7 Publikationen

Alle markieren

[7]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081 OA
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
 
[6]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
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
 
[5]
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
 
[4]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
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
 
[3]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
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
 
[2]
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
 
[1]
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
 

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7 Publikationen

Alle markieren

[7]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081 OA
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
 
[6]
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
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
 
[5]
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
 
[4]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
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
 
[3]
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
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
 
[2]
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
 
[1]
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
 

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