We investigate the role of sentiment and its implications for real assets. We use shipping sentiment proxies that capture market expectations, valuation and liquidity, and construct sentiment indices for the capesize, panamax, handymax and handysize sectors of the dry-bulk shipping market. We...

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are...

We develop an accurate valuation setup for freight options, featuring an exponential mean-reverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we...

We develop a coherent framework for the valuation of real assets and determination of the optimal time to invest. To this end, we model the stochastic nature of income and develop methodologies for valuing traded derivatives to facilitate model calibration. A valuation paradigm for...

Crude oil derivatives form an important part of the global derivatives market. In this paper, we focus on Asian options which are favoured by risk managers being effective and cost-saving hedging instruments. The paper has both empirical and theoretical contributions: we conduct an empirical...

We examine whether investors herd in their decision to order new or scrap old vessels in the drybulk market. Our paper is seminal as herd behavior in the shipping markets has not been previously investigated. We decompose herding into unintentional and intentional, and test for herd behavior...

We consider a seasonal mean-reverting model for energy commodity prices with jumps and Heston-type stochastic volatility, as well as three nested models for comparison. By exploiting the affine form of the log-spot models, we develop a general valuation framework for futures and discrete...