Browsing School of Pure and Applied Sciences by Author "Kube, Ananda"
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Conditional CAPM in Financial Risk Management: A Quantile Autoregression approach
Kube, Ananda; Leo, Odongo; Peter, Mwita (2012)The study aims to provide a comprehensive description of dependence pattern of a stock by studying a range of betas derived as quantiles of conditional return distribution using quantile regression based on moving window ... -
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 ...