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Robust Optimal Portfolio and Bank Capital Adequacy Management
(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 ...
Crank Nicolson Approach for the Valuation of the Barrier Options
(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 ...
Salary Determinants for Higher Institutions of Learning in Kenya
(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 ...
A Co-Integration Analysis of the Interdependencies between Crude Oil and Distillate Fuel Prices
(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 ...
Indifference Pricing of Contingent Claims on NIG L´evy Model
(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 Poisson-Gamma Model for Zero Inflated Rainfall Data
(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 Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives
(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
(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 ...
Regime-Switching Temperature Dynamics Model for Weather Derivatives
(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 ...
Optimal Investment Strategy under Stochastic Interest Rates
(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 ...