Applied Mathematical Finance

Aims & Scope

The journal encourages the confident use of applied mathematics and mathematical modelling in finance.

The journal publishes papers on the following: modelling of financial and economic primitives (interest rates, asset prices etc); modelling market behaviour; modelling market imperfections; pricing of financial derivative securities; hedging strategies; numerical methods; financial engineering.

The journal encourages communication between finance practitioners, academics and applied mathematicians.

Both theoretical and empirical research are welcomed, as are papers on emerging areas of mathematical finance and interdisciplinary topics.

The journal seeks papers reviewing the development of significant practical tools, algorithms and new products.The modelling or solution of problems should demonstrate the capacity for generalization.

Original and substantial pieces of research resulting in open problems are welcome; this will also be a forum for the airing of new problems and new areas of activity.

View Aims & Scope

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Metrics & Ranking

Journal Rank

Year	Value
2024	10451

Journal Citation Indicator

Year	Value
2024	85

SJR (SCImago Journal Rank)

Year	Value
2024	0.557

Quartile

Year	Value
2024	Q2

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Abstracting & Indexing

Journal is indexed in leading academic databases, ensuring global visibility and accessibility of our peer-reviewed research.

• Scopus
• Google Scholar

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Subjects & Keywords

Journal’s research areas, covering key disciplines and specialized sub-topics in Economics, Econometrics and Finance and Mathematics, designed to support cutting-edge academic discovery.

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Most Cited Articles

The Most Cited Articles section features the journal's most impactful research, based on citation counts. These articles have been referenced frequently by other researchers, indicating their significant contribution to their respective fields.

• Pricing and hedging derivative securities in markets with uncertain volatilities

  Citation: 443

  Authors: M., A., A.

• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

  Citation: 346

  Authors: Álvaro, Marcelo G.

• Optimal execution with nonlinear impact functions and trading-enhanced risk

  Citation: 341

  Authors: Robert F.

• On modelling and pricing weather derivatives

  Citation: 261

  Authors: Peter, Boualem, David

• Uncertain volatility and the risk-free synthesis of derivatives

  Citation: 238

  Authors: T. J.

• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

  Citation: 194

  Authors: Fred Espen, Jan, Thilo

• Volatility skews and extensions of the Libor market model

  Citation: 164

  Authors: Leif, Jesper

• Calibrating volatility surfaces via relative-entropy minimization

  Citation: 161

  Authors: Marco, Craig, Richard, Dominick

• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives

  Citation: 144

  Authors: Fred Espen, JÅ«ratÄ—

• Multigrid for American option pricing with stochastic volatility

  Citation: 142

  Authors: Nigel, Kevin

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