Research and Publications: Recent submissions

Now showing items 621-640 of 1146

    • Foreign Exchange Derivative Pricing with Stochastic Correlation 

      Nabirye, Topilista; Ngare, Philip; Mungatu, Joseph (Scientific Research Publishing, 2016)
      Financial markets are known to be far from deterministic but stochastic and hence time dependent correlation tends to suit the markets. We price for European Options by using three dimensional assets under stochastic ...

    • ANALYSIS OF THE CONSUMERS’ SWITCHING BEHAVIOR FOR DIGITAL SET TOP BOXES IN KENYA 

      Wanyonyi, Edwin; Wandia, Mary; Ngare, Philip (DBA Africa Management Review, 2016)
      We determine the consumers’ selection criteria and explore the effectiveness of selected attitudinal, behavioral and demographic variables in discriminating between switchers and continuers of particular digital set ...

    • Salary Determinants for Higher Institutions of Learning in Kenya 

      Muturi, Bernard; Ngare, Philip (2014)
      There has been a debate over the years on which category of salary determinants best predicts an employee salary, that is, whether it is organizational characteristics or individual attributes. This study adopts a hybrid ...

    • Indifference Pricing of Contingent Claims on NIG L´evy Model 

      Ngare, Philip (2012)
      We develop an attractive and tractable model to describe the financial time series of stock prices observed at the Nairobi exchange market then price financial derivatives on the underlying stock. The stock price process is ...

    • Crank Nicolson Approach for the Valuation of the Barrier Options 

      Babasola, O.L.; Ngare, Philip; Owoloko, E.A. (Research India Publications, 2018)
      Barrier options are considered to be cheaper than the standard options as they provide lower premiums which make them to be attractive to hedgers in the financial market. In this article, the numerical procedure for the ...

    • Modelling Inflation Rate Volatility in Kenya Using Arch -Type Model Family 

      Okeyo, Johnson; Ivivi, Mwaniki; Ngare, Philip (2016)
      This paper describe the empirical study based on financial time series modelling with special application to modelling inflation data for Kenya. Specifically the theory of time series is modelled and applied to the ...

    • Pricing floating strike lookback put option under heston stochastic volatility 

      Wirtu, Teferi Dereje; Ngare, Philip; Kube, Ananda (International Research Publication House, 2017)
      The pricing problems of the exotic options in the finance do not have the analytic solutions under stochastic volatility and so it is difficult to calculate the option prices or at least it requires much of time to compute ...

    • Determinants of Mobile Money Remittance in East Africa 

      Correia, Oscar; Ngare, Philip; Sindiga, Durvine; Otwoma, Desmond (2017)
      Globally, remittances represent an important flow of international financial resources. In the East African trading bloc, the dynamic population movements between countries has led to widespread distribution of population ...

    • A Multicurve Cross-Currency LIBOR Market Model 

      Wamwea, Charity; Ngare, Philip; Bidima, Martin Le Doux Mbele (Hindawi, 2019)
      Afer the dawn of the August 2007 fnancial crisis, banks became more aware of fnancial risk leading to the appearance of nonnegligible spreads between LIBOR and OIS rates and also between LIBOR of diferent tenors.Tis ...

    • Dynamic Credit Quality Evaluation with Social Network Data 

      Sewe, Stanley; Ngare, Philip; Weke, Patrick (Hindawi, 2019)
      We investigate the fltering problem where the borrower’s time varying credit quality process is estimated using continuous time observation process and her (in this paper we refer to the borrower as female and the lender ...

    • Crop yield probability density forecasting via quantile random forest and Epanechnikov Kernel function 

      Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis (2019)
      A reliable and accurate forecasting method for crop yields is very important for the farmer, the economy of a country, and the agricultural stakeholders. However, due to weather extremes and uncertainties as a result of ...

    • Modelling Risk of Financing Agribusiness in Kenya 

      Ngare, Philip; Kweyu, Martin; Huka, Chris (2015)
      We review agricultural financing strategies in developed and developing economies in light of the risks that agricultural businesses face due to variations in weather conditions among other challenges. We specifically ...

    • Determinants of Consumers’ Adoption of Mobile Parking Payment Services in Kenya 

      Komo, Lee; Kyando, Eusebius; Ngare, Philip (Sabinet, 2016)
      We conduct a study on consumers‟ satisfaction and acceptance of mobile parking service: EJIJIPAY, in Nairobi City-Kenya. We begin by assessing consumers‟ satisfaction of EJIJIPAY since its launch. We perform factor ...

    • Access to Finance for Women Entrepreneurs in Kenya: Challenges and Opportunities 

      Manwari, Louisa; Ngare, Philip; Kipsang, Rotuno (Scholarlink Research Institute, 2017)
      This study investigated the challenges and opportunities affecting access to finance for women entrepreneurs in Kenya with the aim of making positive contributions to the Kenyan economic recovery strategies and ...

    • Effect of Liberalized Financial Policy on Commercial Banks Performance in Kenya 

      Makena, Wangari; Ngare, Philip; Mulindwa, Kizito; Wairia, Mary (Scholarlink Research Institute, 2017)
      The objective of this study is to examine the effect of liberalized financial policy on commercial banks performance in Kenya. This study moves away from popular scholarly discussion focused on the impact financial controls ...

    • Optimal Investment Strategy under Stochastic Interest Rates 

      Mtunya, Adeline Peter; Ngare, Philip; Nkansah-Gyekye, Yaw (Scientific Research Publishing, 2017)
      We study how firms’ management can make effective investment decision under the influence of random interest rates. We define the threshold interest rate value below which investment can be effectively done and above ...

    • A Poisson-Gamma Model for Zero Inflated Rainfall Data 

      Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo (Hindawi, 2018)
      Rainfall modeling is signifcant for prediction and forecasting purposes in agriculture, weather derivatives, hydrology, and risk and disaster preparedness. Normally two models are used to model the rainfall process as a ...

    • Regime-Switching Temperature Dynamics Model for Weather Derivatives 

      Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis (Hindawi, 2018)
      Weather is a key production factor in agricultural crop production and at the same time the most significant and least controllable source of peril in agriculture. These effects of weather on agricultural crop production ...

    • Pricing Interest Rate Caps and Floors under the Pearson-Sun Interest Rate Model 

      Ghaniyyu, Abubakari Abdul; Ngare, Philip; Mung’atu, Joseph (2018)
      Interest rate derivatives are largely used to manage interest rate risk. For this reason, the accuracy of their pricing is very important as mispricing can result in huge financial losses. In this study, the Pearson-Sun model, ...

    • Expansion formulas for European quanto options in a local volatility FX-LIBOR model 

      Hok, Julien; Ngare, Philip; Papapantoleon, Antonis (World Scientific Publishing Company, 2018)
      We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure ...