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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](916) +[HTML](539) +[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](861) +[HTML](452) +[PDF](663.19KB)
A rough SABR formula
Masaaki Fukasawa and Jim Gatheral
2022, 1(1) : 81-97 doi: 10.3934/fmf.2021003 +[Abstract](2659) +[HTML](740) +[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](807) +[HTML](418) +[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](1041) +[HTML](485) +[PDF](483.72KB)
Multilayer heat equations: Application to finance
Andrey Itkin, Alexander Lipton and Dmitry Muravey
2022, 1(1) : 99-135 doi: 10.3934/fmf.2021004 +[Abstract](807) +[HTML](418) +[PDF](674.78KB) Cited By(0)
Implied price processes anchored in statistical realizations
Dilip B. Madan and King Wang
2020, 0(0) : 0 doi: 10.3934/fmf.2021008 +[Abstract](65) +[HTML](30) +[PDF](439.0KB) Cited By(0)
A rough SABR formula
Masaaki Fukasawa and Jim Gatheral
2022, 1(1) : 81-97 doi: 10.3934/fmf.2021003 +[Abstract](2659) +[HTML](740) +[PDF](1277.5KB) Cited By(0)
Asset price bubbles: Invariance theorems
Robert Jarrow, Philip Protter and Jaime San Martin
2021, 0(0) : 0 doi: 10.3934/fmf.2021006 +[Abstract](666) +[HTML](336) +[PDF](561.47KB) 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](1041) +[HTML](485) +[PDF](483.72KB) Cited By(0)
Convergence of deep fictitious play for stochastic differential games
Jiequn Han, Ruimeng Hu and Jihao Long
2022, 0(0) : 0 doi: 10.3934/fmf.2021011 +[Abstract](15) +[HTML](6) +[PDF](811.31KB) 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](861) +[HTML](452) +[PDF](663.19KB) Cited By(0)
Quadratic variation, models, applications and lessons
Dilip B. Madan and King Wang
2021, 0(0) : 0 doi: 10.3934/fmf.2021007 +[Abstract](413) +[HTML](202) +[PDF](1572.45KB) Cited By(0)
Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR
Dániel Ágoston Bálint and Martin Schweizer
2022, 0(0) : 0 doi: 10.3934/fmf.2021010 +[Abstract](28) +[HTML](17) +[PDF](615.63KB) Cited By(0)
Acceptability maximization
Gabriela Kováčová, Birgit Rudloff and Igor Cialenco
2020, 0(0) : 0 doi: 10.3934/fmf.2021009 +[Abstract](96) +[HTML](37) +[PDF](864.46KB) Cited By(0)
A rough SABR formula
Masaaki Fukasawa and Jim Gatheral
2022, 1(1) : 81-97 doi: 10.3934/fmf.2021003 +[Abstract](2659) +[HTML](740) +[PDF](1277.5KB) PDF Downloads(536)
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](916) +[HTML](539) +[PDF](1805.98KB) PDF Downloads(164)
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](1041) +[HTML](485) +[PDF](483.72KB) PDF Downloads(160)
Quadratic variation, models, applications and lessons
Dilip B. Madan and King Wang
2021 doi: 10.3934/fmf.2021007 +[Abstract](413) +[HTML](202) +[PDF](1572.45KB) PDF Downloads(107)
Multilayer heat equations: Application to finance
Andrey Itkin, Alexander Lipton and Dmitry Muravey
2022, 1(1) : 99-135 doi: 10.3934/fmf.2021004 +[Abstract](807) +[HTML](418) +[PDF](674.78KB) PDF Downloads(106)
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](861) +[HTML](452) +[PDF](663.19KB) PDF Downloads(101)
Asset price bubbles: Invariance theorems
Robert Jarrow, Philip Protter and Jaime San Martin
2021 doi: 10.3934/fmf.2021006 +[Abstract](666) +[HTML](336) +[PDF](561.47KB) PDF Downloads(98)
Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR
Dániel Ágoston Bálint and Martin Schweizer
2022 doi: 10.3934/fmf.2021010 +[Abstract](28) +[HTML](17) +[PDF](615.63KB) PDF Downloads(18)
Acceptability maximization
Gabriela Kováčová, Birgit Rudloff and Igor Cialenco
2020 doi: 10.3934/fmf.2021009 +[Abstract](96) +[HTML](37) +[PDF](864.46KB) PDF Downloads(15)
Implied price processes anchored in statistical realizations
Dilip B. Madan and King Wang
2020 doi: 10.3934/fmf.2021008 +[Abstract](65) +[HTML](30) +[PDF](439.0KB) PDF Downloads(8)

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