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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. MDPI. doi: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. World Scientific Publishing . doi: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). 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. Elsevier BV. doi: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). Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [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. MDPI AG. doi: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. Springer. doi: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. Elsevier. doi: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. MDPI AG. doi: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. Elsevier. doi: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. Elsevier. doi: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) (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). 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). 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). 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). 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. Routledge Journals, Taylor & Francis Ltd. 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. Elsevier Science Bv. 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. World Scientific Publ Co Pte Ltd. doi:10.1142/S0219024916500539.

  PUB | DOI | WoS