This study sought to assess the significance of dividend policy and suggest measures that could enhance its effectiveness on firms’ performance in Nigeria. To achieve the objective, some financial and performance indicators were evaluated. The ex-post facto research design was adopted and the data were collated, analyzed and tested using the d…[Read more]

This study examined contributory pension fund assets on economic performance of Nigeria, specifically, to determine the impact of pension fund assets on the real capital market capitalization in Nigeria. The proxies for measuring pension fund assets included ordinary shares, government securities, corporate debt securities, money market…[Read more]

The study empirically examined entrepreneurship orientation, entrepreneurship culture and performance of small and medium-scale enterprises in Calabar Metropolis. The major objective of the paper was to explore how strategic entrepreneurship practices affect the accomplishment
of SMEs goals in Cross River State. The study was anchored on…[Read more]

The study portrayed the impact of Agricultural credit Guarantee scheme fund (ACGSF) on Agricultural Sector Development in Nigeria. Specific objectives were to ascertain the relationship between the ACGSF and the output of the crop sector in Nigeria, to examine the relationship between ACGSF and the output of the livestock sector in Nigeria, and to…[Read more]

This Research Paper purposed to evaluate Collective Investment Scheme in the Nigerian Capital Market, its impact performance of the Capital Market. The study focused on the Weekly performance of 48 Collective Investment Funds operating in Nigerian Capital Market and Secondary data was collected using the data available on Security and Exchange…[Read more]

Variable rate swap is an interest rate swap that has two legs: one fixed rate leg and a variable rate leg. The variable leg involves fixed rate payments for an initial period of time and a floating rate for the rest. The floating rate on that portion is defined as a minimum of two index rates.

The Black-Karasinski model is a short rate model that assumes the short-term interest rates to be log-normally distributed. We implement the one factor Black-Karasinski model as a binomial or trinomial tree.

An arrear quanto constant-maturity-swap (CMS) is a swap that pays coupons in a different currency from the notional and in arrears. The underlying swap rate is computed from a forward starting CMS.

We propose a three-factor tree model that implements the Hull-White and Black-Karasinski models. The new tree model does preserve the martingale property of the stock for sufficiently long terms (with accuracy better that 10-8 for terms of at least 10 years).

A valuation model is presented for pricing an American style call option on the yield of Treasury bond. The payoff is positive if the yield exceeds a predetermined strike level. The model assumes the yield of an American Treasury bond to be a log-normally distributed stochastic process and uses Monte-Carlo simulation to price the deal as a…[Read more]

A flexible GIC represents a financial instrument paying an annual coupon and provides an option for the holder to redeem the principal and accrued interest during the thirty days following the first and second coupons.

A Callable Inverse Floating Rate Swap is a forward swap agreement with an option of canceling the swap each year starting from several years in future.

The model estimates the swap price as a risk-neutral expectation of the difference between the bond price whose yield-to-maturity is the swap rate and the bond’s par. The swap rate is considered a log-normally distributed random variable.

The payoff at maturity from a GIC can be shown equal to the invested principal plus principal times the sum of the minimum guaranteed interest rate and the payoff from a European call option on the arithmetic average of the basket price, where the basket price is given by a weighted sum of the index levels.

We present a method for bootstrapping a set of zero rates from an input set of US government money market securities and bonds. We detail the calculations used to convert ACT/365 continuously compounded zero rates to the rates.

We present an approach that calculates the Hull White (HW) volatility to make the swaption price calculated on a HW tree match Black’s price for the same swaption at each grid point. We priced the payer swaption using our benchmark Black’s model and then priced the same swaption, using our benchmark HW trinomial tree model, based on the c…[Read more]

The valuation makes the assumption that the future values of these parameters will be unchanged until the final payment date. Subsequently, the calculator performs a deterministic computation consisting of calculating the future cashflows in the waterfall and discounting them.

A convertible bond with exchangeable feature, which can be converted into a stock issued by a party different from the bond issuer. Assume that the stock conversion is vulnerable. If the bond-issuer has defaulted by a time, t , then the stock price is zero. If, on the other hand, the bond-issuer has not defaulted by time t , then the stock price…[Read more]

The Brownian Bridge algorithm belongs to the family of Monte Carlo or Quasi-Monte Carlo methods with reduced variance. It generates sample paths which all start at the same initial point and end, at the same moment of time, at the same final point.

Based on the Hull-White single-factor tree building approach, respective trinomial trees are constructed for the short-term interest rate and stock’s price processes. Using the Hull-White two-factor tree building procedure, a combined tree is constructed by matching the mean, variance and correlation corresponding to each combined tree node. T…[Read more]