Research on Pricing Derivatives on Index of Container Freight

The volatility of Baltic Dry Index has become useless. The index has rebounded up to 3,974 in the beginning of 2010 from low of 772 points in 2009 and sometimes even up to 11,793 points. Therefore shipping companies and cargo owners need financial instruments to hedge freight rates through the volatility. In addition, the spread of trade protectionism and pirates, epidemic diseases and other factors, the future uncertainty of the global shipping market will be further enhanced. Therefore, China's shipping index to speed up the development of derivatives is necessary. Firstly, the authors transform the financial problem into a stochastic optimal control problem, then we obtain the pricing of derivatives based on CCFI, and the authors discuss the well pose of the equations, and also put up with the solving ways of the equation. Finally the authors conclude the paper with the applications of the model based on the 109 dates as CCFI from Jan 1, 2008 to April 1, 2010 and the authors will get some data which will be used to be a clue for pricing some over the counter based on CCFI, and will be helpful to the risk management in relative derivatives.

• Record URL:
  https://doi.org/10.1061/41139(387)243
• Availability:
  • Find a library where document is available. Order URL: http://worldcat.org/isbn/9780784411391
• Supplemental Notes:
  • © 2010 American Society of Civil Engineers.
• Corporate Authors:

  American Society of Civil Engineers

  1801 Alexander Bell Drive
  Reston, VA  United States  20191-4400
• Authors:
  • Yuan, Fang
  • Du, Yulin
• Conference:
  • International Conference of Logistics Engineering and Management (ICLEM) 2010
  • Location: Chengdu , China
  • Date: 2010-10-8 to 2010-10-10
• Publication Date: 2010-9

Language

• English

Media Info

• Media Type: Web
• Features: References;
• Pagination: pp 1756-1761
• Monograph Title: ICLEM 2010: Logistics For Sustained Economic Development: Infrastructure, Information, Integration

Subject/Index Terms

• TRT Terms: Containers; Diseases and medical conditions; Freight transportation; Piracy; Pricing; Risk management; Volatility
• Geographic Terms: China
• Subject Areas: Economics; Freight Transportation; Planning and Forecasting; Security and Emergencies; I72: Traffic and Transport Planning;

Filing Info

• Accession Number: 01525788
• Record Type: Publication
• ISBN: 9780784411391
• Files: TRIS, ASCE
• Created Date: Nov 12 2013 1:49PM