Canonical correlation of shipping forward curves
Thesis (S.M. in Ocean Engineering)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2010.
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| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2011
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| Online Access: | http://hdl.handle.net/1721.1/62532 |
| _version_ | 1826205592197267456 |
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| author | Hadjiyiannis, Nicholas |
| author2 | Paul D. Sclavounos. |
| author_facet | Paul D. Sclavounos. Hadjiyiannis, Nicholas |
| author_sort | Hadjiyiannis, Nicholas |
| collection | MIT |
| description | Thesis (S.M. in Ocean Engineering)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2010. |
| first_indexed | 2024-09-23T13:15:32Z |
| format | Thesis |
| id | mit-1721.1/62532 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T13:15:32Z |
| publishDate | 2011 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/625322019-04-10T18:36:28Z Canonical correlation of shipping forward curves Hadjiyiannis, Nicholas Paul D. Sclavounos. Massachusetts Institute of Technology. Dept. of Mechanical Engineering. Massachusetts Institute of Technology. Dept. of Mechanical Engineering. Mechanical Engineering. Thesis (S.M. in Ocean Engineering)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2010. Cataloged from PDF version of thesis. Includes bibliographical references (p. 106-109). The behavior and interrelations between the main shipping forward curves are analyzed using multivariate statistics after removing the volatility distortions dictated by the Samuelson hypothesis. Principal Components Analysis and Canonical Correlation analysis were used to demonstrate how the task of explaining the various shipping forward curves can be simplified substantially and how very high correlations can be achieved between shipping forward curves. The conditions under which correlations are higher are discussed as well as the various applications of these results using case studies. Applications include trading from a hedge fund perspective, cross hedging any physical exposure in illiquid markets and portfolio optimization. Conditioning as a tool is also examined to demonstrate how more reliable correlation results can be obtained for cross hedging or other purposes, and how the best trading opportunities can be unveiled conditional on recently observed data. Tanker valuations are carried out using the adjusted forward curves with the RAFL ship valuation model. The results are very close to transaction prices for relatively modem vessels while deviations in older ships are explained with regards to phase out regulations and other factors. The ship value volatility and consequently the valuations of typical options are substantial and increase as a percentage of the ship value with age. These results have to be considered seriously in shipping transactions that include optionalities which are very common. by Nicholas A. Hadjiyiannis. S.M.in Ocean Engineering 2011-04-25T16:14:44Z 2011-04-25T16:14:44Z 2010 2010 Thesis http://hdl.handle.net/1721.1/62532 712948879 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 109 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | Mechanical Engineering. Hadjiyiannis, Nicholas Canonical correlation of shipping forward curves |
| title | Canonical correlation of shipping forward curves |
| title_full | Canonical correlation of shipping forward curves |
| title_fullStr | Canonical correlation of shipping forward curves |
| title_full_unstemmed | Canonical correlation of shipping forward curves |
| title_short | Canonical correlation of shipping forward curves |
| title_sort | canonical correlation of shipping forward curves |
| topic | Mechanical Engineering. |
| url | http://hdl.handle.net/1721.1/62532 |
| work_keys_str_mv | AT hadjiyiannisnicholas canonicalcorrelationofshippingforwardcurves |