Browsing School of Pure and Applied Sciences by Author "Ngare, Philip"

Now showing items 1-20 of 21

    • 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 ...

    • Analyzing Expected Returns of a Stock Using The Markov Chain Model and the Capital Asset Pricing Model 

      Adesokan, Ibrahim; Ngare, Philip; Kilishi, Abdulhakeem (2017)
      The chances of success of an investor in the stock market depends heavily on the decisions he takes based on his knowledge of the behavior of the stock market. In this study, the behavior of a stock on the Nigerian stock ...

    • A Co-Integration Analysis of the Interdependencies between Crude Oil and Distillate Fuel Prices 

      Aduda, Jane; Weke, Patrick; Ngare, Philip (Scientific Research Publishing, 2018)
      The co-evolution and co-movement of financial time series are of utmost importance in contemporary finance, especially when considering the joint behaviour of asset price realizations. The ability to model interdependencies ...

    • 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 ...

    • 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 ...

    • Financial Literacy and Retirement Planning in the Informal Sector in Kenya 

      Githui, Thomas; Ngare, Philip (2014)
      Old age dependency has become a major issue of concern to governments today. This is because a large number of retirees lack any form of regular income to sustain them in retirement. Kenya has one of the highest levels ...

    • 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 ...

    • 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 ...

    • A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives 

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

    • LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION 

      Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo (Pushpa Publishing House, 2018)
      In this study we develop a Lévy process driven Ornstein-Uhlenbeck daily temperature model. The model takes into account a time dependent speed of mean reversion. It is statistically demonstrated that historical data and ...

    • 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 ...

    • 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 ...

    • 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 ...

    • A Poisson-Gamma Model for Zero Inflated Rainfall Data 

      Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo (Hindawi, 2018)
      Rainfall modeling is significant 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 chain ...

    • 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, ...

    • 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 ...

    • A Reduced Form of the Three Factor Commodity Derivative Valuation Model 

      Dibessa, Betiglu Mezgebu; Ngare, Philip; Orwa, George Otieno (Research India Publications, 2016)
      This study build a reduced form of three factor valuation model by explicitly taking into account the unobservable character of the convenience yield. The spot priceprocess,theinstantaneousconvenienceyieldandCIRinterestr ...

    • 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 ...

    • Robust Optimal Portfolio and Bank Capital Adequacy Management 

      Irakoze, I.; Ikpe, Dennis C.; Ngare, Philip (Research India Publications, 2018)
      The task of jointly estimating an optimal portfolio and bank capital adequacy ratio under model uncertainties is a real and challenging problem to portfolio managers in the banking industry. In this paper, we investigate ...