Search Results for author: Maren Diane Schmeck

Found 2 papers, 0 papers with code

Optimal switch from a fossil-fueled to an electric vehicle

no code implementations17 Dec 2020 Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini, Maren Diane Schmeck

Moreover, we study the effect of traffic bans and incentive on the expected optimal switching time.

The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging

no code implementations22 Mar 2023 Annika Kemper, Maren Diane Schmeck

Under the physical measure, we discover a decomposition of the swap's market price of risk into the classical one and the MPDP.

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