Maren Diane Schmeck

maren.schmeck@uni-bielefeld.de
PEVZ-ID
84348951

17 Publikationen

Alle markieren

  • [17]
    2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154 OA
    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 OA
    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 OA
    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 OA
    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 OA
    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 OA
    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 OA
    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 OA
    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 OA
    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
     
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