Forward pricing in the shipping freight market
| Autor: | Che Mohd Imran Che Taib |
|---|---|
| Rok vydání: | 2015 |
| Předmět: |
Stylized fact
050208 finance Stochastic volatility Stochastic modelling Applied Mathematics 05 social sciences General Engineering 01 natural sciences 010104 statistics & probability 0502 economics and business Forward volatility Mean reversion Forward curve Economics Forward price LIBOR market model 0101 mathematics Mathematical economics |
| Zdroj: | Japan Journal of Industrial and Applied Mathematics. 33:3-23 |
| ISSN: | 1868-937X 0916-7005 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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