Strathmore Institute of Mathematical Sciences (SIMs)
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The Strathmore Institute of Mathematical Sciences(SIMs) succeeds the Centre of Applied Research in Mathematical Sciences (CARMS). It is committed to delivering high quality graduate education and research through providing a stimulating research environment and continuous support for our researchers and students. SIMS promotes and develops research and consulting in the mathematical sciences, including statistics, mathematical biology, mathematical finance and mathematics education
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SIMs Publications [33]
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Frontier stock market linkages: an African perspective
(Strathmore University, 2018)Volatility modelling in the multivariate case is becoming an important area of study as the world becomes increasingly more integrated and as barriers to entry in frontier markets come down. Understanding how frontier ... -
Determination of optimal public debt ceiling for Kenya using stochastic control
(Strathmore University, 2018)Public debt is a key economic variable. It is the totality of public and publicly guaranteed debt owed by any level of government to either citizens or foreigners or both. Due to recent debt crises in developed countries ... -
Efficiency of the markov regime switching GARCH Model in modelling volatility for tea prices
(Strathmore University, 2018)This study examines the ability of the Markov Regime Switching GARCH model, in comparison with the univariete GARCH models, in modelling and forecasting price volatility of the tea traded at the Mombasa Tea Auction within ... -
Exotic derivatives pricing using copula-based martingale approach
(Strathmore University, 2018)This study examines the pricing of bivariate exotic derivatives, namely: capped spread option and bivariate digital options, using martingale approach and pair copulae formulations. Pair copulae is used to capture the joint ... -
The Effect of the fluctuation of the Chinese Yuan on the returns of stocks traded in the Kenyan, Ugandan and Tanzanian markets
(Strathmore University, 2018)This paper investigated the relationship between Kenya, Tanzanian and Ugandan ex-change rates and the returns of three stocks traded in all three markets. The exchange rates analyzed were from the three countries versus ... -
Bad beta, good beta and stochastic volatility in an inter-temporal asset pricing model for the Kenyan stock market
(Strathmore University, 2018)The study seeks to investigate whether bad beta (sensitivity to cash-ow news), good beta (sensitivity to discount rate news) and volatility news are significantly priced in the Kenyan stock market. A comparison of the 3 ... -
Valuation of a locational spread option: the case of tomatoes in Nairobi and Mombasa Counties in Kenya
(Strathmore University, 2018)Locational Spread Options are financial instruments that can be used by traders wishing to purchase but not physically acquire produce; to hedge their risks, and / or to take speculative positions, based on their knowledge ... -
Measuring and evaluating factors of dynamic term structure models for value-at-risk estimation in the Kenyan market
(Strathmore University, 2018)The growth of the Kenyan fixed income market and the growing need for investors to diversify the risk in the portfolios has driven the need to quantify the risk associated with the fixed income assets. The measures that ... -
A Quantitative analysis of the Kenyan students' loan default
(Strathmore University, 2018)Higher education capacity, quality, and availability has driven more countries to turn to student loan schemes in order to assist students whose families are unable to meet their university costs. Ideally, all students ... -
Value creation in Kenyan e-businesses
(United States International University, 2008)E-businesses promise new avenues for creation of wealth. According to Amit and Zott (200 1), this value creation potential arises from the combination and exchange of resources . While research on value creation in ... -
Construction of a zero-coupon yield curve for the Nairobi Securities Exchange and its application in pricing derivatives
(Strathmore University, 2017)Yield curves are used to forecast interest rates for different products when their risk parameters are known, to calibrate no-arbitrage term structure models, and (mostly by investors) to detect whether there is arbitrage ... -
A Copula-based approach to differential gene expression analysis
(Strathmore University, 2006)Microarray technology has revolutionized genomic studies by enabling the study of differential expression of thousands of genes simultaneously. The main objective in microarray experiments is to identify a panel of genes ... -
Smooth tests of goodness of FIT for hazard Functions: an application to HIV retention data
(Strathmore University, 2017)In this study, we apply the methodology of smooth tests of goodness-of-fit to hazard functions. The smooth test formulation applied here is an extension of Neyman’s smooth test and is obtained by nesting the null hypothesis ... -
Determine the breaking point of Kenya debt an application of extreme value theory
(Strathmore University, 2017)The aim of the study is to determine the breaking point of Kenyan public debt through the use of Extreme Value Theorem (EVT). EVT focuses on the tail end of distributions to be able to identify maxima and minima points. ... -
Developing pediatric prognostic model using finite mixture models
(Strathmore University, 2017)Background: World Health Organization (WHO) guidelines recommend early identification of patients who have emergency features for early medical intervention with the aim of reducing child mortality and morbidity. Prognostic ... -
Modelling the structure of dependence of stock markets in BRICS & KENYA: Copula GARCH approach
(Strathmore University, 2017)Background: Dependence structure is used widely to describe relationships between risks and provides estimation of risks for risk management purposes. Modeling dependence structure of stock returns is a difficult task ... -
Predictive modelling in credit risk: a survival analysis case
(Strathmore University, 2017)Six survival analysis techniques are accessed by applying the techniques to a dataset consisting of 33,238 active credit facilities from a financial institution operating in Kenya. Namely, the Accelerated Failure Time (AFT) ... -
Portfolio optimization in the Kenyan stock market: a comparison between mean-variance optimization and threshold accepting
(Strathmore University, 2017)The Mean-Variance Optimization (MVO) model has been used in asset allocation problems since the inception of Modern Portfolio Theory in 1952. Several improvements and alternatives to MVO have been suggested and used since ... -
Modeling SME credit ratings using non-homogenous backward semi-Markovian approach
(Strathmore University, 2017)Considering the growth in SME lending in Kenya and the obvious risks it posses to the banking sector, we establish a credit risk model that is responsive to the jumps in the economy. This is based on simulation of implied ... -
Calibration of vasicek model in a hidden markov context: the case of Kenya
(Strathmore University, 2017)This dissertation calibrates the Vasicek term-structure model to the evolution of interest rate dynamics in Kenya. This is done for both a single-state and a multi-state model using state estimated under a Hidden Markov ...
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