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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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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](661) +[HTML](352) +[PDF](1805.98KB)
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](636) +[HTML](329) +[PDF](663.19KB)
A rough SABR formula
Masaaki Fukasawa and Jim Gatheral
2022, 1(1) : 81-97 doi: 10.3934/fmf.2021003 +[Abstract](2322) +[HTML](611) +[PDF](1277.5KB)
Multilayer heat equations: Application to finance
Andrey Itkin, Alexander Lipton and Dmitry Muravey
2022, 1(1) : 99-135 doi: 10.3934/fmf.2021004 +[Abstract](591) +[HTML](307) +[PDF](674.78KB)
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](719) +[HTML](354) +[PDF](483.72KB)



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