Forward pricing in the shipping freight market

dc.contributor.author	Che Mohd Imran Che Taib
dc.date.accessioned	2017-04-09T08:44:35Z
dc.date.available	2017-04-09T08:44:35Z
dc.date.issued	2015-12-11
dc.description.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	en_US
dc.identifier.uri	http://hdl.handle.net/123456789/5492
dc.language.iso	en	en_US
dc.publisher	Japan Journal of Industrial and Applied Mathematics	en_US
dc.subject	Freight market	en_US
dc.subject	Forward price	en_US
dc.subject	Levy processes	en_US
dc.subject	Normal inverse Gaussian distribution	en_US
dc.subject	Stochastic volatility	en_US
dc.subject	Autoregressive moving average	en_US
dc.title	Forward pricing in the shipping freight market	en_US
dc.type	Article	en_US