articles in Press, Accepted Manuscript, Available Online from 16 April 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 19 April 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 07 May 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 09 May 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 06 June 2024


  ‎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

Articles in Press, Accepted Manuscript, Available Online from 18 May 2024


  ‎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

Articles in Press, Accepted Manuscript, Available Online from 25 May 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 13 June 2024


  ‎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

Articles in Press, Accepted Manuscript, Available Online from 19 June 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 29 June 2024


  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

Articles in Press, Accepted Manuscript, Available Online from 10 July 2024


  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

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 37-53


  ‎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

Finite difference method for basket option pricing under Merton model

Parisa Karami; Ali Safdari

Volume 1, Issue 1 , March 2021, , Pages 69-73


  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

Impacts of No Short Selling and Noise Reduction on Portfolio Allocation

Soudeh Sheybanifar

Volume 1, Issue 1 , March 2021, , Pages 91-115


  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 $theta$-method for Nonlinear Jump Diffusion Systems

Ali R. Soheili; Yasser Taherinasab; Mohammad Amini

Volume 1, Issue 1 , March 2021, , Pages 119-141


  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


Samaneh Bani Asadi; Azim Rivaz

Volume 1, Issue 1 , March 2021, , Pages 145-155


  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