6 Publikationen

2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
Kemper, Annika, Schmeck, Maren Diane, and Khripunova Balci, Anna. 2020. The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. Vol. 635. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
Fanelli, Viviana, and Schmeck, Maren Diane. 2019. “On the seasonality in the implied volatility of electricity options”. Quantitative Finance 19 (8): 1321-1337.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
Schmeck, Maren Diane, and Schmidli, Hanspeter. 2019. Mortality Options: the Point of View of an Insurer. Vol. 616. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
Piccirilli, Marco, Schmeck, Maren Diane, and Vargiolu, Tiziano. 2019. Capturing the power options smile by an additive two-factor model for overlapping futures prices. Vol. 625. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Borovkova, Svetlana, and Schmeck, Maren Diane. 2017. “Electricity price modeling with stochastic time change”. ENERGY ECONOMICS 63: 51-65.
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022
Schmeck, Maren Diane. 2016. “PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED”. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19 (8): 1650053.
PUB | DOI | WoS
 

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