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Advanced Freight Modelling & Trading

3rd June 2020 @ 9:00 am - 4th June 2020 @ 5:30 pm

This advanced two day module focuses on modelling freight rate dynamics and pricing options on freight. It discusses issues which are relevant to shipping market practitioners such as constructing forward curves on freight, modelling freight rate volatility as well as hedging and trading strategies using freight options.

The course aims to provide delegates with both a theoretical foundation as well as practical hands-on experience.

The course is delivered as a mixture of lectures and workshops by two of the shipping industry’s most respected academics.

This course is aimed at a range of individuals including, shipping company executives, freight derivative brokers, market analysts, commodity traders with an active exposure to freight as well as financial market players who want to know more about the complex freight markets.

Participants will come away from the course with a thorough understanding of how to model the physical freight market and use options on freight.

Whether you run a trading desk, are a risk manager, trade FFAs or invest in the shipping markets, the level of complexity you face is growing day by day. Understanding how to measure and manage freight rate volatility and explore the options available to the shipping professional are becoming increasingly important. As the freight derivatives market grows in sophistication, so does the range of strategies used by owners, charterers and traders.

Syllabus

Day One

Introduction to the Freight Market
– Freight contracts
– Characteristics of the freight market
– Relationship between spot and time-charter freight rates

Forward Freight Agreements (FFAs)
– Practicalities of trading
– Hedging & trading examples

Spot Price Dynamics
– Mathematical models for freight rates
– Mean reversion, seasonality & jump diffusion models
– Estimating & setting up models

Forward Curves
– Forward curve construction

Technical Analysis & Freight Trading
– Chart analysis
– Technical trading rules
– Spread trading
– Implied TC rates

Risk Management Using Options
– Freight options
– Hedging with options
– Option trading strategies

Day Two
 

Modelling Freight Rate Volatility
– Volatility models: historical, time varying and implied
– Estimation & interpretation
– Forecasting volatility

Pricing Freight Options
– Determinants of options prices
– Pricing Asian options using closed-form models
– Monte Carlo Simulation

Real Options in Shipping
– Key option value drivers
– Different types of real options
– Option to choose (spot vs t/c)
– Option to lay-up
– Real options & ship valuation
– Real options & extended Net Present Value
– Identifying & valuing real options in shipping

Writing and Risk Management of Option Positions
– Option price sensitivities (Greeks)
– Dynamic & static Delta hedge
– Delta-Gamma hedging
– Greeks of Asian options

Value at Risk of Shipping Freight Rates
– Estimation & interpretation

 

Course Leaders

Prof. Amir Alizadeh and Prof. Nikos Nomikos of Cass Business School, are both internationally recognised academics in the fields of shipping and commodity finance, and risk management. Their theoretical and applied research work has been published in leading academic and professional journals and they also provide consultancy services to the industry on different aspects of commodity and shipping risk management.

Cost

£1575 + VAT (where applicable)

 

Booking

Please contact Shena Cheng, email: scheng@navigatepr.com for further details.

 

Details

Start:
3rd June 2020 @ 9:00 am
End:
4th June 2020 @ 5:30 pm
Event Category:

Venue

Singapore Exchange
2 Shenton Way
Singapore, 068804 Singapore
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