MSc.MF Theses and Dissertations
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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 ... -
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 ... -
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. ... -
Modelling stochastic volatility using hidden Markov models: a case study of the Kenyan securities Market
(Strathmore University, 2021)The biased parameter estimates generated by the Black-Scholes model have been attributed to the failure of the normality and constant volatility assumption to hold. Results of the improvement of the Black-Scholes-Merton ... -
A Comparative modelling of price dynamics of Certified Emission Reductions using diffusion processes: a case study of the European Energy Exchange
(Strathmore University, 2021)In this study, the price dynamics of Certified Emission Reductions were forecasted by comparing and acquiring the most consistent and accurate forecast model using the diffusion processes: Geometric Brownian Motion, Vasicek ... -
Modelling delayed correlation between interest rates and equity market returns
(Strathmore University, 2020)This study models the interaction between interest rates and equity markets using wavelet analysis. This approach facilitates assessment of the lead-lag relationships in an intuitive way considering variation across ... -
Comparison of survival analysis approaches to modelling credit risks
(Strathmore University, 2019)Credit risk is a critical area in finance and has drawn considerable research attention. As such, survival analysis has widely been used in credit risk, in particular, to model debt's time to default mechanisms. In this ... -
Application of long-short term memory Deep Neural Network in financial forecasting
(Strathmore University, 2019)The goal of this research was to apply Long-Short Term Memory Deep Neural Networks in financial forecasting. In order to predict the financial data, we used long-short term model and we compared its performance to ARIMA-GARCH ... -
Consumer credit risk modelling using machine learning algorithms: a comparative approach
(Strathmore University, 2019)Consumer credit risk scoring involves the assessment of the risk that is associated with a customer that applies for credit. The ability to confidently identify customers that will repay the credit and those that will not ...
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