17 Publikationen

Alle markieren

  • [17]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154 OA
    Kemper, A., and Schmeck, M. D. (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, M. D., and 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 OA
    Eisenberg, J., Fabrykowski, L., and 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.
    PUB | PDF
     
  • [14]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953 OA
    Eisenberg, J., Fabrykowski, L., and Schmeck, M. D. (2021). Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Risks 9:73.
    PUB | PDF | DOI | WoS
     
  • [13]
    2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491
    Falbo, P., Ferrari, G., Rizzini, G., and Schmeck, M. D. (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., and Schmeck, M. D. (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 OA
    Schmeck, M. D., and Schwerin, S. (2021). The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. Risks 9:100.
    PUB | PDF | DOI | WoS
     
  • [10]
    2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829
    Piccirilli, M., Schmeck, M. D., and 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, M. D., and 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 OA
    Nendel, M., Schmeck, M. D., and 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 OA
    Kemper, A., Schmeck, M. D., and 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 OA
    Falbo, P., Ferrari, G., Rizzini, G., and 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 OA
    Piccirilli, M., Schmeck, M. D., and 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 OA
    Schmeck, M. D., and 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., and Schmeck, M. D. (2019). On the seasonality in the implied volatility of electricity options. Quantitative Finance 19, 1321-1337.
    PUB | DOI | WoS
     
  • [2]
    2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
    Borovkova, S., and Schmeck, M. D. (2017). Electricity price modeling with stochastic time change. ENERGY ECONOMICS 63, 51-65.
    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 19:1650053.
    PUB | DOI | WoS
     

Suche

Publikationen filtern

Darstellung / Sortierung

Export / Einbettung