The State-Space Model for the Double Heston Model written on two underlying assets

In this study, we look at the derivation of the state space model that is applied in non-linear filtering methods. The state-space model is for the double Heston Model written on two underlying assets. The non-linear filtering methods include unscented Kalman filter, extended Kalman filter and particle filter. This study extends work of Namundjebo (2016) who looked at the application of non-linear filtering methods to the Double Heston Model. We extend this work to the derivation of the state space model of the Double Heston Model with two underlying assets. The two underlying assets are assumed to be uncorrelated. Keywords: non-linear filtering, unscented Kalman filter, extended Kalman filter, Kalman filter, particle filter, state-space model

Socio-economic determinants of maternal services uptake in Kenya

BACKGROUNDKenya had relatively high early childhood and maternal mortality. Maternal health care services have shown to be an effective strategy for reducing early childhood and maternal mortality. A worldwide study carried out in 2014 found about 73% of all the 2,443,000 maternal deaths between 2003 and 2009 were due to direct obstetric causes and almost half of them occurred in Africa [5]. Infant and under-five mortality were 65 and 141 deaths per 1000 live births, respectively [12] in Kenya. AIMThis study sought to establish the effects of socio-economic factors on the uptake of maternal health care services in Kenya. METHODOLOGYThe study used data drawn from the 2014 Kenya Demography and Health Survey (KDHS) which was a nationwide survey that used a cross-sectional research design. The survey interviewed 31,000 women of reproductive age. However, this study focused on a nationwide sample of 14,398 women aged 15-49 years who had carried a live birth within five years preceding the survey. It was guided by Andersen behavioural model. Descriptive statistics and logistic regression were used to analyse the data. RESULTSNearly all 14,398 women who were included in the study sought antenatal care during their most recent pregnancy. The majority of the women (67%) initiated antenatal visits during the second trimester. Region of residence, household wealth status, education, type of place of residence, and age were to be determinants of early initiation of antenatal visits. Slightly over half of the women made at least 4 antenatal visits and about 40% made between 1 and 3 visits. Education, household wealth index, and region of residence were found to be strongly associated with making at least 4 antenatal visits. About sixty per cent of all the women delivered in a health facility. Delivering in a health facility was found to be strongly associated with the mother’s education, type of place of residence, region of residence, household wealth index, maternal age, and whether or not the woman had made at least 4 antenatal visits. CONCLUSIONThere is need for concerted efforts to have the majority of women in the country initiate antenatal visits early, make at least four antenatal visits and deliver in health facilities. A statistical percentage of women were partaking antenatal care services during their last trimester

Sexual initiation and contraceptive use among female adolescents in Kenya

This paper examines the timing of sexual initiation and contraceptive use among female adolescents in Kenya. Data are drawn from the 2003 Kenya Demographic and Health Survey. The main analytical tools are regression models. A Cox regression model is used to consider the probability of a young woman having first sex during adolescence and linear regression model to quantify the effects of a set of factors on female adolescent's age at first sexual debut. Finally, logistic regression model is used to model the probability of a sexually experienced adolescent woman using a contraceptive method. The results obtained indicate the onset of sexual activity is early and contraceptive use is fairly low and both the timing of first sex and contraceptive use are affected by a variety of factors. Despite engaging in unsafe sex practices, the majority of the adolescents do not view themselves as being at the risk of contracting HIV/AIDS. A number of recommendations are proposed. African Journal of Health Sciences Vol. 14 (1-2) 2007: pp. 1-1

Regional Variation in Initiation of Childbearing in Kenya

This paper seeks to establish the effect of region of residence on the initiation of child bearing in Kenya and to determine whether its effect has changed overtime. The data used is drawn from the 1998 and 2003 Kenya Demographic and Health Surveys. The Cox proportional hazard models are used to analyse the data. The results revealed that the region of residence has a significant effect on the initiation of child bearing in Kenya and that the effect remains significant even in the presence of the controls for education, age at first marriage, type of place of residence and religion. The effect of the region of residence on in the initiation of childbearing remains more or less the same across the three generations

Impact Of Affirmative Action On Quality Of Service Delivery In The Public Service Sector Of Kenya: A Comparative Case Study Of The Ministry Of State In The Office Of The President And Ministry Of Higher Education

This study was carried out to determine the impact of affirmative action policy on the quality service delivery in the public service sector of Kenya. The study was carried out on the premise that there is a relationship between affirmative Action implementation and the quality of service delivery in the public service sector of Kenya. A lot of resources are spent on affirmative action programs. Not much is known about the impact of Affirmative action on quality of service delivery in the Public Service Sector. Primary and Secondary data were obtained from the ministries of Gender, Social Development and Children, Higher Education, Science and Technology and Ministry of state in the office of the president using a questionnaire. The study adopted a comparative case survey design and involved a combination of both qualitative and quantitative data. Qualitative analysis was done by calculating percentage counts and frequency counts and tests of hypotheses carried out. The study revealed that implementation of an affirmative action policy in the public service sector impacts positively on the quality of service delivery and again that the quality of service delivery as indicated by cost effectiveness, accountability, employee participation, productivity and transparency was higher in the Ministry of Higher Education, Science and technology than in the Ministry of State in the Office of the President. Chi-square data analysis revealed that there is a significant relationship between affirmative action implementation in employment, promotion, training and career progression and the quality of service delivery in the public service sector of Kenya. The study recommends that in future researchers should investigate the impact of affirmative action with respect to racial and ethnic differences and disability. Key words: Impact, Affirmative action, Quality, Service Deliver

Regional variation in neonatal and post-neonatal mortality in Kenya

This paper seeks to establish the effect of region of residence on neonatal and post-neonatal mortality in Kenya, using the 2003 Kenya Demographic and Health Survey data. The results show significant regional variation in neonatal and post-neonatal mortality. Both neonatal and post-neonatal mortality were also found to vary significantly according to household wealth status, household water supply, and toilet facility, maternal age at birth, preceding birth interval; antenatal visits and type of place of delivery. It was only post-neonatal mortality that also varied significantly according to maternal education.The study recommends that concerted efforts be made to reduce high neonatal and post-neonatal mortality in the high mortality areas. These could entail strengthening existing family planning, child survival and HIV/AIDS programmes alongside improving households’ access to piped water supply and household hygiene practices

Pricing Unit-Linked Insurance Contracts using Estimated Volatility

This paper develops a model for pricing a unit-linked insurance contract by estimating the volatility. This insurance contract with minimum death guarantee is a contingent claim which implies that a hedging argument can be used to determine the price. In this case, the guarantee strike price does not depend on the current time and the insurer’s liability for a death at a given time is similar to the terminal cash flow of a European put option and we end up with a Black-Scholes like put pricing formula. In this paper, we extend the work of Frantz et al. (2003) by relaxing the assumption that volatility is constant. Keywords: unit-linked insurance contract, premiums, guaranteed minimum death benefi

Volatility extraction in information based asset pricing framework via non-linear filtering

Paper presented at the 5th Strathmore International Mathematics Conference (SIMC 2019), 12 - 16 August 2019, Strathmore University, Nairobi, KenyaThis study looks at the derivation of a state space model that is applied in nonlinear filtering. The model is based on the Brody, Hughson and Macrina information based asset pricing model, also known as the BHM approach or BHM model. The objective of this study is to extend the application of a filtering approach used in estimation of volatilities for the Heston model to the BHM model. The measurement and transition equations obtained in the state space model are used in the extended kalman filter to extract volatility. The option price is obtained from the BSBHM Updated Model by incorporating information in the Black-Scholes Model. This option price is used to obtain the measurement equation while the variance process is used as the transition equation.Multimedia University of Kenya, Kenya

Sexual Initiation and Contraceptive use Among Female Adolescents in Kenya

This paper examines the timing of sexual initiation and contraceptive use among female adolescents in Kenya. Data are drawn from the 2003 Kenya Demographic and Health Survey. The main analytical tools are regression models. A Cox regression model is used to consider the probability of a young woman having first sex during adolescence and linear regression model to quantify the effects of a set of factors on female adolescent\u2019s age at first sexual debut. Finally, logistic regression model is used to model the probability of a sexually experienced adolescent woman using a contraceptive method. The results obtained indicate the onset of sexual activity is early and contraceptive use is fairly low and both the timing of first sex and contraceptive use are affected by a variety of factors. Despite engaging in unsafe sex practices, the majority of the adolescents do not view themselves as being at the risk of contracting HIV/AIDS. A number of recommendations are proposed

Volatility Extraction in Information Based Asset Pricing Framework Via Non-Linear Filtering

This study looks at the derivation of a state space model that is applied in non-linear filtering. The model is based on the Brody, Hughson and Macrina information based asset pricing model, also known as the BHM approach or BHM model. The objective of this study is to extend the application of a filtering approach used in estimation of volatilities for the Heston model to the BHM model. The measurement and transition equations obtained in the state space model are used in the extended kalman filter to extract volatility. The option price is obtained from the BS-BHM Updated Model by incorporating information in the Black-Scholes Model. This option price is used to obtain the measurement equation while the variance process is used as the transition equation