Zobrazeno 1 - 6
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pro vyhledávání: '"Ivivi Joseph Mwaniki"'
Autor:
Ivivi Joseph Mwaniki
Publikováno v:
Journal of Advances in Applied Mathematics. 4
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b3dfb0d8a9abf4c94cfabf28de327548
https://doi.org/10.22606/jaam.2019.43002
https://doi.org/10.22606/jaam.2019.43002
Autor:
Ivivi Joseph Mwaniki
Publikováno v:
Journal of Advances in Economics and Finance. 4
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::49d9fa69eae4107d2d4d7fcb7fbc9a2d
https://doi.org/10.22606/jaef.2019.42004
https://doi.org/10.22606/jaef.2019.42004
Autor:
Ivivi Joseph Mwaniki
Publikováno v:
Journal of Mathematical Finance. :15-25
This article seeks to model daily asset returns using log-ARCH-Levy type model which is expected to reproduce most of the stylized features of financial time series data (such as volatility clustering, leptokurtic nature of log returns, joint covaria
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6246a3b533247c5e52bd732f3312b1d4
https://doi.org/10.4236/jmf.2015.51002
https://doi.org/10.4236/jmf.2015.51002
Autor:
Ivivi Joseph Mwaniki
Publikováno v:
Cogent Economics & Finance, Vol 5, Iss 1 (2017)
This article develops, a lattice-based approach for pricing contingent claims when parameters governing the logs of the underlying asset dynamics are modelled by generalized hyperbolic distribution and normal inverse Gaussian distribution. The pentan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4475ccee8c502ffff249d4f5aeee0523
https://hdl.handle.net/10419/194709
https://hdl.handle.net/10419/194709
Publikováno v:
Applied Mathematical Finance. 20:359-379
In this article, we describe with relevant examples based on empirical data how to use the minimal entropy martingale measure (MEMM) to price European and American Options in multinomial lattices which take into account cumulants information. For tri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef3118bd1818b51f3771e38da5b2bf95
https://doi.org/10.1080/1350486x.2012.714226
https://doi.org/10.1080/1350486x.2012.714226
Publikováno v:
Journal of Advanced Statistics. 1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42d77849a32ef4133f80c311a2a3f05c
https://doi.org/10.22606/jas.2016.12005
https://doi.org/10.22606/jas.2016.12005