Forward pricing in the shipping freight market

DOI10.1007/S13160-015-0204-6zbMath1336.60135OpenAlexW2189962910MaRDI QIDQ263051

Che Mohd Imran Che Taib

Publication date: 4 April 2016

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-015-0204-6

zbMATH Keywords

Lévy processesstochastic volatilitystochastic modelsnormal inverse Gaussian distributionautoregressive moving averageforward pricingshipping freight market

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Change of Time and Change of Measure
• THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
• The Risk Premium and the Esscher Transform in Power Markets
• The Implied Market Price of Weather Risk
• Stochastic dynamical modelling of spot freight rates
• Lévy-driven CARMA processes

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