MSc.MF Theses and Dissertations
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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 ... -
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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