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• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

  Kemper A, Schmeck MD. Pricing of Electricity Swaps with Geometric Averaging. Center for Mathematical Economics Working Papers. Vol 676. Bielefeld: Center for Mathematical Economics; 2023.

  PUB | PDF
   
• [16]
  

  2022 | Zeitschriftenaufsatz | Im Druck | PUB-ID: 2964844

  Kemper A, Schmeck MD, Khripunova Balci A. The market price of risk for delivery periods: Pricing swaps and options in electricity markets. Energy Economics. In Press: 106221.

  PUB | DOI | WoS
   
• [15]
  

  2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

  Eisenberg J, Fabrykowski L, Schmeck MD. Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Center for Mathematical Economics Working Papers. Vol 648. Bielefeld: Center for Mathematical Economics; 2021.

  PUB | PDF
   
• [14]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

  Eisenberg J, Fabrykowski L, Schmeck MD. Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Risks. 2021;9(4): 73.

  PUB | PDF | DOI | WoS
   
• [13]
  

  2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491

  Falbo P, Ferrari G, Rizzini G, Schmeck MD. Optimal switch from a fossil-fueled to an electric vehicle. Decisions in Economics and Finance. 2021.

  PUB | DOI | WoS
   
• [12]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012

  Nendel M, Riedel F, Schmeck MD. A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics. 2021;100:193-209.

  PUB | DOI | WoS
   
• [11]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

  Schmeck MD, Schwerin S. The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. Risks. 2021;9(5): 100.

  PUB | PDF | DOI | WoS
   
• [10]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829

  Piccirilli M, Schmeck MD, Vargiolu T. Capturing the power options smile by an additive two-factor model for overlapping futures prices. Energy Economics. 2021;95: 105006.

  PUB | DOI | WoS
   
• [9]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305

  Schmeck MD, Schmidli H. Mortality options: The point of view of an insurer. Insurance: Mathematics and Economics. 2021;96:98-115.

  PUB | DOI | WoS
   
• [8]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

  Nendel M, Schmeck MD, Riedel F. Decomposition of General Premium Principles into Risk and Deviation. Center for Mathematical Economics Working Papers. Vol 638 aktual. Version July 2020. Bielefeld: Center for Mathematical Economics; 2020.

  PUB | PDF
   
• [7]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

  Kemper A, Schmeck MD, Khripunova Balci A. 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
   
• [6]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

  Falbo P, Ferrari G, Rizzini G, Schmeck MD. Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Center for Mathematical Economics Working Papers. Vol 642. Bielefeld: Center for Mathematical Economics; 2020.

  PUB | PDF
   
• [5]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

  Piccirilli M, Schmeck MD, Vargiolu T. 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
   
• [4]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

  Schmeck MD, Schmidli H. 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
   
• [3]
  

  2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585

  Fanelli V, Schmeck MD. On the seasonality in the implied volatility of electricity options. Quantitative Finance . 2019;19(8):1321-1337.

  PUB | DOI | WoS
   
• [2]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010

  Borovkova S, Schmeck MD. Electricity price modeling with stochastic time change. ENERGY ECONOMICS. 2017;63:51-65.

  PUB | DOI | WoS
   
• [1]
  

  2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022

  Schmeck MD. PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. 2016;19(8): 1650053.

  PUB | DOI | WoS