6 Publikationen

2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
Kemper, A., Schmeck, M.D. & Khripunova Balci, A. (2020). The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
Fanelli, V. & Schmeck, M.D. (2019). On the seasonality in the implied volatility of electricity options. Quantitative Finance , 19(8), 1321-1337. Routledge Journals, Taylor & Francis Ltd. doi:10.1080/14697688.2019.1582792.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
Schmeck, M.D. & Schmidli, H. (2019). Mortality Options: the Point of View of an Insurer (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
Piccirilli, M., Schmeck, M.D. & Vargiolu, T. (2019). Capturing the power options smile by an additive two-factor model for overlapping futures prices (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Borovkova, S. & Schmeck, M.D. (2017). Electricity price modeling with stochastic time change. ENERGY ECONOMICS, 63, 51-65. Elsevier Science Bv. doi:10.1016/j.eneco.2017.01.002.
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022
Schmeck, M.D. (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. World Scientific Publ Co Pte Ltd. doi:10.1142/S0219024916500539.
PUB | DOI | WoS
 

Filter und Suchbegriffe

person=84348951

Suche

Publikationen filtern

Darstellung / Sortierung

Zitationsstil: dgps

Export