DR. NGARE PHILIP ODHIAMBO

MSc (Nairobi), PhD (Univ. of Linz, Austria) Financial Mathematics

Physical Address: CHIROMO Email: pngare@uonbi.ac.ke 

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Indifference pricing of contingent claims on NIG Levy model

Citation:
Ngare P. "Indifference pricing of contingent claims on NIG Levy model." Applied Mathematical Sciences. 2012;6(47):2315-2326.

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Tags

  • Cap or Floor Pricing (1)
  • Cross Currency (1)
  • LIBOR Market Model (1)
  • Model Calibration (1)
  • Multiple Curves (1)
  • Quanto (1)

Recent Publications

  • Valuation of Quanto Caps and Floors in a Calibrated Multi-Curve Cross-Currency LIBOR Market Model
  • A Poisson-Gamma Model for Zero Inflated Rainfall Data
  • Financial Literacy and Retirement Planning in the Informal Sector in Kenya
  • Factor analysis of customers perception of mobile banking services in Kenya
  • Interest rate risk management for commercial banks in Kenya.
  • Financial Modelling with strict Local Martingales
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