Volume 3 (2023)
Volume 2 (2022)
Volume 1 (2021)

Number of Issues

7

Article View

26,879

PDF Download

24,855

View Per Article

308.95

PDF Download Per Article

285.69

Number of Submissions

152

Rejected Submissions

35

Reject Rate

23

Accepted Submissions

88

Acceptance Rate

58

Time to Accept (Days)

78

Number of Indexing Databases

13

Number of Reviewers

124

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
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

Research Article
Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment

Behzad Abbasi; Kazem Nouri

Articles in Press, Accepted Manuscript, Available Online from 15 September 2024

https://doi.org/10.22054/jmmf.2024.80898.1140

Abstract
  Option pricing is a fundamental issue in financial markets, and barrier options are a popular type of options that can become valuable or worthless when the underlying asset price reaches a predetermined level. A double barrier option consist two barriers, one situated above and the other below the prevailing ...  Read More

Research Article
European option pricing underlying two assets using PINN

Kimiya Tavakoli; Abdolsadeh Neisy; Alireza Zamanpour

Articles in Press, Accepted Manuscript, Available Online from 05 October 2024

https://doi.org/10.22054/jmmf.2024.79962.1135

Abstract
  Modeling and pricing European options are crucial tasks for financial companies seeking to determine the fair value of these instruments. Conventional methods, such as using Black-Scholes partial differential equations (PDEs), face challenges due to the high complexity involved and lack of data. To address ...  Read More

Research Article
Fraud detection in supplementary health insurance based on smart contract in blockchain ‎network

Abbas Raad; Reza Ofoghi; Ghadir Mahdavi

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

https://doi.org/10.22054/jmmf.2024.79731.1136

Abstract
  This study aims to examine the function of blockchain technology to detect fraud in healthcare insurance. we consider the literature on fraud in healthcare insurance, blockchain, and smart contracts to to test a newly structured software system based on blockchain technology for this purpose. Different ...  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

https://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

Finite difference method for basket option pricing under Merton model

Parisa Karami; Ali Safdari

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

https://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

Unusual behavior: Reversed Leverage Effect Bias

Saeid Tajdini; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 1 , March 2021, , Pages 77-88

https://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

TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS

Samaneh Bani Asadi; Azim Rivaz

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

https://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

Mathematical Modeling of Stock Price Behavior and Option Valuation

Moslem Peymany

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

https://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