6 Publikationen

2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
Kemper, A., Schmeck, M. D., and 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, 635, Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
Fanelli, V., and Schmeck, M. D. (2019). On the seasonality in the implied volatility of electricity options. Quantitative Finance 19, 1321-1337.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
Schmeck, M. D., and Schmidli, H. (2019). Mortality Options: the Point of View of an Insurer. Center for Mathematical Economics Working Papers, 616, Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
Piccirilli, M., Schmeck, M. D., and Vargiolu, T. (2019). Capturing the power options smile by an additive two-factor model for overlapping futures prices. Center for Mathematical Economics Working Papers, 625, Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Borovkova, S., and Schmeck, M. D. (2017). Electricity price modeling with stochastic time change. ENERGY ECONOMICS 63, 51-65.
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 19:1650053.
PUB | DOI | WoS
 

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