19 Publikationen
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2025 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 3000575Empirical Evidence of the Market Price of Risk for Delivery PeriodsPUB | DOI | WoS
Kemper, Annika, Empirical Evidence of the Market Price of Risk for Delivery Periods. Risks 13 (1). , 2025 -
2024 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2999506From Calender Time to Business Time: The Case of Commodity MarketsPUB | DOI | WoS
Ladokhin, Sergiy, From Calender Time to Business Time: The Case of Commodity Markets. International Journal of Theoretical and Applied Finance 27 (05N06). , 2024 -
2023 | Diskussionspapier | Veröffentlicht | PUB-ID: 2978154
Pricing of Electricity Swaps with Geometric AveragingPUB | PDF
Kemper, Annika, Pricing of Electricity Swaps with Geometric Averaging. 676 (). Bielefeld, 2023 -
2022 | Zeitschriftenaufsatz | Im Druck | PUB-ID: 2964844The market price of risk for delivery periods: Pricing swaps and options in electricity marketsPUB | DOI | WoS
Kemper, Annika, The market price of risk for delivery periods: Pricing swaps and options in electricity markets. Energy Economics (). , 2022 -
2021 | Diskussionspapier | Veröffentlicht | PUB-ID: 2953603
Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk ModelPUB | PDF
Eisenberg, Julia, Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. 648 (). Bielefeld, 2021 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954953
Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk ModelPUB | PDF | DOI | WoS
Eisenberg, Julia, Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Risks 9 (4). , 2021 -
2021 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2959491Optimal switch from a fossil-fueled to an electric vehiclePUB | DOI | WoS
Falbo, Paolo, Optimal switch from a fossil-fueled to an electric vehicle. Decisions in Economics and Finance (). , 2021 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2957012A decomposition of general premium principles into risk and deviationPUB | DOI | WoS
Nendel, Max, A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics 100 (). , 2021 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2954897
The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic ApproachPUB | PDF | DOI | WoS
Schmeck, Maren Diane, The Effect of Mean-Reverting Processes in the Pricing of Options in the Energy Market: An Arithmetic Approach. Risks 9 (5). , 2021 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2953829Capturing the power options smile by an additive two-factor model for overlapping futures pricesPUB | DOI | WoS
Piccirilli, Marco, Capturing the power options smile by an additive two-factor model for overlapping futures prices. Energy Economics 95 (). , 2021 -
2021 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2951305Mortality options: The point of view of an insurerPUB | DOI | WoS
Schmeck, Maren Diane, Mortality options: The point of view of an insurer. Insurance: Mathematics and Economics 96 (). , 2021 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2945081
Decomposition of General Premium Principles into Risk and DeviationPUB | PDF
Nendel, Max, Decomposition of General Premium Principles into Risk and Deviation. 638 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity MarketsPUB | PDF
Kemper, Annika, The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. 635 (). Bielefeld, 2020 -
2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2949956
Optimal Switch from a Fossil-Fueled to an Electric VehiclePUB | PDF
Falbo, Paolo, Optimal Switch from a Fossil-Fueled to an Electric Vehicle. 642 (). Bielefeld, 2020 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756
Capturing the power options smile by an additive two-factor model for overlapping futures pricesPUB | PDF
Piccirilli, Marco, Capturing the power options smile by an additive two-factor model for overlapping futures prices. 625 (). Bielefeld, 2019 -
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798
Mortality Options: the Point of View of an InsurerPUB | PDF
Schmeck, Maren Diane, Mortality Options: the Point of View of an Insurer. 616 (). Bielefeld, 2019 -
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585On the seasonality in the implied volatility of electricity optionsPUB | DOI | WoS
Fanelli, Viviana, On the seasonality in the implied volatility of electricity options. Quantitative Finance 19 (8). , 2019 -
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010Electricity price modeling with stochastic time changePUB | DOI | WoS
Borovkova, Svetlana, Electricity price modeling with stochastic time change. ENERGY ECONOMICS 63 (). , 2017 -
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEEDPUB | DOI | WoS
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