{"title":"Hedging voyage charter rates on illiquid routes","authors":"A. G. Mirantes, J. Población, G. Serna","doi":"10.1504/ijstl.2020.10028344","DOIUrl":null,"url":null,"abstract":"Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2020-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1504/ijstl.2020.10028344","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 2
Abstract
Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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