This paper outlines the methodology to price the newly introduced Forward Ship Value Agreements (FOSVAs). FOSVAs are derivatives aimed at managing asset risk in the second-hand markets for bulk vessels and are traded over the counter. We then estimate the implied forward prices from historical...

Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This...

This paper examines the efficiency and predictive power of implied forward shipping charter rates. In particular, we examine whether implied forward 6-month time-charter rates, which are derived through the difference between time-charters with different maturities based on the term structure...

Despite the illiquid and heterogeneous nature of the second-hand market for bulk ships and the resulting difficulty of creating reliable time series of ship prices for generic ships, the literature on ship price dynamics relies heavily on time series models. In this paper we present, for the...

According to the Efficient Market Hypothesis (EMH), the use of technical trading rules, where buy and sell decisions are based on past price patterns, should not consistently yield an economically significant excess profit. This paper evaluates the validity of the EMH in the second-hand market...

The forward curve dynamics in the Nordic electricity market is examined. Six years of price data on futures and forward contracts traded in the Nordic electricity market are analysed. For the forward price function of electricity, we specify a multi‐factor term structure models in a...