Frau Prof'in. Dr. Maren Diane Schmeck

Academic Career
Since April 2023: Associate Professor, Centre for Mathematical Economics, Bielefeld University
July 2017 - March 2023: Akad. Rätin, Centre for Mathematical Economics, Bielefeld University
October 2016 – June 2017: Postdoc, Centre for Mathematical Economics, Bielefeld University
April 2016 - September 2016: Substituting J-Prof, Workgroup Financial Mathematics, LMU, Munich
November 2012 – March 2016: Postdoc, Institut for Mathematics, University of Cologne
August 2009 - December 2012: Phd studies at Centre for Mathematics and Application, Oslo University, Norway
July 2009: Diplom Mathematical Economics, University of Cologne

Representative Publications

• "The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets" (2022), with A. Kemper and A. Kh. Balci. Energy Economics 113, 106221.
• "A Decomposition of General Premium Principles in Risk and Deviation" (2021), with M. Nendel and F. Riedel. Insurance: Mathematics and Economics (100), pp. 193-209.
• Mortality Options: An Insurer’s Point of View (2021), with H.P. Schmidli. Insurance: Mathematics and Economics (96), pp. 98-115.
• Capturing the power options smile by an additive two-factor model for futures prices (2021), with T. Vargiolu and M. Piccirilli. Energy Economics, 95, 105006.

• On the seasonality in the implied volatility surface of energy options (2019), with V. Fanelli. Quantitative Finance 19(8), pp. 1321-1337.
• Electricity price modelling with stochastic time change (2017), with S. Borovkova. Energy Economics 63, pp. 51-–65.
• Pricing options on forwards in energy markets: the role of mean reversions speed (2016). International Journal of Theoretical and Applied Finance, 19(8).