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Mathematical Finance is a peer-reviewed journal published by Wiley, covering Stochastic processes and financial applications, Economic theories and models, Financial Markets and Investment Strategies.
| Publisher | Wiley |
|---|---|
| Reference style | Author–year (Chicago) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Mathematical Finance 12 (3): 45–58.
Formats any DOI in Mathematical Finance style. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Economic theories and models Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization |
| ISSN | 0960-1627 |
| Citation impact (2-yr) | 1.37 |
| h-index | 128 |
| i10-index | 670 |
| Total citations | 71,816 |
| Article processing charge | $3,660 |
| Top institutions publishing here | Columbia University |
| Journal website | onlinelibrary.wiley.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties “coherent.” We examine the measures of risk provided and the related…
This paper presents a consistent and arbitrage‐free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero‐coupon bond is taken to be a maturity‐dependent affine combination of the selected “basis” set of yields. We…
We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).
A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not explode, and are positive and mean reverting. Pricing of caps and floors is consistent with the Black formulas used in the market. Swaptions are priced with closed formulas that reduce…
This article develops an option pricing model and its corresponding delta formula in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. the development utilizes the locally risk‐neutral valuation relationship (LRNVR). the LRNVR is shown to hold under certain combinations of preference and distribution assumptions. the GARCH option pricing model is capable…
