Steen Koekebakker

School of Business and Law at the University of Agder

Servicebox 422

Kristiansand, N-4604

Norway

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance

Number of pages: 37 Posted: 13 Feb 2008 Last Revised: 26 Aug 2008
Valeriy Zakamulin and Steen Koekebakker
University of Agder - School of Business and Law and School of Business and Law at the University of Agder
Downloads 1,861 (8,179)
Citation 3

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Sharpe ratio, skewness, kurtosis, portfolio performance evaluation

2.

The CARMA Interest Rate Model

Number of pages: 33 Posted: 30 May 2008 Last Revised: 01 Feb 2013
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Oslo, School of Business and Law at the University of Agder and University of Agder - School of Business and Law
Downloads 518 (52,999)
Citation 4

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interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration

3.

A Generalization of the Mean-Variance Analysis

Number of pages: 49 Posted: 02 Apr 2008 Last Revised: 06 Nov 2008
Valeriy Zakamulin and Steen Koekebakker
University of Agder - School of Business and Law and School of Business and Law at the University of Agder
Downloads 388 (75,412)
Citation 1

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risk aversion, loss aversion, risk measure, partial moments of distribution, mean-variance utility, quadratic utility, certainty equivalent, risk premium, optimal capital allocation, portfolio performance evaluation

4.

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Number of pages: 22 Posted: 28 Oct 2014
Fred Espen Benth and Steen Koekebakker
University of Oslo and School of Business and Law at the University of Agder
Downloads 139 (207,978)
Citation 1

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Cointegration, risk premium, CARMA processes, commodity markets, spot and forward relationship, Heath-Jarrow-Morton modeling

5.

'Preface to' Stochastic Modeling of Electricity and Related Markets

Advanced Series on Statistical Science and Applied Probability, Vol. 11
Number of pages: 3 Posted: 02 Oct 2009
Fred Espen Benth, Steen Koekebakker and Jurate Saltyte Benth
University of Oslo - Department of Mathematics, School of Business and Law at the University of Agder and University of Oslo - Akershus University Hospital
Downloads 132 (216,885)
Citation 5

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Electricity Market, Gas Market, Weather Derivatives, Temperature, Energy Market, Mean Reversion, Ornstein-Uhlenbeck Processes, Jump Processes, Levy Processes, Futures Contracts, Forward Contracts, Options

6.

Multivariate Modeling and Analysis of Regional Ocean Freight Rates

Number of pages: 32 Posted: 16 May 2017
Roar Adland, Fred Espen Benth and Steen Koekebakker
Norwegian School of Economics (NHH), University of Oslo and School of Business and Law at the University of Agder
Downloads 66 (339,945)

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Freight rates, autoregressive models in continuous time, cointegration, Forward freight agreements

7.

A Generalisation of the Mean-Variance Analysis

European Financial Management, Vol. 15, Issue 5, pp. 934-970, November 2009
Number of pages: 37 Posted: 21 Oct 2009
Valeriy Zakamulin and Steen Koekebakker
University of Agder - School of Business and Law and School of Business and Law at the University of Agder
Downloads 3 (630,313)
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8.

Volatility and Price Jumps in Agricultural Futures Prices - Evidence from Wheat Options

American Journal of Agricultural Economics, Vol. 86, No. 4, pp. 1018-1031, November 2004
Posted: 08 Oct 2004
Gudbrand Lien and Steen Koekebakker
Norwegian Agricultural Economics Research Institute and School of Business and Law at the University of Agder

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