SIMs Projects, Theses and Dissertations
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BBSA Research Projects [172]
BBS Actuarial Science (BBSA) research projects -
BBSE Research Projects [236]
BBS Financial Economics (BBSE) research projects -
BBSF Research Projects [74]
BBS Finance (BBSF) research projects
Recent Submissions
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Using semi-Markov process to model incremental change in HIV staging with cost effect
(Strathmore University, 2021)Over the past years, parametric and non-parametric methods have been used in modelling cost and effectiveness according to one studied event or one health state. In this study we used semi-Markov model in which the ... -
Modelling and forecasting of crude oil price volatility: comparative analysis of volatility models
(Strathmore University, 2021)This study aims at providing an in-depth analysis of forecasting ability of different GARCH models and to find the best GARCH model for VaR estimation for crude oil. The VaR forecasting performance of GARCH-type models ... -
Modelling the relationship between spot and futures prices: an empirical analysis of the South African Power Pool
(Strathmore University, 2021)This study investigates the relationship between electricity spot and future prices in the South African Power Pool (SAPP). The objectives of the study included investigating whether forward prices in the SAPP are a true ... -
Empirical performance of alternative risk measures in portfolio selection - the case of South African stock market
(Strathmore University, 2021)Portfolio selection is the process of apportioning capital to a finite number of assets given the wider set of all investment options. The decision of best combination of assets to invest in is the subject of debate among ... -
A Comparative study on mathematical models for interest rate dynamics: a Kenyan case study
(Strathmore University, 2021)This dissertation calibrates equilibrium one-factor short-term interest rate models to the evolution of interest rate dynamics in Kenya. The aim of the study is to find out which one-factor short-rate model best captures ... -
Savings and Credit Co-operative Societies as investment vehicles to enhancing affordable housing: a case of Kenyan SACCOs
(Strathmore University, 2021)The study seeks to explore whether SACCOs can profitably invest in affordable housing through special-purpose investment vehicles such as REITs. The ultimate goal is to increase the domestic funding of the affordable ... -
Construction of a Financial Inclusion Index for Kenya
(Strathmore University, 2021)This study constructed a Financial Inclusion Index (FII) to measure access to, availability of and usage of financial services in Kenya using data collected from IMF reports for the period 2013 – 2019. A two-stage principal ... -
Stock market volatility forecasting at the Nairobi Securities Exchange: a comparison between asymmetric GARCH models and neural networks
(Strathmore University, 2021)In this study, we conducted a comparative study on the volatility forecasting models focusing on the asymmetric GARCH models and the Artificial Neural Networks. The study focused on the Nairobi Securities Exchange and used ... -
Dynamic portfolio optimization using reinforcement learning
(Strathmore University, 2021)This study uses machine learning in the development of a dynamic investment strategy for portfolio optimization. We aim to explore the efficiency of this approach over a passively managed portfolio and assess the whether ... -
Stochastic modeling of electricity prices and option pricing
(Strathmore University, 2021)Volatility and abrupt price changes is a problem that has marred the electricity market for decades. This problem is especially observed in deregulated markets whose prices are influenced by supply and demand factors. ... -
Predictability of stock returns at Nairobi Securities Exchange
(Strathmore University, 2021)Stock market is regarded as a leading indicator of all possible changes in the economy as it reflects investors' expectations of future economic conditions. In this regard, stock investors are always concerned about the ... -
An Empirical evaluation of alternative asset allocation policies for emerging and frontier market investors in Africa
(Strathmore University, 2021)Despite forming an integral part of literature and practitioner knowledge, Markowitz based optimization has been shown to suffer severe drawback of estimation errors and sensitivity to input parameters when implemented in ... -
Predictive modeling of Logistics Performance Index using Sparse Regression Models
(Strathmore University, 2021)The Logistics Performance Index (LPI), developed by The World Bank, is the only interactive benchmarking tool countries use to identify challenges and opportunities in trade logistics. It was developed using Principal ... -
Swaption pricing under Libor market model using Monte-Carlo method with simulated annealing optimization
(Strathmore University, 2021)The thesis seeks to use simulated annealing optimization to minimize the difference between the value of the libor model volatility and the ones quoted in the market for a congruent pricing of a Swaption contract. The ... -
Day of the week effect on stock returns and volatility in emerging and frontier markets in Africa
(Strathmore University, 2021)The study examines the day of the week effect on average stock returns and compares the daily price volatilities in emerging and frontier markets in Africa. The study focuses on eight key stock markets in Africa’s emerging ... -
A Joint modelling approach of monthly anthropometry and time to death among hospitalized severe malnourished children in Kenya
(Strathmore University, 2021)Background: In follow up studies, interest often lies in understanding the association between biomarkers measured over time and a time-to-event outcome. For this, a two-stage separate analysis or the use of time-dependent ... -
Classification of X-rays images using Deep Convolutional Neural Network: COVID-19
(Strathmore University, 2021)The increased amount of labeled X-ray image archives has triggered increased research work in the application of statistics, machine learning, deep learning, and computer vision across the different domains. The fresh ... -
Forecasting of the inflation rates in Kenya: a comparison of ANN, ARIMA and SARIMA
(Strathmore University, 2021)Monetary policies like price stability are regulated by the Central Bank of Kenya (CBK). Price stability is a key indicator of stable and predictable inflation. Accuracy and reliability in forecasting the inflation rates ... -
Robust statistical learning for optimal classification of imbalanced data
(Strathmore University, 2021)Neurobiological disorders such as Learning Disabilities (LD) are increasing becoming a major concern in education and health sectors, hence, precise identification of these disorders is critical. While neuropsychological ... -
Analysis of risk measures in portfolio optimization for the Uganda Securities Exchange
(Strathmore University, 2021)For the most recent years, risk has become one of the essential parameters in portfolio optimization problems. Today most practitioners and researchers in portfolio optimization have used variance as a standard risk measure. ...