JournalTOCs

Journal of Mathematical Finance
Number of Followers: 7

This is an Open Access Journal

Open Access journal
ISSN (Print) 2162-2434 - ISSN (Online) 2162-2442
Published by Scientific Research Publishing

[243 journals]

Journal of Mathematical Finance Vol.7,No.3 (August 2017)
- Authors: service@scirp.org
  Abstract: Expectations, Means-Tested Subsidies, and Economic Performance during the Recession
  Labor Market, Means-Tested Subsidies, Recession, Neoclassical Growth Model
  PDF (Size:3099KB)
  DOI : 10.4236/jmf.2017.73029
  Nonparametric Model Calibration for Derivatives
  Local Stochastic Volatility, Calibration, Derivative Pricing, Partial Integro-Differential Equations
  PDF (Size:2071KB)
  DOI : 10.4236/jmf.2017.73030
  Computation of Greeks Using Binomial Tree
  Options, Greeks, Binomial Tree
  PDF (Size:1214KB)
  DOI : 10.4236/jmf.2017.73031
  The Distribution of the Time of Ruin, the Surplus Immediately before Ruin and Deficit at Ruin under Two Sided Risk Renewal Process
  Two Sided Jumps, Renewal Risk Process, Random Gain, Lindley Distribution, Erlangian Distribution
  PDF (Size:280KB)
  DOI : 10.4236/jmf.2017.73032
  Theories on the Relationship between Price Process and Stochastic Volatility Matrix with Compensated Poisson Jump Using Fourier Transforms
  Stochastic Differential Equation, Fourier Transform, Compensated Poisson Jump
  PDF (Size:450KB)
  DOI : 10.4236/jmf.2017.73033
  From Power Curves to Discriminative Power: Measuring Model Performance of LGD Models
  LGD Model, Lorenz Curve, Gini Index, Power Ratio
  PDF (Size:800KB)
  DOI : 10.4236/jmf.2017.73034
  Existence of Financial Equilibria in a General Equilibrium Model with Piece-Wise Smooth Production Manifolds
  Existence of Equilibria, Transversality, Linear Technology, General Equilibrium, Production, Regularization
  PDF (Size:349KB)
  DOI : 10.4236/jmf.2017.73035
  CVA under Bates Model with Stochastic Default Intensity
  CVA, Bates Model, Stochastic Default Intensity, Wrong Way Risk, Jump at Default
  PDF (Size:2697KB)
  DOI : 10.4236/jmf.2017.73036
  Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model
  Portfolio, Stochastic Delay Differential Equation, Stochastic Volatility, Hamilton-Jacobin-Bellman Equation
  PDF (Size:2651KB)
  DOI : 10.4236/jmf.2017.73037
  Discriminant Analysis of Demand-Side Roadblocks to Financial Inclusion in Northern Ghana
  Financial Inclusion, Discriminant Analysis, Demand-Side Roadblocks, Northern Ghana
  PDF (Size:1699KB)
  DOI : 10.4236/jmf.2017.73038
  Multidimensional Time Series Analysis of Financial Markets Based on the Complex Network Approach
  Complex Networks, Time Series, Price-Volume Correlations, Multidimensional
  PDF (Size:3996KB)
  DOI : 10.4236/jmf.2017.73039
  Multi-Period Portfolio Selection with No-Shorting Constraints: Duality Analysis
  Multi-Period Mean-Variance Formulation, Auxiliary Market, Martingale Method, Risk Neutral Probability, Duality, Optimal Trading Strategy
  PDF (Size:426KB)
  DOI : 10.4236/jmf.2017.73040
  The Distribution of Returns
  Statistical Distributions, Cauchy Distribution, Stock Market Returns, Accounting Ratios, Ratio Distrib...
  PubDate: 2017-06-19
Journal of Mathematical Finance Vol.7,No.2 (May 2017)
- Authors: service@scirp.org
  Abstract: The Economics of XVA Trading
  XVA Trading, Credit Value Adjustment, Funding Value Adjustment, Margin Value Adjustment, CVA, FVA, MVA
  PDF (Size:3743KB)
  DOI : 10.4236/jmf.2017.72013
  A Comparison Study of ADI and LOD Methods on Option Pricing Models
  Black-Scholes Equation, ADI, LOD, Option Pricing, Finite Difference Method
  PDF (Size:3475KB)
  DOI : 10.4236/jmf.2017.72014
  Analysis of Cross-Correlations in Emerging Markets Using Random Matrix Theory
  Random Matrix Theory, Cross-Correlations, Emerging Markets, Option Pricing, Eigenvalues Eigenvectors, Inverse Participation Ratios and Implied Volatility
  PDF (Size:486KB)
  DOI : 10.4236/jmf.2017.72015
  Application of Fast N-Body Algorithm to Option Pricing under CGMY Model
  Jump-Diffusion Model, CGMY Model, Option Pricing, Cartesian Treecode
  PDF (Size:730KB)
  DOI : 10.4236/jmf.2017.72016
  Optimal Investment Strategy under Stochastic Interest Rates
  Firm Investment Strategy, Interest Rates, Emerging Market Countries, Stochastic Optimal Control
  PDF (Size:1214KB)
  DOI : 10.4236/jmf.2017.72017
  Production Smoothing in Developed Countries
  Unit Root, Structural Breaks, Inventory Investment, BCa Confidence Intervals, Limiting Distribution
  PDF (Size:402KB)
  DOI : 10.4236/jmf.2017.72018
  Mathematical Analysis of Financial Model on Market Price with Stochastic Volatility
  Stochastic Volatility, Black Scholes Biases, Heston Model, Black-Scholes Equation, Calibration, Characteristic Functions
  PDF (Size:2195KB)
  DOI : 10.4236/jmf.2017.72019
  An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange
  Stockholm Stock Exchange, Volatility, GARCH Models, Leverage Effect, Forecasting
  PDF (Size:1700KB)
  DOI : 10.4236/jmf.2017.72020
  Foreign Direct Investment and Industrial Sector Performance: Assessing the Long-Run Implication on Economic Growth in Nigeria
  Foreign Direct Investment, Industrial Sector Output and Economic Growth
  PDF (Size:717KB)
  DOI : 10.4236/jmf.2017.72021
  Return Predictability and Strategic Trading under Symmetric Information
  Strategic Trading under Symmetric Information, Tend Chasing, Return Predictability
  PDF (Size:1699KB)
  DOI : 10.4236/jmf.2017.72022
  Commercial Bank Ownership Structure and Risk Preference
  The Corporate Governance Structure, Ownership Structure, Risk Preference
  PDF (Size:293KB)
  DOI : 10.4236/jmf.2017.72023
  A Stochastic Correlation Model with Time Change for Pricing Credit Spread Options
  Stochastic Correlation, Jacobi Process, Stochastic Time Change, Eigenfunction Expansion, Credit Spread Options
  PDF (Size:893KB)
  DOI : 10.4236/jmf.2017.72024
  Jumps in High-Frequency Data on the Chinese Stock Market
  High-Frequency Data, Activity Signature Function, Cojump, Nonparametric Method
  
  PubDate: 2017-05-09

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