6 Publikationen

2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
A. Kemper, M.D. Schmeck, and A. Khripunova Balci, The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets, Center for Mathematical Economics Working Papers, vol. 635, Bielefeld: Center for Mathematical Economics, 2020.
PUB | PDF
 
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
V. Fanelli and M.D. Schmeck, “On the seasonality in the implied volatility of electricity options”, Quantitative Finance , vol. 19, 2019, pp. 1321-1337.
PUB | DOI | WoS
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
M.D. Schmeck and H. Schmidli, Mortality Options: the Point of View of an Insurer, Center for Mathematical Economics Working Papers, vol. 616, Bielefeld: Center for Mathematical Economics, 2019.
PUB | PDF
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
M. Piccirilli, M.D. Schmeck, and T. Vargiolu, Capturing the power options smile by an additive two-factor model for overlapping futures prices, Center for Mathematical Economics Working Papers, vol. 625, Bielefeld: Center for Mathematical Economics, 2019.
PUB | PDF
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
S. Borovkova and M.D. Schmeck, “Electricity price modeling with stochastic time change”, ENERGY ECONOMICS, vol. 63, 2017, pp. 51-65.
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022
M.D. Schmeck, “PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED”, INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, vol. 19, 2016, : 1650053.
PUB | DOI | WoS
 

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