User profiles for Steen Koekebakker
Steen KoekebakkerProfessor of finance, University of Agder Verified email at uia.no Cited by 2742 |
[BOOK][B] Stochastic modelling of electricity and related markets
FE Benth, JS Benth, S Koekebakker - 2008 - books.google.com
The markets for electricity, gas and temperature have distinctive features, which provide the
focus for countless studies. For instance, electricity and gas prices may soar several …
focus for countless studies. For instance, electricity and gas prices may soar several …
Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance
V Zakamouline, S Koekebakker - Journal of Banking & Finance, 2009 - Elsevier
This paper presents a theoretically sound portfolio performance measure that takes into
account higher moments of distribution. This measure is motivated by a study of the investor’s …
account higher moments of distribution. This measure is motivated by a study of the investor’s …
Stochastic modeling of financial electricity contracts
FE Benth, S Koekebakker - Energy Economics, 2008 - Elsevier
We discuss the modeling of electricity contracts traded in many deregulated power markets.
These forward/futures type contracts deliver (either physically or financially) electricity over a …
These forward/futures type contracts deliver (either physically or financially) electricity over a …
Forward curve dynamics in the Nordic electricity market
S Koekebakker, F Ollmar - Managerial Finance, 2005 - emerald.com
The forward curve dynamics in the Nordic electricity market is examined. Six years of price
data on futures and forward contracts traded in the Nordic electricity market are analysed. For …
data on futures and forward contracts traded in the Nordic electricity market are analysed. For …
Putting a price on temperature
…, J Šaltytė Benth, S Koekebakker - Scandinavian Journal of …, 2007 - Wiley Online Library
This paper analyzes the weather derivatives traded at the Chicago Mercantile Exchange (CME),
with futures and options written on different temperature indices. We propose to model …
with futures and options written on different temperature indices. We propose to model …
Market switching in shipping—A real option model applied to the valuation of combination carriers
This paper derives a real options model of flexibility and applies it to shipping, valuing the
option to switch between the dry bulk market and wet bulk market for a combination carrier, a …
option to switch between the dry bulk market and wet bulk market for a combination carrier, a …
Ship valuation using cross-sectional sales data: A multivariate non-parametric approach
R Adland, S Koekebakker - Maritime Economics & Logistics, 2007 - Springer
Despite the illiquid and heterogeneous nature of the second-hand market for bulk ships and
the resulting difficulty of creating reliable time series of ship prices for generic ships, the …
the resulting difficulty of creating reliable time series of ship prices for generic ships, the …
Are spot freight rates stationary?
S Koekebakker, R Adland… - Journal of Transport …, 2006 - ingentaconnect.com
In the recent literature, empirical tests of stationarity of freight rates often conclude that spot
freight rates are non-stationary processes. However, many maritime economists would argue …
freight rates are non-stationary processes. However, many maritime economists would argue …
Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
FE Benth, S Koekebakker, F Ollmar - Journal of Derivatives, 2007 - search.proquest.com
In this article, we propose a method of computing a smooth curve from observed forward
prices with settlement over a period. We consider the electricity market, where such contracts …
prices with settlement over a period. We consider the electricity market, where such contracts …
Volatility and price jumps in agricultural futures prices—evidence from wheat options
S Koekebakker, G Lien - American Journal of Agricultural …, 2004 - Wiley Online Library
Evidence suggests that agricultural futures price movements have fat‐tailed distributions
and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of …
and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of …