The stochastic behavior of spot freight rates and the risk premium in bulk shipping
Thesis (Ph. D. in Ocean Systems Management)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2003.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2006
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| Online Access: | http://hdl.handle.net/1721.1/29648 |
| _version_ | 1811075441086169088 |
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| author | Adland, Roar Os, 1972- |
| author2 | Henry S. Marcus. |
| author_facet | Henry S. Marcus. Adland, Roar Os, 1972- |
| author_sort | Adland, Roar Os, 1972- |
| collection | MIT |
| description | Thesis (Ph. D. in Ocean Systems Management)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2003. |
| first_indexed | 2024-09-23T10:06:02Z |
| format | Thesis |
| id | mit-1721.1/29648 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T10:06:02Z |
| publishDate | 2006 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/296482019-04-10T18:42:52Z The stochastic behavior of spot freight rates and the risk premium in bulk shipping Adland, Roar Os, 1972- Henry S. Marcus. Massachusetts Institute of Technology. Dept. of Ocean Engineering. Massachusetts Institute of Technology. Dept. of Ocean Engineering. Ocean Engineering. Thesis (Ph. D. in Ocean Systems Management)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2003. Vita. Includes bibliographical references (p. 141-146). The value of virtually any contract or asset in bulk shipping depends primarily on the stochastic dynamics of the forward freight rate curve. In the absence of a liquid and transparent market for forward freight agreements, the dynamics of the forward freight rate curve must be derived from the dynamics of the spot freight rate and the risk premium in the freight market. This thesis is an attempt to improve our understanding of the stochastic dynamics of freight rates and the nature and sources of risk in the freight markets. Two new spot freight rate models are proposed and estimated, applying nonparametric estimation in an effort to avoid misspecification. It is found that while a one-factor Markovian model can capture the mean reversion and level effect in the spot freight rate very well, an extension to a multi-factor non-Markovian model is required in order to account for the observed lag effects in the conditional mean and variance. New theory governing the risk premium in the freight markets is proposed, which suggests that the theoretical risk premium should be time varying and, in general, depend on the state of the freight market and the duration of the period charter in a systematic fashion. Empirical tests suggest that the implied risk premium changes over time, but are not able to confirm the dependence on the state of the spot freight market. by Road Os. Adland. Ph.D.in Ocean Systems Management 2006-03-24T16:11:25Z 2006-03-24T16:11:25Z 2003 2003 Thesis http://hdl.handle.net/1721.1/29648 53484028 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 146 p. 5748945 bytes 5748753 bytes application/pdf application/pdf application/pdf Massachusetts Institute of Technology |
| spellingShingle | Ocean Engineering. Adland, Roar Os, 1972- The stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| title | The stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| title_full | The stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| title_fullStr | The stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| title_full_unstemmed | The stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| title_short | The stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| title_sort | stochastic behavior of spot freight rates and the risk premium in bulk shipping |
| topic | Ocean Engineering. |
| url | http://hdl.handle.net/1721.1/29648 |
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