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Steen Koekebakker

Steen Koekebakker

Professor

Department of Economics and Finance >

 

+47 38 14 15 31

+47 922 96 963

Kontor:
9I249 ( Universitetsveien 19, Kristiansand )

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). 

Faglige interesser

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.

Vitenskapelige publikasjoner

  • 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). s 65 - 81. doi:10.3905/jwm.2021.1.137.
  • Ådland, Roar Os; Benth, Fred Espen; Koekebakker, Steen (2017). Multivariate modeling and analysis of regional ocean freight rates. Transportation Research Part E: Logistics and Transportation Review. ISSN: 1366-5545. 113s 194 - 221. doi:10.1016/j.tre.2017.10.014.
  • Benth, Fred Espen; Koekebakker, Steen (2016). Stochastic modeling of Supramax spot and forward freight rates. Maritime Economics & Logistics. ISSN: 1479-2931. 18 (4). s 391 - 413. doi:10.1057/mel.2015.22.
  • Benth, Fred Espen; Koekebakker, Steen (2015). Pricing of forwards and other derivatives in cointegrated commodity markets. Energy Economics. ISSN: 0140-9883. 52s 104 - 117. doi:10.1016/j.eneco.2015.09.009.
  • Benth, Fred Espen; Koekebakker, Steen; Che Taib, Che Mohd Imran (2015). Stochastic dynamical modelling of spot freight rates. IMA Journal of Management Mathematics. ISSN: 1471-678X. 26 (3). s 273 - 297. doi:10.1093/imaman/dpu001.
  • 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.
  • 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. 1281s 531 - 534. doi:10.1063/1.3498530.
  • 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). s 53 - 86.
  • 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). s 1 - 23.
  • Zakamouline, Valeri; Koekebakker, Steen (2009). A Generalisation of the Mean-Variance Analysis. European Financial Management. ISSN: 1354-7798. 15 (5). s 934 - 970. doi:10.1111/j.1468-036X.2009.00483.x.
  • Zakamulin, Valeriy; Koekebakker, Steen (2009). A generalisation of the mean-variance analysis. European Financial Management. ISSN: 1354-7798. 15 (5). s 934 - 970.
  • 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). s 1242 - 1254. doi:10.1016/j.jbankfin.2009.01.005.
  • 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). s 2793 - 2807. doi:10.1080/00036840701720853.
  • 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). s 183 - 203.
  • Benth, Fred Espen; Koekebakker, Steen (2008). Stochastic modeling of financial electricity contracts. Energy Economics. ISSN: 0140-9883. 30 (3). s 1116 - 1157. doi:10.1016/j.eneco.2007.06.005.
  • Benth, Fred Espen; Koekebakker, Steen (2008). Stochastic modeling of financial electricity contracts. Energy Economics. ISSN: 0140-9883. 30 (3). s 1116 - 1157.
  • 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). s 52 - 66.
  • 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). s 52 - 66.
  • Alizadeh, Amir; Ådland, Roar; Koekebakker, Steen (2007). Predictive power and unbiasedness of implied forward charter rates. Journal of Forecasting. ISSN: 0277-6693. 26s 385 - 403.
  • Koekebakker, Steen; Ådland, Roar; Sødal, Sigbjørn (2007). Pricing freight rate options. Transportation Research Part E: Logistics and Transportation Review. ISSN: 1366-5545. 43s 535 - 548.
  • Benth, Fred Espen; Saltyte-Benth, Jurate; Koekebakker, Steen (2007). Putting a price on temperature. Scandinavian Journal of Statistics. ISSN: 0303-6898. 34 (4). s 746 - 767.
  • Benth, Fred Espen; Saltyte-Benth, Jurate; Koekebakker, Steen (2007). Putting a price on temperature. Scandinavian Journal of Statistics. ISSN: 0303-6898. 34s 746 - 767. doi:10.1111/j.1467-9469.2007.00564.x.
  • Ådland, Roar; Koekebakker, Steen (2007). Ship valuation using cross sectional sales data: A multivariate non-parametric approach. Maritime Economics & Logistics. ISSN: 1479-2931. 9s 105118.
  • Koekebakker, Steen; Ådland, Roar; Sødal, Sigbjørn (2006). Are spot freight rates stationary?. Journal of Transport Economics and Policy. ISSN: 0022-5258. 40 (3). s 449472.
  • Koekebakker, Steen; Ollmar, Fridthjof (2005). Forward curve dynamics in the Nordic electricity market. Managerial Finance. ISSN: 0307-4358. 31 (6). s 21.
  • Koekebakker, Steen (2004). Bruk av derivater ved konstruksjon av en investeringsportefølje. ?. 20 (3). s 55 - 64.
  • Koekebakker, Steen; Ådland, Roar (2004). Forward freight rate dynamics ? empirical evidence from time charter r. ?.
  • Ådland, Roar; Koekebakker, Steen (2004). Market efficiency in the second-hand market for bulk ships. Maritime Economics & Logistics. ISSN: 1479-2931. 6 (1). s 1 - 15.
  • 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). s 109 - 121.
  • 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). s 1018 - 1031.
  • Randøy, Trond; Koekebakker, Steen (2002). Verdiskapende eierstyring i norske børsnoterte selskaper. ?. (4). s 36 - 43.
  • Oust, Are; Krakstad, Svein Olav; Boye, Knut; Koekebakker, Steen (2018). Finansielle emner - utgave 15. ISBN: 9788202474140. Cappelen Damm Akademisk. s 320.
  • Benth, Fred Espen; Benth, Jurate S; Koekebakker, Steen (2008). Stochastic Modelling of Electricity and Related Markets. ISBN: 978-981-281-230-8. World Scientific. s 330.
  • Boye, Knut; Koekebakker, Steen (2006). Finansielle Emner. ISBN: 8202257638. Cappelen Damm Akademisk. s 1.
  • Benth, Fred Espen; Saltyte-Benth, Jurate; Koekebakker, Steen (2008). Stochastic Modelling of Electricity and Related Markets. ISBN: 978-981-281-230-8. World Scientific. s 330.
  • Koekebakker, Steen (2017). Rentetabben har kostet 335 mill.
  • Ådland, Roar Os; Koekebakker, Steen; Benth, Fred Espen (2016). Multivariate modelling of regional ocean freight rates.
  • Ådland, Roar Os; Koekebakker, Steen (2016). Decomposing the spot freight rate process.

Ekspertområder

I sosiale medier

Sist endret: 24.03.2023 21:03