<section xml:id="fut21657-sec-0001"> This study investigates the dependence structure between correlated petroleum forward curves. After decomposing the term structure into level, slope, and curvature shocks we develop a flexible multi‐regime error‐correction factor model of the dynamics of the joint evolution of commodity...</section>

In this paper we employ regime volatility models to describe time dependency in petroleum markets. Using a sample of NYMEX and ICE futures contracts, we establish the existence of a regime process and link this process to market fundamentals. This formulation results in two distinct states: a...

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...

The aim of this paper is to investigate, for the first time, the performance of trading strategies based on the combination of technical trading rules and fundamental analysis in the sale and purchase market for dry bulk ships. Using a sample of price and charter rates over the period January...