THE FREIGHT MARKET AND ITS DERIVATIVES

Rüdiger Kiesel and Patrick Scherer
Additional contact information
Rüdiger Kiesel: Institute of Mathematical Finance, Ulm University, Helmholzstr. 18, 89081 Ulm, Germany and Centre of Mathematics for Applications, University of Oslo, Norway
Patrick Scherer: Institute of Mathematical Finance, Ulm University, Helmholzstr. 18, 89081 Ulm, Germany

Chapter 4 in Alternative Investments and Strategies, 2010, pp 71-91 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractDespite the fact that the freight market is one of the oldest markets, it found only limited attention in financial (mathematics) studies. One possible reason may be that this market is very intransparent and only active market participants such as shipowners, dockyards, and commodity traders were fully informed on market activities. With the launch of freight market derivatives, however, many other financial institutions started to actively trade on the freight market, for instance by taking positions on future global trade activities via Forward Freight Agreements and Freight Futures. This article provides an introduction to the freight market and its most commonly used financial assets.We investigate the relationship between the freight market, freight derivatives, and macro economic variables. Further, we show how these relationships can be used to better explain and predict the future price movements of freight derivatives. To achieve this, we propose to use classical statistical methods, such as Vector Auto Regression and Vector Error Correction Models, to incorporate the information from spot markets and related explanatory variables into the prediction process.

Keywords: Alternative Investments; Portfolio Selection; Trading Strategy; Product Innovations; CPPI; Portfolio Optimization; Portfolio Insurance (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814280112_0004 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814280112_0004 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814280112_0004

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().