| 1 |
Author(s):
Joy Ijeoma Adindu-Dick.
Page No : 1-9
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Optimal Trading Using Black-Scholes Equation with Transaction Costs
Abstract
This work deals with optimal trading using Black-Scholes equation with transaction costs. The partial differential equation for option pricing with transaction costs on the domain (P,T)∈(0,∞)×(0,T) with terminal condition C(P,T)=Max(P-E,0),P∈(0,∞) for European call options with strike price, E, and a suitable terminal condition for European puts was obtained and then solved to obtain the optimal value function.
| 2 |
Author(s):
Oyedepo A. Oluwafemi, Adegbite I. Olawale, Omisore A. Olurin, Babatola B. Keji.
Page No : 10-18
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Multivariate Volatility Modeling of Nigerian Bank Share Prices
Abstract
This study aims at finding the optimal Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model among Diag-BEKK, Scalar-BEKK and CCC that captures the dynamics of returns in Nigerian bank share prices, using the data of daily share prices of two highly capitalized banks in Nigeria listed on the platform of Nigerian Stock Exchange (NSE) which span from 2nd January, 2009 to 28th December, 2019. Multivariate Normal and Multivariate student-t log-likelihood functions were simplified using the BHHH and Marquardt algorithm and the optimal solution was obtained using the information criteria. The BHHH and Marquardt algorithm was implemented in the GARCH 7 software of Laurent. Finally, the findings of this study showed that the Diag-Bekk (1,1) with Multivariate student-t distribution was the overall best model out of the six model combinations. Multivariate volatility modeling is therefore, recommended for bank share prices in Nigeria, and even in other banks from emerging economies.
| 3 |
Author(s):
Oladimeji Olanrewaju Adedipupo, Lasisi Taiwo Abideen, Babalola Olutola Olayemi, Oyeniyi Ramoni Olawale Abiodun, Adesina Oluwaseun Ayobami.
Page No : 19-32
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Statistical Quality Control on Weight of Empty Lipton Tea Carton at Nampak Carton Nigeria Limited
Abstract
Quality control process assures that the product being developed is of the required quality which includes inspection, deliverable peer reviews and software testing process. Quality control helps any company that manufactures a product or provides a service to improve customer satisfaction by consistently delivering quality products or services, reducing wastage of resources and increasing efficiency and profits for the company. This research work deals with the statistical quality control on the weight of empty Lipton tea at Nampak carton Nigeria Limited Oyo State, within six working days (Monday - Saturday). The data used in this research is secondary data, it was collected from the Nampak database and the method of data analysis used in the research is a control chart and test of randomness, in order to monitor the process and effectiveness of the data. After using various tools like an x-bar chart, R-chart, and Test of randomness, it was discovered that the weight of the product is within control limit both at the upper and lower control limit.
| 4 |
Author(s):
Pokalas P. Tal , M. S. Mahmud.
Page No : 33-42
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A Survey of Advances in Magnifying Elements in Semigroups
Abstract
An element s of a semigroup S is said to be a right (resp. left) magnifying (magnifier) element if there exists a proper subset M of S such that Ms=S [resp. sM=S]. If M is a proper subsemigroup of S, then s in S is called strong right (resp. strong left) magnifying element. In this paper, we present a panorama of various research articles in magnifying elements in semigroups from its inception in 1963. We present this via the various existing notions and related results.
| 5 |
Author(s):
Falade Kazeem Iyanda, Tiamiyu Abd’gafar Tunde, Edogbanya Helen Olaronke, Ibrahim Mujtaba Bashir, Abubakar Abdullahi Shuaibu.
Page No : 43-60
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On Comparison of Algorithms Techniques for Numerical Solutions of Higher Order Differential Equations
Abstract
Higher order differential equations appear in many different fields such as engineering, biology, chemistry, and the physical sciences. Obtaining numerical analysis solutions for different models in different applied mathematics plays an important role in explaining various applied phenomena such as beam analysis in civil engineering, pendulum mathematics in physics, thermo-liquid dynamics, stochastic modelling, plasma and nuclear physics, and nonlinear optics. In this paper, we build and implement four computational algorithms (exponential fitted collocation algorithm, differential transformation algorithm, homotopy perturbation algorithm and new iterative algorithm) for the numerical solutions of higher order differential equations from applied mathematics. The resulting numerical solutions were presented as 2D functional graphs using MAPLE 18 software to demonstrate the real world significance of the presented equations. The proposed algorithms required less computation time and the obtained results demonstrated that the algorithms are suitable for use for other higher order differential equations in applied mathematics and are efficient in terms of applications use.
| 6 |
Author(s):
Nwankwo Chike H., Nnaji Peace O..
Page No : 61-71
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Comparison of the Effects of Ridge Biasing Constant in Remedying Multicollinearity on Gamma and Exponentially Distributed Data
Abstract
Ridge regression as a solution to multicollinearity depends on the value of k, the ridge biasing constant. Since no optimum value can be found for k, as k is generally bounded between 0 and 1, i.e. 0≤ k ≤1 and it varies from one application to another. This has posed a major limitation of ridge regression in that ordinary inference procedures are not applicable and exact distributional properties are not known; and the choice of the biasing constant, k, is a judgmental one. This work examined the effect of ridge biasing constant, k, on different sample sizes using data combination from gamma and exponential distributions when multicollinearity exists. The sample sizes of 140, 100, 80, 50, 30, 20 and 10 and ridge constants, k=0.01, 0.02, . . . ., 0.1 respectively were used in the study. The Anderson Darling Test was used to check for the distribution of the data which were found to follow gamma and exponential distributions. The findings lay credence to how the ridge regression drastically remedies the effect of multicollinearity among independent variables. The study also revealed that the VIF consistently decreased as the ridge constant increased. While the ridge regression has a slight effect on the R-squared, sample sizes were found not to have any significant change or pattern on the VIFs. Since the study has shown that the VIF reduced drastically as the ridge constant increases, it is recommended to use a VIF that reduces multicollinearity to an acceptable minimum while maximizing the R-squared. This study recommends a ridge constant of 0.1 as all multicollinearity issues have been remedied at more than 90% if not completely. The study recommends using a large sample size to help stabilize the R2 values while remedying multicollinearity.
| 7 |
Author(s):
Edison Kagona, Israel B. Lewis.
Page No : 72-109
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Ai- Driven Exams Clearance Scheme as a Part of the Existing E-Learning Systems: Case Study (The International University of East Africa, And Makerere University)
Abstract
This paper discusses an AI Driven Exam Clearance System as part of the existing eLearning System. The system recommends a criterion where a student can sit for their final year semester exams even when they have not yet cleared tuition fees of the final year 2nd semester of their program of study using students’ payment history data. The software is sectioned into the accounts and faculty segments. The faculty manager handles the adding of student’s attendance to the system after a student request has been made, the account manager handles the addition of the category of payment plan that the student falls into and the system validates and recommends students that meet the criterion. This system was designed to overcome the problems identified with the current eLearning System whereby many final years, and final semester students find it difficult or are unable to get permission to do their final exams with an outstanding balance. The legacy system used in the company was also studied in more detail. With this, more requirements for the AI Driven Clearance System were obtained and the system was designed and implemented. The interfaces for the module system were implemented using HTML, Bootstrap, and Java Script. MYSQL was also used for implementing the system database while Python and Django framework was used to create interactivity with the database. After the implementation, the new system was then tested, validated, re-evaluated, and then deployed.
