Forward pricing in the shipping freight market

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• 作者：Che Mohd Imran Che Taib
• 关键词：Freight market ; Forward price ; Lévy processes ; Normal inverse Gaussian distribution ; Stochastic volatility ; Autoregressive moving average ; 97K60 ; 60G10 ; 60G51
• 刊名：Japan Journal of Industrial and Applied Mathematics
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：33
• 期：1
• 页码：3-23
• 全文大小：633 KB
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• 作者单位：Che Mohd Imran Che Taib (1) (2)
  
  1. School of Informatics and Applied Mathematics, University Malaysia Terengganu, 21030, Kuala Terengganu, Terengganu, Malaysia
  2. Centre of Mathematics for Applications, University of Oslo, PO Box 1053, Blindern, 0316, Oslo, Norway
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Applications of Mathematics
  Computational Mathematics and Numerical Analysis
  
• 出版者：Springer Japan
• ISSN：1868-937X

文摘

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. Keywords Freight market Forward price Lévy processes Normal inverse Gaussian distribution Stochastic volatility Autoregressive moving average