Browsing by Author "Che Mohd Imran Che Taib"

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    Forward pricing in the shipping freight market
    (Japan Journal of Industrial and Applied Mathematics, 2015-12-11) Che Mohd Imran Che Taib
    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
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    Pendekatan kabur risiko tukaran asing
    (Fakulti Sains dan Teknologi, 2006-01) Che Mohd Imran Che Taib
    Multinational firms are directly exposed to the impact of unexpected changes in foreign exchange rate. The practice of floating currency system and currency volatility characteristic always as an influence and cannot be avoided. Using fuzzy interval method, this thesis evaluates foreign exchange rate exposure faced by thirty-three Malaysian firms throughout twenty-four months regression. Analysis has been made shown that the numbers of firm having negative exposure increase align horizon. This study also suggests the fuzzy criterion to derive the risk measurement and estimates the exchange rate robustness implied by the comparison of exchange rate changes for twenty-four months. To manage foreign exchange rate risk, multinational firms use various methods to offset the risk and increase firm performance to convince their investors.