PUB - Publikationen an der Universität Bielefeld

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• [19]
  

  2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575

  Kemper A, Schmeck MD (2025)
  Empirical Evidence of the Market Price of Risk for Delivery Periods.
  Risks 13(1): 7.

  PUB | DOI | WoS
   
• [18]
  

  2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506

  Ladokhin S, Schmeck MD, Borovkova S (2024)
  From Calender Time to Business Time: The Case of Commodity Markets.
  International Journal of Theoretical and Applied Finance 27(05N06): 2450018.

  PUB | DOI | WoS
   
• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

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

  PUB | PDF
   
• [16]
  

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

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

  PUB | DOI | WoS
   
• [15]
  

  2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

  Eisenberg J, Fabrykowski L, Schmeck MD (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.

  PUB | PDF
   
• [14]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

  Eisenberg J, Fabrykowski L, Schmeck MD (2021)
  Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model.
  Risks 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 (2021)
  Optimal switch from a fossil-fueled to an electric vehicle.
  Decisions in Economics and Finance.

  PUB | DOI | WoS
   
• [12]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012

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

  PUB | DOI | WoS
   
• [11]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

  Schmeck MD, 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.

  PUB | PDF | DOI | WoS
   
• [10]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829

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

  PUB | DOI | WoS
   
• [9]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305

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

  PUB | DOI | WoS
   
• [8]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

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

  PUB | DOI | WoS
   
• [2]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010

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

  PUB | DOI | WoS
   
• [1]
  

  2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022

  Schmeck MD (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.

  PUB | DOI | WoS