Steen Koekebakker

Professor Department of Economics and Finance

Email: steen.koekebakker@uia.no
Phone: +47 38 14 15 31
Mobile phone: +47 92 29 69 63

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Areas of responsibility

Steen Koekebakker is a Professor of Finance at the School of Business and Law at the University of Agder. He did his undergraduate studies in Business Administration at the University of Agder. He holds a MSc in Economics and Business (Høyere Avdeling) and a PhD in Finance (Dr.oecon) from NHH Norwegian School of Economics.

His main academic interest is modeling and risk management in commodity markets, with special emphasis on electricity and shipping markets.

Koekebakker currently serves as an associate editor at the Journal of Commodity Markets (Elsevier). Together with Jurate Saltyte-Benth and Fred Espen Benth, he is the author of Stochastic modelling of electricity and related markets (World Scientific Publishing - Advanced Series on Statistical Science and Applied Probability).

Koekebakker’s other research interests are financial decision-making and household finance. He has published articles in various academic journals, among others; American Journal of Agricultural Economics, Journal of Banking and Finance, European Financial Management, International Journal of Theoretical and Applied Finance, Journal of Derivatives, Scandinavian Journal of Statistics, Journal of Forecasting, The Energy Journal, Energy Economics, Journal of Shipping and Transport Logistics and Journal of Transport Economics and Policy.

Koekebakker received the best paper award for young researchers at the 2006 FIBE conference at NHH for the paper Stochastic modelling of financial electricity contracts (joint with Fred Espen Benth). Koekebakker and Zakamulin won best paper award at the European Financial Management Association Conference in Athens 2008 for the paper Analysis of financial decision making with loss aversion. Koekebakker also received the Competence Fund of Southern Norway’s prize for popular science in 2010 for the work on financial retail products (awarded by Agder Academy of Sciences and Letters.)

Koekebakker previously served as head of the finance and accounting faculty group. He held a part-time position as special advisor at Agder Energi for 10 years (2005-2015). He served as deputy member of the board of Kristiansand Kommunale Pensjonskasse (2012-2016).

Research

Academic interests

Courses taught:

Sustainable Capitalism
Financial Management
Corporate Finance
Investments
Portfolio management
Derivatives and risk management
International finance
Shipping economics

Member of PhD thesis advisor committee:

Dennis Frestad (2003 – 2007): Essays on corporate risk management and electricity swap return dynamics. Thesis defence: 17. December, NHH, 2007.
Linda Vos (2007 - 2012): Stochastic volatility and multi-dimensional modeling in the European energy market. Thesis defence: 12. October, UiO, 2012.
Che Mohd Imran Che Taib (2010-2013): Stochastic Modelling and Pricing of Energy Related Markets with the Analysis of the Weather and Shipping Markets. Thesis defence: 21. June, UiO, 2013.

Research groups

Financial and economic behavior

Koekebakker, Steen & Zakamulin, Valeriy (2021). Warren Buffett versus Zvi Bodie: Should You Buy Or Sell Put Options? The journal of wealth management. ISSN 1534-7524. 24(2), p. 65–81. doi: 10.3905/jwm.2021.1.137. Full text in Research Archive
Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018). Multivariate modeling and analysis of regional ocean freight rates. Transportation Research Part E: Logistics and Transportation Review. ISSN 1366-5545. 113, p. 194–221. doi: 10.1016/j.tre.2017.10.014. Full text in Research Archive Show summary
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
Benth, Fred Espen & Koekebakker, Steen (2016). Stochastic modeling of Supramax spot and forward freight rates. Maritime Economics & Logistics. ISSN 1479-2931. 18(4), p. 391–413. doi: 10.1057/mel.2015.22. Full text in Research Archive
Benth, Fred Espen; Koekebakker, Steen & Taib, Che Mohd Imran Che (2015). Stochastic dynamical modelling of spot freight rates. IMA Journal of Management Mathematics. ISSN 1471-678X. 26(3), p. 273–297. doi: 10.1093/imaman/dpu001. Full text in Research Archive
Benth, Fred Espen & Koekebakker, Steen (2015). Pricing of forwards and other derivatives in cointegrated commodity markets. Energy Economics. ISSN 0140-9883. 52, p. 104–117. doi: 10.1016/j.eneco.2015.09.009. Full text in Research Archive Show summary
We analyze cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price models based on continuous-time autoregressive moving average dynamics for the stationary components. The term structures have many interesting shapes, and we provide some empirical evidence from refined oil future prices at NYMEX defending our modeling idea. Motivated from these results, we present a cointegrated forward price dynamics using the Heath–Jarrow–Morton approach. In this setting, the concept of cointegration is extended to what we call cointegration in the limit, which is an asymptotic form of the notion. The Margrabe formula for spread option prices is shown to hold, with an explicit plug-in volatility. We present several numerical examples showing that cointegration leads to significantly cheaper spread options compared to the complete market case, where cointegration disappears with respect to the pricing measure.
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen & Zakamulin, Valeriy (2014). The CARMA interest rate model. International Journal of Theoretical and Applied Finance. ISSN 0219-0249. 17(2). doi: 10.1142/S0219024914500083. Full text in Research Archive Show summary
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Andresen, Arne; Koekebakker, Steen & Westgaard, Sjur (2010). Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution. Journal of Energy Markets. ISSN 1756-3607. 3(3), p. 1–23. doi: 10.21314/JEM.2010.051. Full text in Research Archive Show summary
This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses the heavy tails characterizing electricity forward prices. We fit the model to forward prices from the Nordic power exchange using a Markov chain Monte Carlo algorithm. This is then compared with Gaussian-based multifactor models in terms of goodness of fit to historical log returns. Our finding is that the proposed model offers a superior fit to the empirical distributions.
Benth, Fred Espen; Frestad, Dennis & Koekebakker, Steen (2010). Modeling Term Structure Dynamics in the Nordic Electricity Swap Market. Energy Journal. ISSN 0195-6574. 31(2), p. 53–86. Full text in Research Archive Show summary
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable law in the vast majority of cases. Thus, the NIG family of distributions, which allows for stochastic dynamics in terms of Levy processes that are suitable for pricing derivatives and Value-at-Risk measurements, is a serious candidate for modeling term structure dynamics in the Nordic electricity market.
Benth, Fred Espen; Koekebakker, Steen & Zakamouline, Valeri (2010). A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components. AIP Conference Proceedings. ISSN 0094-243X. 1281, p. 531–534. doi: 10.1063/1.3498530. Full text in Research Archive
Sødal, Sigbjørn; Koekebakker, Steen & Adland, Roar (2009). Value based trading of real assets in shipping under stochastic freight rates. Applied Economics. ISSN 0003-6846. 41(22), p. 2793–2807. doi: 10.1080/00036840701720853. Full text in Research Archive Show summary
The article uses a real options valuation model with stochastic freight rates to investigate market efficiency and the economics of switching between the dry bulk and the tanker markets in international shipping. A dry bulk carrier is replaced with a tanker when the expected net present value of such a switch is optimal from a real options based decision rule. Depending on the development of the markets a reversal may take place later. The cost and demand parameters upon which the decisions to switch are made, including the stochastic characteristics of freight rates, are estimated from an empirical analysis that is updated every week throughout a 12-year time period from 1993 to 2005. The second-hand market for bulk ships seems to have been efficient most of these years in the sense that market switching usually did not pay off, with one major exception: it seemed profitable in expectation to leave the dry bulk market and enter the tanker market over a significant period of time shortly after the millennium shift, and to return to the dry bulk market about three years later. These points in time corresponded with an unprecedented boom period in the tanker and dry bulk freight markets, respectively, and the result suggest that agents in the second-hand market were slow to adjust their expectations. In retrospect, such an investment policy also happened to be profitable compared to staying put in the tanker market, even after accounting for transaction costs.
Zakamulin, Valeriy & Koekebakker, Steen (2009). A generalisation of the mean-variance analysis. European Financial Management. ISSN 1354-7798. 15(5), p. 934–970. Full text in Research Archive
Zakamouline, Valeri & Koekebakker, Steen (2009). Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking & Finance. ISSN 0378-4266. 33(7), p. 1242–1254. doi: 10.1016/j.jbankfin.2009.01.005. Full text in Research Archive Show summary
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 preferences to higher moments of distribution within Expected Utility Theory and an approximation analysis of the optimal capital allocation problem. We show that this performance measure justifies the notion of the Generalized Sharpe Ratio (GSR) introduced by Hodges (1998). We present two methods of practical estimation of the GSR: nonparametric and parametric. For the implementation of the parametric method we derive a closed-form solution for the GSR where the higher moments are calibrated to the normal inverse Gaussian distribution. We illustrate how the GSR can mitigate the shortcomings of the Sharpe ratio in resolution of Sharpe ratio paradoxes and reveal the real performance of portfolios with manipulated Sharpe ratios. We also demonstrate the use of this measure in the performance evaluation of hedge funds. (C) 2009 Elsevier B.V. All rights reserved.
Zakamouline, Valeri & Koekebakker, Steen (2009). A Generalisation of the Mean-Variance Analysis. European Financial Management. ISSN 1354-7798. 15(5), p. 934–970. doi: 10.1111/j.1468-036X.2009.00483.x. Full text in Research Archive Show summary
In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This 'mean-partial moments' utility generalises not only mean-variance utility of Tobin and Markowitz, but also mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision maker in this framework exhibits three types of aversions: aversion to loss, aversion to uncertainty in gains, and aversion to uncertainty in losses. Finally we present a solution to the optimal capital allocation problem and derive an expression for a portfolio performance measure which generalises the Sharpe and Sortino ratios. We demonstrate that in this framework the decision maker's skewness preferences have first-order impact on risk measurement even when the risk is small.
Benth, Fred Espen & Koekebakker, Steen (2008). Stochastic modeling of financial electricity contracts. Energy Economics. ISSN 0140-9883. 30(3), p. 1116–1157. doi: 10.1016/j.eneco.2007.06.005. Full text in Research Archive
Benth, Fred Espen & Koekebakker, Steen (2008). Stochastic modeling of financial electricity contracts. Energy Economics. ISSN 0140-9883. 30(3), p. 1116–1157. Full text in Research Archive Show summary
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 specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (c) 2007 Elsevier B.V. All rights reserved.
Sødal, Sigbjørn; Koekebakker, Steen & Ådland, Roar (2008). Market switching in shipping A real option model applied to the valuation of combination carriers. Review of Financial Economics. ISSN 1058-3300. 17(3), p. 183–203. Full text in Research Archive Show summary
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 ship type that is capable of operating in both markets but that has fallen out of favor due to high price tags. The model is a mean-reverting (Ornstein¿Uhlenbeck) version of a standard entry¿exit model with stochastic prices. A closed form solution for the value of flexibility is derived, expressed in terms of Kummer functions. The estimated value of flexibility is related to historical price differentials between combination carriers and oil tankers of comparable size. Based on numerical experiments it is concluded that new combination carriers may enter the market in the near future.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007). Putting a price on temperature. Scandinavian Journal of Statistics. ISSN 0303-6898. 34, p. 746–767. doi: 10.1111/j.1467-9469.2007.00564.x. Full text in Research Archive
Benth, Fred Espen; Koekebakker, Steen & Ollmar, Fridthjof (2007). Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation. Journal of Derivatives. ISSN 1074-1240. 15(1), p. 52–66. Full text in Research Archive
Alizadeh, Amir; Ådland, Roar & Koekebakker, Steen (2007). Predictive power and unbiasedness of implied forward charter rates. Journal of Forecasting. ISSN 0277-6693. 26, p. 385–403. Full text in Research Archive
Koekebakker, Steen; Ådland, Roar & Sødal, Sigbjørn (2007). Pricing freight rate options. Transportation Research Part E: Logistics and Transportation Review. ISSN 1366-5545. 43, p. 535–548. Full text in Research Archive Show summary
In this paper we set up the theoretical framework for the valuation of the Asian-style options traded in the freight derivatives market. Assuming lognormal spot freight dynamics, we show that Forward Freight Agreements (FFA) are also lognormal prior to the settlement period, but that this lognormality subsequently breaks down. We suggest approximate dynamics in the settlement period for the FFA that leads to closed-form option pricing formulas for Asian call and put options written on the spot freight rate indices in the Black [Black, F., 1976. The pricing of commodity contracts. Journal of Financial Economics 3, 167-179.] framework. In a Monte Carlo experiment we show that our formula gives very accurate prices, in particular for forward -starting freight options. (C) 2006 Elsevier Ltd. All rights reserved.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007). Putting a price on temperature. Scandinavian Journal of Statistics. ISSN 0303-6898. 34(4), p. 746–767. Full text in Research Archive
Benth, Fred Espen; Ollmar, Fridthjof & Koekebakker, Steen (2007). Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation. Journal of Derivatives. ISSN 1074-1240. 15(1), p. 52–66. Full text in Research Archive
Ådland, Roar & Koekebakker, Steen (2007). Ship valuation using cross sectional sales data: A multivariate non-parametric approach. Maritime Economics & Logistics. ISSN 1479-2931. 9, p. 105118–105118. Full text in Research Archive
Koekebakker, Steen; Ådland, Roar & Sødal, Sigbjørn (2006). Are spot freight rates stationary? Journal of Transport Economics and Policy. ISSN 0022-5258. 40(3), p. 449472–449472. Full text in Research Archive
Koekebakker, Steen & Ollmar, Fridthjof (2005). Forward curve dynamics in the Nordic electricity market. Managerial Finance. ISSN 0307-4358. 31(6), p. 21–21. Full text in Research Archive
Koekebakker, Steen & Lien, Gudbrand (2004). Volatility and Price Jumps in Agricultural Futures Prices—Evidence from Wheat Options. American Journal of Agricultural Economics. ISSN 0002-9092. 86(4), p. 1018–1031. Full text in Research Archive
Ådland, Roar; Haying, Jia & Koekebakker, Steen (2004). The Pricing of Forward Ship Value Agreements and the Unbiasedness of Implied Forward Prices in the Second-Hand Market for Ships. Maritime Economics & Logistics. ISSN 1479-2931. 6(2), p. 109–121. Full text in Research Archive
Koekebakker, Steen (2004). Bruk av derivater ved konstruksjon av en investeringsportefølje. Praktisk økonomi & ledelse. ISSN 3084-1305. 20(3), p. 55–64. doi: 10.18261/ISSN1504-2871-2004-03-08. Full text in Research Archive Show summary
Har du mange penger? Da er det sikkert en forvalter som er interessert i å investere disse for deg. I denne artikkelen gis en oversikt over ulike investeringsstrategier, og hvordan derivater kan utgjøre en fleksibel og kostnadseffektiv måte å implementere eller komplettere investeringsstrategiene på.
Ådland, Roar & Koekebakker, Steen (2004). Market efficiency in the second-hand market for bulk ships. Maritime Economics & Logistics. ISSN 1479-2931. 6(1), p. 1–15. Full text in Research Archive
Koekebakker, Steen & Ådland, Roar (2004). Forward freight rate dynamics ? empirical evidence from time charter r. ?. Full text in Research Archive
Randøy, Trond & Koekebakker, Steen (2002). Verdiskapende eierstyring i norske børsnoterte selskaper. Praktisk økonomi & ledelse. ISSN 3084-1305. p. 36–43. doi: 10.18261/ISSN1504-2871-2002-01-06. Full text in Research Archive Show summary
Målsetningen med denne artikkelen er tredelt. For det første ønsker vi å diskutere hvordan eierstyring påvirker et selskaps lønnsomhet/verdi. For det andre vil vi belyse empiriske resultater knyttet til norske børsnoterte selskaper. For det tredje presenterer vi argumenter for hvorfor det er viktig med ytterligere norsk forskningsinnsats på dette området.

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Hunnes, John Arngrim; Ingulfsvann, Are Severin & Koekebakker, Steen (2025). Etikk og bærekraft for økonomer. Cappelen Damm Akademisk. ISBN 9788202613303. 300 p. Full text in Research Archive
Oust, Are; Krakstad, Svein Olav; Boye, Knut & Koekebakker, Steen (2018). Finansielle emner - utgave 15. Cappelen Damm Akademisk. ISBN 9788202474140. 320 p. Full text in Research Archive
Benth, Fred Espen; Benth, Jurate S & Koekebakker, Steen (2008). Stochastic Modelling of Electricity and Related Markets. World Scientific. ISBN 9789812812308. 330 p. Full text in Research Archive
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2008). Stochastic Modelling of Electricity and Related Markets. World Scientific. ISBN 9789812812308. 330 p. Full text in Research Archive
Boye, Knut & Koekebakker, Steen (2006). Finansielle Emner. Cappelen Damm Akademisk. ISBN 9788202257637. 1 p. Full text in Research Archive

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Koekebakker, Steen (2017). Rentetabben har kostet 335 mill. [Journal]. Fædrelandsvennen. Full text in Research Archive
Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016). Multivariate modelling of regional ocean freight rates. Full text in Research Archive
Ådland, Roar Os & Koekebakker, Steen (2016). Decomposing the spot freight rate process. Full text in Research Archive Show summary
Most research on the dynamics of spot freight rates in bulk shipping attempts to model prices as a univariate stochastic process, either in continuous time (e.g. Geometric Brownian motions and variations thereof) or discrete time (ARIMA-GARCH type models). An alternative approach is to build a full-blown economic equilibrium model of the supply & demand for freight services. While the latter can easily account for a realistic supply function and the changes thereof, a weakness with this approach is that demand is often unobservable in real-life empirical work. Moreover, spot freight rates during strong freight markets will frequently be at levels far removed from the marginal cost of producing transportation which means that the classical marginal cost function is not what sets freight rates but rather some unknown auction-like behavior. In this paper we propose a third and new way to model spot freight rates by decomposing the observed process into two separate but additive processes, namely: (1) a marginal cost process that depends on the marine fuel price and the technical specifications of the fleet and (2) a residual process (‘markup’) that is equal to the difference between the observed spot freight rate and the marginal cost. The latter can be interpreted as the excess profit for the least efficient vessel in the fleet. This decomposition, which is new to the literature, has numerous benefits. Firstly, the stochastic spot freight rate process will not be independent of the technical specifications of the ships in the fleet but will reflect changes in its composition over time. This allows the simulation of the impact of both evolutionary and revolutionary future shifts in ship designs (such as the gradual creep in DWT sizes or new eco-efficient designs). Perhaps more importantly, we are able to account for changes to the spot freight rate process that are of a permanent nature, such as the removal of old inefficient turbine tankers from the fleet. Secondly, a separation of the part of the spot freight rate that depends on the fuel price (through the marginal cost) enables us to specify a stochastic process for the bunker price that more accurately reflects the observed dynamics of the oil market. For instance, it is likely that the ten-fold increase in fuel costs over the last 15 years has contributed to the appearance of non-stationarity of certain spot freight rate series (on a $/tonne basis). We estimate the marginal cost and the markup as two separate ARIMA processes, and discuss economic implications for our findings. Using spot rate data from the LPG and VLCC freight markets, our main statistical findings are as follows. The marginal cost process seems to be non-stationary. This is not very surprising, as it closely related to crude oil. The markup is found to be stationary, but has strong persistence. The qualitative features of our decomposition seem robust across market segments, indicating that our analysis applies to shipping markets in general.
Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen (2010). A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components. Full text in Research Archive
Koekebakker, Steen (2009). Derivatives and Risk Management in Shipping. International Journal of Shipping and Transport Logistics. ISSN 1756-6517. 1(1), p. 100–102. Full text in Research Archive
Koekebakker, Steen & Zakamouline, Valeri (2008). Can we measure portfolio performance? ?. 9(1), p. 63–67. Full text in Research Archive
Sødal, Sigbjørn & Koekebakker, Steen (2007). Real options with non-linear dynamics. Full text in Research Archive Show summary
The value of a real or financial option depends among other factors on the assumption of the underlying stochastic process. Linear and loglinear processes are most common, such as the arithmetic Brownian motion, the geometric Brownian motion and the Ornstein-Uhlenbeck process. In the time series literature, non-linear continuous time models have been developed. One such class of models is the threshold-autoregressive model, where the dynamic process changes character depending on whether the process is above or below a certain threshold. In this paper we investigate real option modelling when uncertainty can be described by a continuous time threshold autoregression. Closed form solutions to perpetual American options on such processes are derived. Various applications are studied, focusing on how uncertainty and non-linearity can a?ect option valuation and investment. This includes examples where uncertainty encourages investment, contrary to the result with most real options models.
Koekebakker, Steen & Zakamouline, Valeri (2007). Svar på DnB NOR Markets' metodekritikk. Praktisk Økonomi & Finans. ISSN 1501-0074. 4(bare elektronisk ver). Full text in Research Archive Show summary
DnB NOR Markets er kritiske til metoden som benyttes i Koekebakker og Zakamouline (2007) og foreslår et alternativ. Her diskuterer vi vår metode og sammenholder det alternative forslaget. Kort oppsummert er DnB NORs metode upassende for investorer med lang investeringshorisont. Den umuliggjør en enkel sammenligning med fornuftige plasseringsalternativer. Avkastningen vektes over tid i henhold til hvor mange produkter som til enhver tid tilbys i markedet. DnB NOR Markets¿ metode virker uegnet til å vurdere historisk avkastning på garanterte spareprodukter, og vi fastholder vårt opprinnelige valg av metode.
Koekebakker, Steen & Zakamouline, Valeri (2007). Svar på metodekritikk fra DnBNOR markets. Praktisk Økonomi & Finans. ISSN 1501-0074. (web-publisering). Full text in Research Archive
Koekebakker, Steen & Zakamouline, Valeri (2007). Realisert avkastning på aksjeindeksobligasjoner. Praktisk Økonomi & Finans. ISSN 1501-0074. p. 75–87. Full text in Research Archive
Koekebakker, Steen & Zakamouline, Valeri (2007). Historisk Avkastning på Garanterte Spareprodukter. Praktisk Økonomi & Finans. ISSN 1501-0074. 4. Full text in Research Archive Show summary
I denne artikkelen undersøker vi historisk avkastning på garanterte spareprodukter. Risikoen ved slike investeringsprodukter er høyere enn risikofri eksponering, og lavere enn full eksponering mot det underliggende markedet. Dette skulle tilsi en forventet ekstraavkastning utover bankrenten. Resultatet er totalt sett nedslående. Realisert avkastning for garanterte spareprodukter over en 10-årsperiode ligger klart under bankrenten.
Sødal, Sigbjørn; Koekebakker, Steen & Ådland, Roar (2006). Value based trading of real assets in shipping under stochastic freight rates. Full text in Research Archive Show summary
The paper uses a real options valuation model with stochastic freight rates to investigate market efficiency and the economics of switching between the dry bulk and the tanker markets in international shipping. A dry bulk carrier is replaced with a tanker when the expected net present value of such a switch is optimal from a real options based decision rule. Depending on the development of the markets a reversal may take place later. The cost and demand parameters upon which the decisions to switch are made, including the stochastic characteristics of freight rates, are estimated from an empirical analysis that is updated every week throughout a 12-year time period from 1993 to 2005. The second-hand market for bulk ships seems to have been efficient most of these years in the sense that market switching usually did not pay off, with one major exception: it seemed profitable in expectation to leave the dry bulk market and enter the tanker market over a significant period of time shortly after the millennium shift, and to return to dry bulk market about three years later. These points in time corresponded with an unprecedented boom period in the tanker and drybulk freight markets, respectively, and the result suggest that agents in the second-hand market were slow to adjust their expectations. In retrospect, such an investment policy also happened to be profitable compared to staying put in the tanker market, even after accounting for transaction costs.
Vogstad, Klaus-Ole; Ollmar, Fridthjof; Handaa, Tor; Koekebakker, Steen & Olsen, fredrik (2006). Stochasticity in electricity markets : Combining system dynamics with financial economics. Full text in Research Archive
Koekebakker, Steen & Zakamouline, Valeri (2006). Forventet Avkastning på Aksjeindeksobligasjoner. Praktisk Økonomi & Finans. ISSN 1501-0074. 4, p. 75–87. Full text in Research Archive Show summary
Aksjeindeksobligasjoner er blitt en populær spareform i Norge, og mange velger å lånefinansiere slike investeringer. Hovedgrunnen til populariteten er utvilsomt at tapspotensialet er begrenset og at flere finansinstitusjoner har brukt store ressurser på markedsføring av produktene. Det har frem til nå vært svært lite fokus på gevinstpotensialet til disse produktene. I denne artikkelen forklarer vi hvordan vi kan beregne forventet avkastning på aksjeindeksobligasjoner. Vi eksemplifiserer med to produkter som ble lansert av DnB høsten 2000. Selv med optimistiske antagelser om forventet avkastning i aksjemarkedet, viser det seg at forventet avkastning på disse produktene så vidt overstiger risikofri rente. Ved lånefinansiering finner vi at kundene har negativ forventet avkastning
Koekebakker, Steen (2006). Electricity term structure modelling. Full text in Research Archive
Koekebakker, Steen (2006). Modelling electricity and related markets. Full text in Research Archive
Koekebakker, Steen; Ådland, Roar & Sødal, Sigbjørn (2005). Modelling freight rate derivatives. Full text in Research Archive
Sødal, Sigbjørn; Randøy, Trond & Koekebakker, Steen (2004). Vent med flere høybroer. Full text in Research Archive
Ådland, Roar; Koekebakker, Steen & Sødal, Sigbjørn (2004). Vessel valuation in bulk shipping: A multivariate density approach. Full text in Research Archive
Alizadeh, Amir; Ådland, Roar & Koekebakker, Steen (2004). Unbiasedness of implied forward time-charter rates. Full text in Research Archive
Koekebakker, Steen; Sødal, Sigbjørn & Ådland, Roar (2004). The non-stationarity of freight rates revisited. Full text in Research Archive
Koekebakker, Steen & Ådland, Roar (2003). Market efficiency in the second-hand market for bulk ships. Full text in Research Archive
Koekebakker, Steen & Lien, Gudbrand (2003). Term structure of volatility and price jumps in agricultural markets - evidence from option data. Full text in Research Archive
Koekebakker, Steen & Ådland, Roar (2003). The pricing of forward ship value agreements and the unbiasedness of implied forward prices in the second-hand market for ships. Full text in Research Archive
Koekebakker, Steen (2003). Forward curve dynamics in the Nordic electricity market. Full text in Research Archive
Koekebakker, Steen & Ådland, Roar (2003). Forward freight rate dynamics – evidence from bulk market T/C rates. Full text in Research Archive
Koekebakker, Steen & Lien, Gudbrand (2002). Term structure of volatility and price jumps in agricultural markets - evidence from option data. Full text in Research Archive
Sødal, Sigbjørn & Koekebakker, Steen (2002). Valuling an operating electricity production unit. Full text in Research Archive
Koekebakker, Steen (2001). Volatility dynamics in the Nordic electricity market. Full text in Research Archive
Koekebakker, Steen (2001). Approximate Asian option pricing in the Black'76 framework. Full text in Research Archive
Koekebakker, Steen (2001). Electricity derivatives. Full text in Research Archive
Koekebakker, Steen & Lien, Gudbrand (2001). Term structure of volatility and price jumps in agricultural markets. Full text in Research Archive
Koekebakker, Steen (2000). Interpreting Asian options as European with stochastic volatility. Full text in Research Archive
Koekebakker, Steen (2000). A lognormal approximation of Asian options. Full text in Research Archive
Koekebakker, Steen & Ollmar, Fridthjof (2000). Electricity forward curve dynamics: Evidence from the Nordic market. Full text in Research Archive
Koekebakker, Steen & Zakamouline, Valeri (2006). Forventet Avkastning på Aksjeindeksobligasjoner. Universitetet i Agder. Full text in Research Archive
Benth, Fred Espen & Koekebakker, Steen (2005). Stochastic modeling of financial electricity contracts. Universitetet i Oslo. Full text in Research Archive Show summary
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 specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We provide a thorough discussion of how the Nordic power market Nord Pool is organized, in order to motivate a Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined. For general stochastic dynamical models, we connect the spot price, the fixed-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing fixed-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery period. To overcome this problem, we suggest a practical modeling approach where we suppose that the market only consists of non-overlapping swaps, and model these directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research.
Borgersen, Trond-Arne; Greibrokk, Jørund H.; Greibrokk, Jørund H. & Koekebakker, Steen (2004). Livssykluser og priseffekter i boligmarkedet: Effekter fra husholdningenes flyttetilbøyelighet. Høgskolen i Finnmark. Full text in Research Archive
Borgersen, Trond-Arne; Greibrokk, Jørund H.; Greibrokk, Jørund H. & Koekebakker, Steen (2004). Livssykluser og priseffekter i boligmarkedet : effekter fra husholdningenes flyttetilbøyelighet. UiT Norges arktiske universitet. ISSN 9788279381068. Full text in Research Archive Show summary
Artikkelen analyserer effekten av husholdningers flyttetilbøyelighet på utviklingen i boligprisene. Utgangspunktet for analysen er en etterspørsels antatte livssyklus, som avhenger av utviklingen i forholdet mellom andelen aktive og andelen passive (enda ikke-aktive) etterspørrere. Tilbudssiden i boligmarkedet er fullstendig undertrykt. På kort sikt drives markedet av andelen aktive etterspørrere. På lang sikt er alle potensielle etterspørrere aktivert. Et konvensjonelt livssyklusmønster avhenger av at etterspørselen er homogen, og består av husholdninger som driver gjentatt etablering når de er aktivert. Når livssyklusen er fullendt er prisnivået da på sitt høyeste. Transaksjonssannsynligheten er konstant over livssyklusen, og derfor har livssyklusen ingen effekt på prisveksten i langsiktig likevekt. Prisveksten har imidlertid en kortsiktig overreaksjon over livssyklusen, sammenlignet med livssyklusens bidrag til prisvekst i langsiktig likevekt. Dersom etterspørselen er homogen, men husholdningene er engangsetablerere, påvirker ikke livssyklusen prisnivået i langsiktig likevekt. Heller ikke i dette tilfellet genererer livssyklusen prisvekst i langsiktig likevekt, da etterspørselen reduseres kontinuerlig over livssyklusen helt til husholdningene har etablert seg (ferdig). I tilfellet med engangsetablerere avviker markedsutviklingen fra livssyklusmønsteret og gir opphav til en kortsiktig overreaksjon i prisnivå, sett i forhold til livssyklusens bidrag til prisnivå i langsiktig likevekt. I tilfellet med engangsetablerere gir livssyklusen et ”bølgete” bidrag til prisveksten. Med heterogen etterspørsel, der både engangsetablerere og gjentatte etablerere er tilstede, kan markedet oppleve perioder med kortsiktige overreaksjoner i prisnivå og prisvekst. Jo større andel av etterspørrerne som er engangsetablere, desto større er den kortsiktige overreaksjonen i prisnivå sett i forhold til livssyklusens bidrag til prisnivå i langsiktig likevekt. Modellen illustrerer hvordan endringer i flyttetilbøyelighet kan påvirke prisprosessene i boligmarkedet, og at lokale forskjeller i prisnivå eller prisvekst, kan være et resultat av at boligmarkeder er i ulike faser av livssyklusen.
Koekebakker, Steen & Ådland, Roar (2003). Modeling forward freight rate dynamics – empirical evidence from time charter rates. Universitetet i Agder. Full text in Research Archive
Koekebakker, Steen (2003). An arithmetic forward curve model for the electricity market. Full text in Research Archive
Koekebakker, Steen (2002). Valuation of Asian options and commodity contingent claims. Norges Handelshøyskole. ISSN 9788240500771. Full text in Research Archive
Sødal, Sigbjørn & Koekebakker, Steen (2001). The value of an operating electricity production unit. Full text in Research Archive Show summary
In this paper we develop an equilibrium-based net present value model of an operating electricity production unit whose supply is given by a stochastic, mean-reverting process. The price process for electricity is derived from an underlying pair of stochastic, aggregate supply and demand processes that are also mean-reverting, while the instantaneous supply and demand functions are iso-elastic. The model is illustrated by a set of experimental data.
Koekebakker, Steen & Lien, Gudbrand (2001). Term structure of volatility and price jumps in agricultural markets - evidence from option data. Institutt for foretaksøkonomi. Norges handelshøyskole. Full text in Research Archive Show summary
Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and un xpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This paper extends Bates (1991) jump-diffusion option pricing model by including both seas nal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures show that our model outperforms previous models considered in the literature. A numerical example illustrates the economic significance of our results for option valuation.
Koekebakker, Steen & Ollmar, Fridthjof (2001). Forward Curve Dynamics in the Nordic Electricity Market. Norges Handelshøyskole. Full text in Research Archive Show summary
The purpose of this paper is to investigate the forward curve dynamics in an electricity market. Six years of price data on f tures and forward contracts traded in the Nordic electricity market are analysed. For the forward price function of electricity, we specify two different multifactor term structure models in a Heath-Jarrow-Morton framework. Principal component analysis is used to reveal the volatility structure in the market. A two-factor model explains 75% of the price variation in our data, compared to approximately 95% in most other markets. Further investigations show that correlation between short- and long term forward prices is lower than in other markets. We briefly discuss possible reasons why these special properties occur, and some consequences for hedging exposures in this market.

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Published Apr. 16, 2024 11:17 AM