15 Publikationen
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Eisenberg J, Fabrykowski L, Schmeck MD (2021)
Risks 9(4): 73.
PUB
| PDF | DOI | WoS
Eisenberg J, Fabrykowski L, Schmeck MD (2021)
Risks 9(4): 73.
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Eisenberg J, Fabrykowski L, Schmeck MD (2021) Center for Mathematical Economics Working Papers; 648.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Eisenberg J, Fabrykowski L, Schmeck MD (2021) Center for Mathematical Economics Working Papers; 648.
Bielefeld: Center for Mathematical Economics.
2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
Optimal switch from a fossil-fueled to an electric vehicle
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2021)
Decisions in Economics and Finance.
PUB | DOI | WoS
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2021)
Decisions in Economics and Finance.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012
A decomposition of general premium principles into risk and deviation
Nendel M, Riedel F, Schmeck MD (2021)
Insurance: Mathematics and Economics 100: 193-209.
PUB | DOI | WoS
Nendel M, Riedel F, Schmeck MD (2021)
Insurance: Mathematics and Economics 100: 193-209.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach
Schmeck MD, Schwerin S (2021)
Risks 9(5): 100.
PUB
| PDF | DOI | WoS
Schmeck MD, Schwerin S (2021)
Risks 9(5): 100.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli M, Schmeck MD, Vargiolu T (2021)
Energy Economics 95: 105006.
PUB | DOI | WoS
Piccirilli M, Schmeck MD, Vargiolu T (2021)
Energy Economics 95: 105006.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305
Mortality options: The point of view of an insurer
Schmeck MD, Schmidli H (2021)
Insurance: Mathematics and Economics 96: 98-115.
PUB | DOI | WoS
Schmeck MD, Schmidli H (2021)
Insurance: Mathematics and Economics 96: 98-115.
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Kemper A, Schmeck MD, Khripunova Balci A (2020) Center for Mathematical Economics Working Papers; 635.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Kemper A, Schmeck MD, Khripunova Balci A (2020) Center for Mathematical Economics Working Papers; 635.
Bielefeld: Center for Mathematical Economics.
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

Decomposition of General Premium Principles into Risk and Deviation
Nendel M, Schmeck MD, Riedel F (2020) Center for Mathematical Economics Working Papers; 638, aktual. Version July 2020.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Nendel M, Schmeck MD, Riedel F (2020) Center for Mathematical Economics Working Papers; 638, aktual. Version July 2020.
Bielefeld: Center for Mathematical Economics.
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

Optimal Switch from a Fossil-Fueled to an Electric Vehicle
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2020) Center for Mathematical Economics Working Papers; 642.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2020) Center for Mathematical Economics Working Papers; 642.
Bielefeld: Center for Mathematical Economics.
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli M, Schmeck MD, Vargiolu T (2019) Center for Mathematical Economics Working Papers; 625.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Piccirilli M, Schmeck MD, Vargiolu T (2019) Center for Mathematical Economics Working Papers; 625.
Bielefeld: Center for Mathematical Economics.
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

Mortality Options: the Point of View of an Insurer
Schmeck MD, Schmidli H (2019) Center for Mathematical Economics Working Papers; 616.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Schmeck MD, Schmidli H (2019) Center for Mathematical Economics Working Papers; 616.
Bielefeld: Center for Mathematical Economics.
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
On the seasonality in the implied volatility of electricity options
Fanelli V, Schmeck MD (2019)
Quantitative Finance 19(8): 1321-1337.
PUB | DOI | WoS
Fanelli V, Schmeck MD (2019)
Quantitative Finance 19(8): 1321-1337.
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Electricity price modeling with stochastic time change
Borovkova S, Schmeck MD (2017)
ENERGY ECONOMICS 63: 51-65.
PUB | DOI | WoS
Borovkova S, Schmeck MD (2017)
ENERGY ECONOMICS 63: 51-65.
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022
PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED
Schmeck MD (2016)
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19(8): 1650053.
PUB | DOI | WoS
Schmeck MD (2016)
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19(8): 1650053.
15 Publikationen
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Eisenberg J, Fabrykowski L, Schmeck MD (2021)
Risks 9(4): 73.
PUB
| PDF | DOI | WoS
Eisenberg J, Fabrykowski L, Schmeck MD (2021)
Risks 9(4): 73.
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model
Eisenberg J, Fabrykowski L, Schmeck MD (2021) Center for Mathematical Economics Working Papers; 648.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Eisenberg J, Fabrykowski L, Schmeck MD (2021) Center for Mathematical Economics Working Papers; 648.
Bielefeld: Center for Mathematical Economics.
2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
Optimal switch from a fossil-fueled to an electric vehicle
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2021)
Decisions in Economics and Finance.
PUB | DOI | WoS
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2021)
Decisions in Economics and Finance.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012
A decomposition of general premium principles into risk and deviation
Nendel M, Riedel F, Schmeck MD (2021)
Insurance: Mathematics and Economics 100: 193-209.
PUB | DOI | WoS
Nendel M, Riedel F, Schmeck MD (2021)
Insurance: Mathematics and Economics 100: 193-209.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach
Schmeck MD, Schwerin S (2021)
Risks 9(5): 100.
PUB
| PDF | DOI | WoS
Schmeck MD, Schwerin S (2021)
Risks 9(5): 100.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli M, Schmeck MD, Vargiolu T (2021)
Energy Economics 95: 105006.
PUB | DOI | WoS
Piccirilli M, Schmeck MD, Vargiolu T (2021)
Energy Economics 95: 105006.
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305
Mortality options: The point of view of an insurer
Schmeck MD, Schmidli H (2021)
Insurance: Mathematics and Economics 96: 98-115.
PUB | DOI | WoS
Schmeck MD, Schmidli H (2021)
Insurance: Mathematics and Economics 96: 98-115.
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Kemper A, Schmeck MD, Khripunova Balci A (2020) Center for Mathematical Economics Working Papers; 635.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Kemper A, Schmeck MD, Khripunova Balci A (2020) Center for Mathematical Economics Working Papers; 635.
Bielefeld: Center for Mathematical Economics.
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

Decomposition of General Premium Principles into Risk and Deviation
Nendel M, Schmeck MD, Riedel F (2020) Center for Mathematical Economics Working Papers; 638, aktual. Version July 2020.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Nendel M, Schmeck MD, Riedel F (2020) Center for Mathematical Economics Working Papers; 638, aktual. Version July 2020.
Bielefeld: Center for Mathematical Economics.
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

Optimal Switch from a Fossil-Fueled to an Electric Vehicle
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2020) Center for Mathematical Economics Working Papers; 642.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Falbo P, Ferrari G, Rizzini G, Schmeck MD (2020) Center for Mathematical Economics Working Papers; 642.
Bielefeld: Center for Mathematical Economics.
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli M, Schmeck MD, Vargiolu T (2019) Center for Mathematical Economics Working Papers; 625.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Piccirilli M, Schmeck MD, Vargiolu T (2019) Center for Mathematical Economics Working Papers; 625.
Bielefeld: Center for Mathematical Economics.
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

Mortality Options: the Point of View of an Insurer
Schmeck MD, Schmidli H (2019) Center for Mathematical Economics Working Papers; 616.
Bielefeld: Center for Mathematical Economics.
PUB
| PDF
Schmeck MD, Schmidli H (2019) Center for Mathematical Economics Working Papers; 616.
Bielefeld: Center for Mathematical Economics.
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
On the seasonality in the implied volatility of electricity options
Fanelli V, Schmeck MD (2019)
Quantitative Finance 19(8): 1321-1337.
PUB | DOI | WoS
Fanelli V, Schmeck MD (2019)
Quantitative Finance 19(8): 1321-1337.
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Electricity price modeling with stochastic time change
Borovkova S, Schmeck MD (2017)
ENERGY ECONOMICS 63: 51-65.
PUB | DOI | WoS
Borovkova S, Schmeck MD (2017)
ENERGY ECONOMICS 63: 51-65.
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022
PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED
Schmeck MD (2016)
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19(8): 1650053.
PUB | DOI | WoS
Schmeck MD (2016)
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19(8): 1650053.