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, no.635, Bielefeld: Center for Mathematical Economics.
PUB | PDF
 
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, no.616, 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, no.625, 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), p 1321-1337.
PUB | DOI | WoS
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Borovkova, S., & Schmeck, M.D., 2017. Electricity price modeling with stochastic time change. ENERGY ECONOMICS, 63, p 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(8): 1650053.
PUB | DOI | WoS
 

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