Blar i NHH Brage på forfatter "Ånestad, Lars Eirik Nord-Varhaug"
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Statistical arbitrage in the freight options market : applying trading strategies to profit from volatility misspecification in the dry bulk shipping industry
Ånestad, Lars Eirik Nord-Varhaug; Abrahamsen, Bjarte Tysdal (Master thesis, 2019)The purpose of this thesis is to investigate trading strategies that can exploit misspecification of volatility in the freight options market. We have, using observed market prices, derived smooth forward rate curves ...