PUB - Publikationen an der Universität Bielefeld

Alle markieren

• [19]
  

  2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575

  Kemper, Annika, and Schmeck, Maren Diane. “Empirical Evidence of the Market Price of Risk for Delivery Periods”. Risks 13.1 (2025): 7.

  PUB | DOI | WoS
   
• [18]
  

  2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506

  Ladokhin, Sergiy, Schmeck, Maren Diane, and Borovkova, Svetlana. “From Calender Time to Business Time: The Case of Commodity Markets”. International Journal of Theoretical and Applied Finance 27.05N06 (2024): 2450018.

  PUB | DOI | WoS
   
• [17]
  

  2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154

  Kemper, Annika, and Schmeck, Maren Diane. Pricing of Electricity Swaps with Geometric Averaging. Bielefeld: Center for Mathematical Economics, 2023. Center for Mathematical Economics Working Papers. 676.

  PUB | PDF
   
• [16]
  

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

  Kemper, Annika, Schmeck, Maren Diane, and Khripunova Balci, Anna. “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

  Eisenberg, Julia, Fabrykowski, Lukas, and Schmeck, Maren Diane. Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Bielefeld: Center for Mathematical Economics, 2021. Center for Mathematical Economics Working Papers. 648.

  PUB | PDF
   
• [14]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953

  Eisenberg, Julia, Fabrykowski, Lukas, and Schmeck, Maren Diane. “Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model”. Risks 9.4 (2021): 73.

  PUB | PDF | DOI | WoS
   
• [13]
  

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

  Falbo, Paolo, Ferrari, Giorgio, Rizzini, Giorgio, and Schmeck, Maren Diane. “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, Max, Riedel, Frank, and Schmeck, Maren Diane. “A decomposition of general premium principles into risk and deviation”. Insurance: Mathematics and Economics 100 (2021): 193-209.

  PUB | DOI | WoS
   
• [11]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897

  Schmeck, Maren Diane, and Schwerin, Stefan. “The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach”. Risks 9.5 (2021): 100.

  PUB | PDF | DOI | WoS
   
• [10]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829

  Piccirilli, Marco, Schmeck, Maren Diane, and Vargiolu, Tiziano. “Capturing the power options smile by an additive two-factor model for overlapping futures prices”. Energy Economics 95 (2021): 105006.

  PUB | DOI | WoS
   
• [9]
  

  2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305

  Schmeck, Maren Diane, and Schmidli, Hanspeter. “Mortality options: The point of view of an insurer”. Insurance: Mathematics and Economics 96 (2021): 98-115.

  PUB | DOI | WoS
   
• [8]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081

  Nendel, Max, Schmeck, Maren Diane, and Riedel, Frank. Decomposition of General Premium Principles into Risk and Deviation. aktual. Version July 2020. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 638.

  PUB | PDF
   
• [7]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342

  Kemper, Annika, Schmeck, Maren Diane, and Khripunova Balci, Anna. The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 635.

  PUB | PDF
   
• [6]
  

  2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956

  Falbo, Paolo, Ferrari, Giorgio, Rizzini, Giorgio, and Schmeck, Maren Diane. Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 642.

  PUB | PDF
   
• [5]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756

  Piccirilli, Marco, Schmeck, Maren Diane, and Vargiolu, Tiziano. Capturing the power options smile by an additive two-factor model for overlapping futures prices. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 625.

  PUB | PDF
   
• [4]
  

  2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798

  Schmeck, Maren Diane, and Schmidli, Hanspeter. Mortality Options: the Point of View of an Insurer. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 616.

  PUB | PDF
   
• [3]
  

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

  Fanelli, Viviana, and Schmeck, Maren Diane. “On the seasonality in the implied volatility of electricity options”. Quantitative Finance 19.8 (2019): 1321-1337.

  PUB | DOI | WoS
   
• [2]
  

  2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010

  Borovkova, Svetlana, and Schmeck, Maren Diane. “Electricity price modeling with stochastic time change”. ENERGY ECONOMICS 63 (2017): 51-65.

  PUB | DOI | WoS
   
• [1]
  

  2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022

  Schmeck, Maren Diane. “PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED”. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19.8 (2016): 1650053.

  PUB | DOI | WoS