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• [19]
  

  2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575

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

  PUB | DOI | WoS
   
• [18]
  

  2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506

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

  PUB | DOI | WoS
   
• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

  A. Kemper and M.D. Schmeck, Pricing of Electricity Swaps with Geometric Averaging, Center for Mathematical Economics Working Papers, vol. 676, Bielefeld: Center for Mathematical Economics, 2023.

  PUB | PDF
   
• [16]
  

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

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

  PUB | DOI | WoS
   
• [15]
  

  2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

  J. Eisenberg, L. Fabrykowski, and M.D. Schmeck, Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model, Center for Mathematical Economics Working Papers, vol. 648, Bielefeld: Center for Mathematical Economics, 2021.

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• [14]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

  J. Eisenberg, L. Fabrykowski, and M.D. Schmeck, “Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model”, Risks, vol. 9, 2021, : 73.

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• [13]
  

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

  P. Falbo, et al., “Optimal switch from a fossil-fueled to an electric vehicle”, Decisions in Economics and Finance, 2021.

  PUB | DOI | WoS
   
• [12]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012

  M. Nendel, F. Riedel, and M.D. Schmeck, “A decomposition of general premium principles into risk and deviation”, Insurance: Mathematics and Economics, vol. 100, 2021, pp. 193-209.

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• [11]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

  M.D. Schmeck and S. Schwerin, “The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach”, Risks, vol. 9, 2021, : 100.

  PUB | PDF | DOI | WoS
   
• [10]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829

  M. Piccirilli, M.D. Schmeck, and T. Vargiolu, “Capturing the power options smile by an additive two-factor model for overlapping futures prices”, Energy Economics, vol. 95, 2021, : 105006.

  PUB | DOI | WoS
   
• [9]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305

  M.D. Schmeck and H. Schmidli, “Mortality options: The point of view of an insurer”, Insurance: Mathematics and Economics, vol. 96, 2021, pp. 98-115.

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• [8]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

  M. Nendel, M.D. Schmeck, and F. Riedel, Decomposition of General Premium Principles into Risk and Deviation, Center for Mathematical Economics Working Papers, vol. 638, aktual. Version July 2020., Bielefeld: Center for Mathematical Economics, 2020.

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• [7]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

  A. Kemper, M.D. Schmeck, and A. Khripunova Balci, The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets, Center for Mathematical Economics Working Papers, vol. 635, Bielefeld: Center for Mathematical Economics, 2020.

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• [6]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

  P. Falbo, et al., Optimal Switch from a Fossil-Fueled to an Electric Vehicle, Center for Mathematical Economics Working Papers, vol. 642, Bielefeld: Center for Mathematical Economics, 2020.

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• [5]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

  M. Piccirilli, M.D. Schmeck, and T. Vargiolu, Capturing the power options smile by an additive two-factor model for overlapping futures prices, Center for Mathematical Economics Working Papers, vol. 625, Bielefeld: Center for Mathematical Economics, 2019.

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• [4]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

  M.D. Schmeck and H. Schmidli, Mortality Options: the Point of View of an Insurer, Center for Mathematical Economics Working Papers, vol. 616, Bielefeld: Center for Mathematical Economics, 2019.

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• [3]
  

  2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585

  V. Fanelli and M.D. Schmeck, “On the seasonality in the implied volatility of electricity options”, Quantitative Finance , vol. 19, 2019, pp. 1321-1337.

  PUB | DOI | WoS
   
• [2]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010

  S. Borovkova and M.D. Schmeck, “Electricity price modeling with stochastic time change”, ENERGY ECONOMICS, vol. 63, 2017, pp. 51-65.

  PUB | DOI | WoS
   
• [1]
  

  2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022

  M.D. Schmeck, “PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED”, INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, vol. 19, 2016, : 1650053.

  PUB | DOI | WoS