［1］ 许利枝, 方述诚, 汪寿阳. 中国运输成本和效率对出口贸易影响的实证研究［J］. 系统工程理论与实践, 2012, 32(5): 1057-1067.Xu Lizhi, Fang Shucheng, Wang Shouyang. Analysis on transport costs and China’s exports［J］. Systems Engineering-Theory & Practice, 2012,32(5): 1057-1067.
［2］ 余方平, 匡海波. BDI指数非线性均值回复特性研究［J］. 管理科学学报, 2018, 21(9): 123-131.Yu Fangping, Kuang Haibo. BDI index nonlinear mean reversion characteristic［J］. Journal of Management Sciences in China, 2018, 21(9): 123-131.
［3］ 冯文文, 匡海波, 孟斌. 基于改进均值回归的波罗的海原油运价指数模型研究［J］. 中国管理科学, 2018, 26(5): 40-50.Feng Wenwen, Kuang Haibo, Meng Bin. Research of baltic dirty tanker index model based on the improved mean reversion［J］. Chinese Journal of Management Science, 2018, 26(5): 40-50.
［4］ 石莹. 世界干散货海运需求与供给发展趋势分析［D］. 大连: 大连海事大学硕士学位论文,2013.Shi Ying. Analysis of development trend of demand and supply in world dry bulk shipping market［D］. Dalian Maritime University, 2013.
［5］ 王振全, 田延宾, 汪寿阳. 中国进出口贸易结构变化［J］. 系统工程理论与实践, 2009, 29(2): 10-17.Wang Zhenquan, Tian Yanbin, Wang Shouyang. On structural change in China’s import and export［J］. Systems Engineering-Theory & Practice, 2009, 29(2): 10-17.
［6］ Kavussanos M G, Visvikis I D. Shipping freight derivatives：a survey of recent evidence［J］. Maritime Policy & Management, 2006, 33(3): 233-255.
［7］ 何家珍. 论FOB贸易术语在出口贸易实践中应用问题及防范—以中小微外贸企业为例［J］. 时代金融, 2017(6): 122-123.He Jiazhen. On the application of FOB trade terms in export trade practice and its prevention－A Case of small, medium and micro foreign trade enterprises［J］. Times Finance,2017(6):122-123.
［8］ 魏思敏. FOB出口合同增多的原因及风险分析［J］. 知识经济, 2016(2): 35.Wei Simin. The reason and risk analysis of the increase of FOB export contract［J］. Knowledge Economy, 2016(2): 35.
［9］ Ishizaka M, Tezuka K. Evaluation of risk attitude in the shipping freight market under uncertainty［J］. Maritime Policy & Management, 2018, 45(8): 1042-1056.
［10］ Tezuka K, Ishii M, Ishizaka M. An equilibrium price model of spot and forward shipping freight markets［J］. Transportation Research Part E, 2012, 48(4): 730-742.
［11］ 朱意秋, 任仙玲, 吕令颖. 国际干散货远期运费市场套期保值效率研究［J］. 中国海洋大学学报(社会科学版), 2012(2): 55-61.Zhu Yiqiu, Ren Xianling, Lv Lingying. Study on hedging performance of international dry forward freight［J］. Journal of Ocean University of China(Social Sciences), 2012(2):55-61.
［12］ Taib C M I C. Forward pricing in the shipping freight market［J］. Japan Journal of Industrial and Applied Mathematics, 2016, 33(1): 3-23.
［13］ Adland R, Benth F E, Koekebakker S. Multivariate modeling and analysis of regional ocean freight rates［J］. Transportation Research Part E, 2018, 113: 194-221.
［14］ Prokopczuk M. Pricing and hedging in the freight futures market［J］. Journal of Futures Markets, 2011, 31(5): 440-464.
［15］ Goulas L, Skiadopoulos G. Are freight futures markets efficient? Evidence from IMAREX［J］. International Journal of Forcasting, 2012, 28: 644-659.
［16］ Nomikos N K, Doctor K. Economic significance of market timing rules in the Forward Freight Agreement market［J］. Transportation Research Part E, 2013, 52(2): 77-93.
［17］ 李广慧. 基于GC-MSV模型的沿海干散货运费衍生品套期保值研究［J］. 运筹与管理, 2018, 27(12): 142-146.Li Guanghui. Hedging properties of coastal dry bulk freight derivatives based on GC-MSV model［J］. Operations Research and Management Science, 2018, 27(12): 142-146.
［18］ Sun Xiaolin, Liu Hailong, Zheng Shiyuan, et al. Combination hedging strategies for crude oil and dry bulk freight rates on the impacts of dynamic cross-market interaction［J］. Maritime Policy & Management, 2018, 45(2): 174-196.
［19］ Koekebakker S, Adland R, Sal S. Pricing freight rate options［J］. Transportation Research Part E, 2007, 43(5): 535-548.
［20］ Wang Jianhua, Lu Jing, Gong Xiaoxing. The pricing of freight options with stochastic volatilities［C］//2009 International Conference on Management and Service Science, Beijing, China, September 20-22, 2009: 1-4.
［21］ Nomikos N K, Kyriakou I, Papapostolou N C, et al. Freight options: price modelling and empirical analysis［J］. Transportation Research Part E, 2013, 51: 82-94.
［22］ Kyriakou I, Pouliasis P K, Papapostolou N C, et al. Freight derivatives pricing for decoupled mean-reverting diffusion and jumps［J］. Transportation Research Part E, 2017, 108: 80-96.
［23］ Alexandridis G, Sahoo S, Visvikis I. Economic information transmissions and liquidity between shipping markets: new evidence from freight derivatives［J］. Transportation Research Part E, 2017, 98: 82-104.
［24］ Rejda G E, McNamara M J. Principles of risk management and insurance (Twelfth Edition)［M］. New York: Pearson, 2016.
［25］ Li Xuying, Gu Xianbin. A Jump-diffusion model of shipping freight rate［C］//2009 Second International Conference on Future Information Technology and Management Engineering, Sanya, China, December 13-14, 2009: 313-316.
［26］ Benth F E, Koekebakker S, Taib C M I C. Stochastic dynamical modelling of spot freight rates［J］. IMA Journal of Management Mathematics, 2015, 26(3): 273-297.
［27］ 张骥, 赵一飞. 基于季节性均值回归的干散货运价动态研究［J］. 哈尔滨商业大学学报(自然科学版), 2016, 32(5): 635-640.Zhang Ji, Zhao Yifei. Dry bulk freight price dynamic research based on mean reversion with seasonality［J］. Journal of Harbin University of Commerce (Natural Sciences Edition), 2016, 32(5): 635-640.
［28］ 李庆, 张虎. 单指标非参数期权定价－改进的非参数定价方法［J］. 中国管理科学, 2020, 28(10): 43-53.Li Qing, Zhang Hu. Single-index nonparametric option pricing model－a modified nonparametric pricing approach［J］. Chinese Journal of Management Science, 2020, 28(10): 43-53.
［29］ 王献东, 何建敏. 模糊随机不确定环境下考虑决策者主观判断的亚式期权定价［J］. 中国管理科学, 2020, 28(9): 33-44.Wang Xiandong, He Jianmin. Pricing Asian options under uncertain environment with fuzziness and randomness considering decision maker’s subjective judgment［J］. Chinese Journal of Management Science, 2020, 28(9): 33-44.
［30］ 李万勇, 刘烨, 于佳任. 基于ANN-ARIMA的航运运价指数预测方法及其应用［J］. 商场现代化, 2007(29): 24.Li Wanyong, Liu Ye, Yu Jiaren. Forecasting method of shipping freight rate index based on ANN-ARIMA and its application［J］. Market Modernization,2007(29): 24.
［31］ Munim Z H, Schramm H J. Forecasting container shipping freight rates for the Far East - Northern Europe trade lane［J］. Maritime economics & logistics, 2017, 19(1): 106-125.
［32］ Lin Yuehju J, Wang Chichen. The dynamic analysis of baltic exchange dry index［J］. International Mathematical Forum, 2014, 9(17): 803-823.
［33］ 王燕. 时间序列分析-基于R［M］. 北京: 中国人民大学出版社, 2015.Wang Yan. Time series analysis-R［M］. Beijing: China Renmin University Press, 2015.
［34］ Haug E G. The complete guide to option pricing formulas (Second Edition)［M］. New York: McGraw-Hill Education and Truth & Wisdom Press, 2018.
［35］ 陈权. 天气指数保险费率厘定与修正方法研究［D］. 成都: 西南财经大学硕士学位论文, 2013.Chen Quan. The Research of premium rating and modification of weather index insurance［D］. Chengdu: Southwestern University of Finance and Economics, 2013.
|
