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Optimal investment strategy under stochastic interest rates

Mtunya, Adeline Peter; Ngare, Philip; Nkansah-Gyekye, Yaw - In: Journal of mathematical finance 7 (2017) 2, pp. 319-332

Persistent link: https://www.econbiz.de/10011673904

On Modelling and Pricing Rainfall Derivatives with Seasonality

Leobacher, Gunther; Ngare, Philip - In: Applied Mathematical Finance 18 (2011) 1, pp. 71-91

We are interested in pricing rainfall options written on precipitation at specific locations. We assume the existence of a tradeable financial instrument in the market whose price process is affected by the quantity of rainfall. We then construct a suitable 'Markovian gamma' model for the...

Persistent link: https://www.econbiz.de/10009279047

Financial time series modelling of trends and patterns in the energy markets

Aduda, Jane; Weke, Patrick; Ngare, Philip; Mwaniki, Joseph - In: Journal of mathematical finance 6 (2016) 2, pp. 324-337

Persistent link: https://www.econbiz.de/10011544523

Foreign exchange derivative pricing with stochastic correlation

Nabirye, Topilista; Ngare, Philip; Mungatu, Joseph - In: Journal of mathematical finance 6 (2016) 5, pp. 887-899

Persistent link: https://www.econbiz.de/10011658109

On the location of a free boundary for American options

Katende, Ronald; Seck, Diaraf; Ngare, Philip - In: Journal of mathematical finance 6 (2016) 5, pp. 930-943

Persistent link: https://www.econbiz.de/10011658116

Regime-switching model on hourly electricity spot price dynamics

Gyamerah, Samuel Asante; Ngare, Philip - In: Journal of mathematical finance 8 (2018) 1, pp. 102-110

Persistent link: https://www.econbiz.de/10011846143

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

A co-integration analysis of the interdependencies between crude oil and distillate fuel prices

Aduda, Jane; Weke, Patrick; Ngare, Philip - In: Journal of mathematical finance 8 (2018) 2, pp. 478-496

Persistent link: https://www.econbiz.de/10011875349

Credit scoring with ego-network data

Sewe, Stanley; Ngare, Philip; Weke, Patrick - In: Journal of mathematical finance 9 (2019) 3, pp. 522-534

Persistent link: https://www.econbiz.de/10012210386

Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model

Wamwea, Charity; Ngare, Philip; Bidima, Martin Le Doux Mbele - In: Journal of mathematical finance 9 (2019) 4, pp. 698-725

Persistent link: https://www.econbiz.de/10012433485