eISSN:
 2769-6715

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Volume 1, 2022





FMF Flyer: showing all essential information of the journal.
Frontiers of Mathematical Finance (FMF) invites submissions of developments in the Mathematical Sciences of relevance to the field of Mathematical Finance, especially those that move the frontier forward. The developments can come from Mathematics, Stochastics, Engineering, Physics, Computer Science, Statistics, Economics, Actuarial Science, or other quantitative disciplines. The financial applications can include Valuation, Risk Allocation, Hedging, Risk Management, Trading, Regulation, Global Macro Financial Policy, and others. Papers that contribute to a better theoretical understanding of the discipline are especially welcome. The research investigations should be supported by rigorous argumentation and grounded in theoretical, empirical, or experimental foundations.

  • The Journal will publish four issues per year in March, June, September, and December.
  • FMF is an Open Access publication.
  • Publishes online only.
  • Published by AIMS and issued by the Scientific Association of Mathematical Finance.

Summit Meeting Launching FMF

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Implied price processes anchored in statistical realizations
Dilip B. Madan and King Wang
2022, 1(3) : 321-342 doi: 10.3934/fmf.2021008 +[Abstract](258) +[HTML](138) +[PDF](439.08KB)
$ G $-expectation approach to stochastic ordering
Sel Ly and Nicolas Privault
2022, 1(3) : 343-374 doi: 10.3934/fmf.2021012 +[Abstract](273) +[HTML](221) +[PDF](525.9KB)
High dimensional Markovian trading of a single stock
Robert Elliott, Dilip B. Madan and King Wang
2022, 1(3) : 375-396 doi: 10.3934/fmf.2022001 +[Abstract](165) +[HTML](108) +[PDF](804.62KB)
Asset price bubbles in markets with transaction costs
Francesca Biagini and Thomas Reitsam
2022, 1(3) : 397-424 doi: 10.3934/fmf.2022002 +[Abstract](140) +[HTML](79) +[PDF](526.38KB)
Positive XVAs
Stéphane Crépey
2022, 1(3) : 425-465 doi: 10.3934/fmf.2022003 +[Abstract](212) +[HTML](59) +[PDF](545.31KB)
Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR
Dániel Ágoston Bálint and Martin Schweizer
2022, 1(2) : 249-286 doi: 10.3934/fmf.2021010 +[Abstract](209) +[HTML](102) +[PDF](615.8KB) Cited By(0)
Multilayer heat equations: Application to finance
Andrey Itkin, Alexander Lipton and Dmitry Muravey
2022, 1(1) : 99-135 doi: 10.3934/fmf.2021004 +[Abstract](996) +[HTML](517) +[PDF](674.78KB) Cited By(0)
Implied price processes anchored in statistical realizations
Dilip B. Madan and King Wang
2022, 1(3) : 321-342 doi: 10.3934/fmf.2021008 +[Abstract](258) +[HTML](138) +[PDF](439.08KB) Cited By(0)
A rough SABR formula
Masaaki Fukasawa and Jim Gatheral
2022, 1(1) : 81-97 doi: 10.3934/fmf.2021003 +[Abstract](3045) +[HTML](895) +[PDF](1277.5KB) Cited By(0)
Asset price bubbles in markets with transaction costs
Francesca Biagini and Thomas Reitsam
2022, 1(3) : 397-424 doi: 10.3934/fmf.2022002 +[Abstract](140) +[HTML](79) +[PDF](526.38KB) Cited By(0)
Asset price bubbles: Invariance theorems
Robert Jarrow, Philip Protter and Jaime San Martin
2022, 1(2) : 161-188 doi: 10.3934/fmf.2021006 +[Abstract](908) +[HTML](462) +[PDF](477.47KB) Cited By(0)
Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Michael C. Fu, Bingqing Li, Rongwen Wu and Tianqi Zhang
2022, 1(1) : 137-160 doi: 10.3934/fmf.2021005 +[Abstract](1278) +[HTML](584) +[PDF](483.72KB) Cited By(0)
$ G $-expectation approach to stochastic ordering
Sel Ly and Nicolas Privault
2022, 1(3) : 343-374 doi: 10.3934/fmf.2021012 +[Abstract](273) +[HTML](221) +[PDF](525.9KB) Cited By(0)
Positive XVAs
Stéphane Crépey
2022, 1(3) : 425-465 doi: 10.3934/fmf.2022003 +[Abstract](212) +[HTML](59) +[PDF](545.31KB) Cited By(0)
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Andrey Itkin and Dmitry Muravey
2022, 1(1) : 53-79 doi: 10.3934/fmf.2021002 +[Abstract](1053) +[HTML](555) +[PDF](663.19KB) Cited By(0)
A rough SABR formula
Masaaki Fukasawa and Jim Gatheral
2022, 1(1) : 81-97 doi: 10.3934/fmf.2021003 +[Abstract](3045) +[HTML](895) +[PDF](1277.5KB) PDF Downloads(631)
Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Michael C. Fu, Bingqing Li, Rongwen Wu and Tianqi Zhang
2022, 1(1) : 137-160 doi: 10.3934/fmf.2021005 +[Abstract](1278) +[HTML](584) +[PDF](483.72KB) PDF Downloads(196)
Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing
Walter Farkas and Ludovic Mathys
2022, 1(1) : 1-51 doi: 10.3934/fmf.2021001 +[Abstract](1247) +[HTML](672) +[PDF](1805.98KB) PDF Downloads(194)
Quadratic variation, models, applications and lessons
Dilip B. Madan and King Wang
2022, 1(2) : 189-217 doi: 10.3934/fmf.2021007 +[Abstract](647) +[HTML](314) +[PDF](1569.01KB) PDF Downloads(180)
Asset price bubbles: Invariance theorems
Robert Jarrow, Philip Protter and Jaime San Martin
2022, 1(2) : 161-188 doi: 10.3934/fmf.2021006 +[Abstract](908) +[HTML](462) +[PDF](477.47KB) PDF Downloads(151)
Multilayer heat equations: Application to finance
Andrey Itkin, Alexander Lipton and Dmitry Muravey
2022, 1(1) : 99-135 doi: 10.3934/fmf.2021004 +[Abstract](996) +[HTML](517) +[PDF](674.78KB) PDF Downloads(139)
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Andrey Itkin and Dmitry Muravey
2022, 1(1) : 53-79 doi: 10.3934/fmf.2021002 +[Abstract](1053) +[HTML](555) +[PDF](663.19KB) PDF Downloads(130)
$ G $-expectation approach to stochastic ordering
Sel Ly and Nicolas Privault
2022, 1(3) : 343-374 doi: 10.3934/fmf.2021012 +[Abstract](273) +[HTML](221) +[PDF](525.9KB) PDF Downloads(69)
Asset price bubbles in markets with transaction costs
Francesca Biagini and Thomas Reitsam
2022, 1(3) : 397-424 doi: 10.3934/fmf.2022002 +[Abstract](140) +[HTML](79) +[PDF](526.38KB) PDF Downloads(56)
Implied price processes anchored in statistical realizations
Dilip B. Madan and King Wang
2022, 1(3) : 321-342 doi: 10.3934/fmf.2021008 +[Abstract](258) +[HTML](138) +[PDF](439.08KB) PDF Downloads(48)

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