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Jumps in the Freight Rate Process in Container Shipping
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Title: Jumps in the Freight Rate Process in Container Shipping

Title in english:

Skoki w procesie frachtu w kontenerowym transporcie dalekomorskim

Creator:

Gardoń, Albert

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2024, Nr 22 (28), s. 1-12

Abstrakt:

As verified in our previous investigations (Gardoń, 2014), a weekly average net freight in container shipping may be modelled by means of the jump-diffusive process with homogeneous Poissonian jumps. So far, we have generated the relative jump size from the empirical distribution which is asymmetrical and does not seem to be one of typical distributions. Generally, upward jumps appear more often, whereas relative drops are more concentrated around their mean. In this paper, we fit to the jump data a mixture of two distributions, taking into account negative and positive jumps separately, obtaining some satisfactory results. The jump-diffusive model is mainly used for the evaluation of a derivative net premium, e.g. the European Call option for the net freight we mentioned in our previous papers (Gardoń, 2016). Without the knowledge of the underlying theoretical distribution of the relative jump size, the extremely time-consuming Monte Carlo simulations have to be conducted to this purpose. The knowledge of the theoretical jump-size distribution may lead to the analytical formula for the option premium, which will make the calculations faster and more exact.

Publisher:

Publishing House of Wroclaw University of Economics and Business

Place of publication:

Wroclaw

Date:

2024

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/sps.2024.22.01 ; oai:dbc.wroc.pl:130872

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Subject and keywords:

liner shipping jump-diffusion relative jump size distribution freight rate call options kontenerowy transport dalekomorski dyfuzja skokowa rozkład względnej wielkości skoku opcje kupna na fracht

Object collections:

Last modified:

Jan 28, 2025

In our library since:

Jan 28, 2025

Number of object content hits:

4

All available object's versions:

https://dbc.wroc.pl./publication/169389

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Edition name Date
Jumps in the Freight Rate Process in Container Shipping Jan 28, 2025

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