Analysis of the risk premium in the forward market for salmon

Fred Espen Benth, Anne Maria Eikeset, Simon Asher Levin, Wanjuan Ren

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a non-stationary compound Poisson process and a stationary continuous-time autoregressive dynamics, describing the bumps observed in the forward curves. We use the model to analyse the risk premium in the forward markets, and find a negative premium in the long end of the market which is in line with the theory of normal backwardation. However, contracts with short time to maturity have a risk premium with randomly changing sign, pointing towards a hedging pressure also induced by the demand-side of the market.

Original languageEnglish (US)
Article number100122
JournalJournal of Commodity Markets
StatePublished - Mar 2021

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


  • Autoregressive models in continuous time
  • Futures prices
  • Salmon futures


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