Stochastic dynamical modelling of spot freight rates

DOI10.1093/IMAMAN/DPU001zbMath1433.91198OpenAlexW2096920123MaRDI QIDQ5382665

Che Mohd Imran Che Taib, Steen Koekebakker, Fred Espen Benth

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpu001

zbMATH Keywords

Lévy processesstochastic volatilitystationarityvalue-at-risknormal inverse Gaussian distributionspot pricesfreight marketautoregressive moving average time series

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing ⋮ Temperature modelling and pricing of temperature index insurance ⋮ Forward pricing in the shipping freight market

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