The Market Price of Risks in The Shipping Freight Market

被引：0

作者：

Mohtar, Zul Izwan ^{[1
]}

机构：

[1] Univ Malaysia Terengganu, Fac Ocean Engn Technol & Informat, Kuala Nerus 21030, Terengganu, Malaysia

来源：

MATEMATIKA | 2023年 / 39卷 / 02期

关键词：

Freight markets; forward curve; spot and forward price; market price of risks; stochastic volatility; derivatives pricing; VOLATILITY RISK;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper aims to estimate the market price of risks from the relationship between the spot and forward price dynamics in the shipping freight market. We employ three different stochastic models, which are analytically tractable and enable for pricing of forwards. Subsequently, we examine the forward curve performance. By doing that in such a way, we offer a method for estimating the market price of risk and the market price of volatility risk by adjusting theoretical prices to today's observed forward curve. The findings of this study are essential for minimizing the difference of price gap between the theoretical and actual forward prices.

引用

页码：173 / 190

页数：18

共 50 条

[41] Market structures and shipping security
Brooks M.R.
Button K.J.
Maritime Economics & Logistics, 2006, 8 (1) : 100 - 120
[42] China's Shipping Market
Zhong Ri
China's Foreign Trade, 1994, (05) : 20 - 21
[43] Market structure and market outcomes in deregulated rail freight markets
Schmidt, S
INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION, 2001, 19 (1-2) : 99 - 131
[44] The Dynamics of Dry Bulk Shipping Market Under the Shipping Cycle Perspective: Market Relationships and Volatility
Wu, Yijie
Yin, Jingbo
Sheng, Pan
TRANSPORTATION RESEARCH RECORD, 2018, 2672 (11) : 1 - 9
[45] Stock market efficiency and international shipping-market information
Alizadeh, Amir H.
Muradoglu, Gulnur
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2014, 33 : 445 - 461
[46] Oil price shocks, geopolitical risks, and green bond market dynamics
Lee, Chi-Chuan
Lee, Chien-Chiang
Li, Yong-Yi
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 55
[47] The Dynamic Impacts of the Global Shipping Market under the Background of Oil Price Fluctuations and Emergencies
Chen, Zihan
Zhang, Xiaokong
Chai, Jian
COMPLEXITY, 2021, 2021
[48] Do global extreme hazards and related attention lead to financial risks in the shipping market?
Yang, Minhua
Lu, Di
APPLIED ECONOMICS, 2024,
[49] Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis
Bai, Xiwen
Lam, Jasmine Siu Lee
TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2021, 149
[50] Study on the fluctuant characteristics of freight index in world dry bulk shipping market subdivided with ARCH model
Lu, Jing
Wei, Fang
Chen, Qinghui
PROCEEDINGS OF THE 2006 IEEE/SMC INTERNATIONAL CONFERENCE ON SYSTEM OF SYSTEMS ENGINEERING, 2006, : 331 - +

← 1 2 3 4 5 →