Forward pricing in the shipping freight market

被引：4
|
作者：
Taib, Che Mohd Imran Che [1 ,2 ]
机构：
[1] Univ Malaysia Terengganu, Sch Informat & Appl Math, Kuala Terengganu 21030, Terengganu, Malaysia
[2] Univ Oslo, Ctr Math Applicat, POB 1053, N-0316 Oslo, Norway
来源：
JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS | 2016年 / 33卷 / 01期
关键词：
Freight market; Forward price; Levy processes; Normal inverse Gaussian distribution; Stochastic volatility; Autoregressive moving average;
D O I：
10.1007/s13160-015-0204-6
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we derive the price of the forward freight contract using spot-forward 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. The models 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.
引用
收藏
页码：3 / 23
页数：21
相关论文
共 50 条
12345