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http://umt-ir.umt.edu.my:8080/handle/123456789/5492| Title: | Forward pricing in the shipping freight market |
| Authors: | Che Mohd Imran Che Taib |
| Keywords: | Freight market Forward price Levy processes Normal inverse Gaussian distribution Stochastic volatility Autoregressive moving average |
| Issue Date: | 11-Dec-2015 |
| Publisher: | Japan Journal of Industrial and Applied Mathematics |
| Abstract: | In this paper, we derive the price of the forward freight contract using spotforward relationship framework.We base our pricing on six different stochastic models which can capture many stylized facts of spot freight rates such as heavy-tailed logreturns, time-varying volatility and mean reversion. Themodels are analytically tractable which allows for pricing of forwards. We also examine the shape of forward curve for all continuous-time forward pricing formulas and find various shapes being the combination of fixed and stochastically dependent terms. Finally, this paper discusses the effect of different time to delivery and the maturity effect to the forward curve |
| URI: | http://hdl.handle.net/123456789/5492 |
| Appears in Collections: | Journal Articles |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 172 Forward pricing in the shipping freight market.pdf | 633.33 kB | Adobe PDF | View/Open | |
| J 172.png | Evidence | 171.13 kB | image/png | View/Open |
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