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; ‎Amir Mohammad Ahmadzade semeskande

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 routinely conduct assessments to estimate loss reserves, crucial for anticipating liabilities arising from claim settlements. These estimations are particularly sensitive to the temporal dynamics of claims processing, encompassing the duration from filing to resolution. In this study, ...  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

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

Parisa Nabati

Volume 1, Issue 1 , March 2021, , Pages 3-10


  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

‎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 57-66


  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

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

Mathematical Modeling of Stock Price Behavior and Option Valuation

Moslem Peymany

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


  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