Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Derivatives"
Now showing items 1-3 of 3
-
Effectiveness of commodity futures as opposed to crop insurance in curbing spot price volatility risk
(Strathmore University, 2015)This study examines the impact of introduction of futures trading on the spot price volatility in the commodity market. The paper considers the United States of America, South Africa and Ethiopian economies . Three commodities ... -
Modeling temperature dynamics and pricing temperature derivatives: an investigative Kenyan example
(Strathmore University, 2018)The following research project will propose a mean-reverting stochastic process for modelling the daily average temperature in the Kenyan context. The proposed modelling framework will then be used to price a weather ... -
Modelling temperature derivatives using Levy processes
(Strathmore University, 2015-12)Weather derivatives are a new risk manage tool which can be widely used in the financial market to avoid the impact of bad weather effects and control the weather risks (Wang et al, 2015). weather derivatives are different ...
