PUB - Publikationen an der Universität Bielefeld

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• [19]
  

  2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575

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

  PUB | DOI | WoS
   
• [18]
  

  2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506

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

  PUB | DOI | WoS
   
• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

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

  PUB | PDF
   
• [16]
  

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

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

  PUB | DOI | WoS
   
• [15]
  

  2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603

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

  PUB | PDF
   
• [14]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

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

  PUB | PDF | DOI | WoS
   
• [13]
  

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

  Falbo, P., Ferrari, G., Rizzini, G., Schmeck, M.D.: 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

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

  PUB | DOI | WoS
   
• [11]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

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

  PUB | PDF | DOI | WoS
   
• [10]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829

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

  PUB | DOI | WoS
   
• [9]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305

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

  PUB | DOI | WoS
   
• [8]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

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

  PUB | PDF
   
• [7]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

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

  PUB | PDF
   
• [6]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

  Falbo, P., Ferrari, G., Rizzini, G., Schmeck, M.D.: Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Center for Mathematical Economics Working Papers, 642. Center for Mathematical Economics, Bielefeld (2020).

  PUB | PDF
   
• [5]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

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

  PUB | PDF
   
• [4]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

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

  PUB | PDF
   
• [3]
  

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

  Fanelli, V., Schmeck, M.D.: On the seasonality in the implied volatility of electricity options. Quantitative Finance . 19, 1321-1337 (2019).

  PUB | DOI | WoS
   
• [2]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010

  Borovkova, S., Schmeck, M.D.: Electricity price modeling with stochastic time change. ENERGY ECONOMICS. 63, 51-65 (2017).

  PUB | DOI | WoS
   
• [1]
  

  2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022

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

  PUB | DOI | WoS