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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.

  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.

  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, no.676, Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [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.

  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, no.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.

  PUB | PDF | DOI | WoS
   
• [13]
  

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

  Falbo, P., et al., 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, M.D., 2021. A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics, 100, p 193-209.

  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.

  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.

  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, p 98-115.

  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, no.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, no.635, Bielefeld: Center for Mathematical Economics.

  PUB | PDF
   
• [6]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

  Falbo, P., et al., 2020. Optimal Switch from a Fossil-Fueled to an Electric Vehicle, Center for Mathematical Economics Working Papers, no.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, no.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, no.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), p 1321-1337.

  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, p 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(8): 1650053.

  PUB | DOI | WoS