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• [19]
  

  2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575

  Kemper, A., & Schmeck, M. D. (2025). Empirical Evidence of the Market Price of Risk for Delivery Periods. Risks , 13(1), 7. https://doi.org/10.3390/risks13010007

  PUB | DOI | WoS
   
• [18]
  

  2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506

  Ladokhin, S., Schmeck, M. D., & Borovkova, S. (2024). From Calender Time to Business Time: The Case of Commodity Markets. International Journal of Theoretical and Applied Finance, 27(05N06), 2450018. https://doi.org/10.1142/S0219024924500183

  PUB | DOI | WoS
   
• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

  Kemper, A., & Schmeck, M. D. (2023). Pricing of Electricity Swaps with Geometric Averaging (Center for Mathematical Economics Working Papers, 676). Bielefeld: Center for Mathematical Economics.

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• [16]
  

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

  Kemper, A., Schmeck, M. D., & Khripunova Balci, A. (In Press). The market price of risk for delivery periods: Pricing swaps and options in electricity markets. Energy Economics, 106221. https://doi.org/10.1016/j.eneco.2022.106221

  PUB | DOI | WoS
   
• [15]
  

  2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

  Eisenberg, J., Fabrykowski, L., & Schmeck, M. D. (2021). Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model (Center for Mathematical Economics Working Papers, 648). Bielefeld: Center for Mathematical Economics.

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• [14]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

  Eisenberg, J., Fabrykowski, L., & Schmeck, M. D. (2021). Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Risks, 9(4), 73. https://doi.org/10.3390/risks9040073

  PUB | PDF | DOI | WoS
   
• [13]
  

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

  Falbo, P., Ferrari, G., Rizzini, G., & Schmeck, M. D. (2021). Optimal switch from a fossil-fueled to an electric vehicle. Decisions in Economics and Finance. https://doi.org/10.1007/s10203-021-00359-2

  PUB | DOI | WoS
   
• [12]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012

  Nendel, M., Riedel, F., & Schmeck, M. D. (2021). A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics, 100, 193-209. https://doi.org/10.1016/j.insmatheco.2021.05.006

  PUB | DOI | WoS
   
• [11]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

  Schmeck, M. D., & Schwerin, S. (2021). The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. Risks, 9(5), 100. https://doi.org/10.3390/risks9050100

  PUB | PDF | DOI | WoS
   
• [10]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829

  Piccirilli, M., Schmeck, M. D., & Vargiolu, T. (2021). Capturing the power options smile by an additive two-factor model for overlapping futures prices. Energy Economics, 95, 105006. https://doi.org/10.1016/j.eneco.2020.105006

  PUB | DOI | WoS
   
• [9]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305

  Schmeck, M. D., & Schmidli, H. (2021). Mortality options: The point of view of an insurer. Insurance: Mathematics and Economics, 96, 98-115. https://doi.org/10.1016/j.insmatheco.2020.10.009

  PUB | DOI | WoS
   
• [8]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

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

  PUB | PDF
   
• [7]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

  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, 635). Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [6]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

  Falbo, P., Ferrari, G., Rizzini, G., & Schmeck, M. D. (2020). Optimal Switch from a Fossil-Fueled to an Electric Vehicle (Center for Mathematical Economics Working Papers, 642). Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [5]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

  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, 625). Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [4]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

  Schmeck, M. D., & Schmidli, H. (2019). Mortality Options: the Point of View of an Insurer (Center for Mathematical Economics Working Papers, 616). Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [3]
  

  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), 1321-1337. doi:10.1080/14697688.2019.1582792

  PUB | DOI | WoS
   
• [2]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010

  Borovkova, S., & Schmeck, M. D. (2017). Electricity price modeling with stochastic time change. ENERGY ECONOMICS, 63, 51-65. doi:10.1016/j.eneco.2017.01.002

  PUB | DOI | WoS
   
• [1]
  

  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. doi:10.1142/S0219024916500539

  PUB | DOI | WoS