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• [19]
  

  2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575

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

  PUB | DOI | WoS
   
• [18]
  

  2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506

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

  PUB | DOI | WoS
   
• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

  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

  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

  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

  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

  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

  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

  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

  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

  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