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Construction of nominal yield curve for Nairobi securities exchange: an improvement on monotone preserving r(t)t interpolation method
(Scientific Research Publishing Inc., 2015-11)
There is no agreed-upon method used to construct yield curves at the Nairobi Securities Exchange. The existing practice is that each financial company uses in-house methods to construct the yield curves for their pricing ...
Analytic solution of a nonlinear black-scholes partial differential equation
(Academic Publications, 5/10/2010)
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of a feedback effect. This is an illiquid market effect arising from transaction costs. An analytic solution to the nonlinear ...
Extraction of zero coupon yield curve for Nairobi securities exchange: finding the best parametric model for East African securities markets
(Science Signpost Publishing, 2015)
We seek to construct a zero coupon yield curve (ZCYC) for Nairobi Securities Exchange (NSE). The objective of this paper is to construct a ZCYC that is differentiable at all points and at the same time, produces continuous ...