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Prof. Dr. Rüdiger Kiesel

WiWi

Anschrift
Universitätsstr 2
45117 Essen
Raum
R11 T07 D39
Telefon
+49 201 18 3 4963
Telefax
+49 201 18 3 4974
E-Mail
ruediger.kiesel@uni-due.de
Webseite
https://www.lef.wiwi.uni-due.de

Funktionen

  • Universitätsprofessor/in, Energiehandel und Finanzdienstleistungen

  • Prodekan/in, Dekanat

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Kiesel, Rüdiger; Stahl, Gerhard
    An uncertainty-based risk management framework for climate change risk
    In: Annals of Actuarial Science, Jg. 17, 2023, Nr. 3, S. 420 – 437
    DOI
  • Bajic, Andrej; Kiesel, Rüdiger; Hellmich, Martin
    Handle with care : Challenges in company-level emissions data for assessing financial risks from climate change
    In: Journal of Climate Finance, Jg. 5, 2023, 100017
    DOI
  • Kremer, Marcel; Kiesel, Rüdiger; Paraschiv, Florentina
    An econometric model for intraday electricity trading
    In: Philosophical Transactions of the Royal Society of London A: Mathematical, Physical and Engineering Sciences, Jg. 379, 2021, Nr. 2202, S. 20190624
    DOI (Open Access)
  • Kramer, Anke; Kiesel, Rüdiger
    Exogenous factors for order arrivals on the intraday electricity market
    In: Energy Economics, Jg. 97, 2021, S. 105186
    DOI (Open Access)
  • Graf von Luckner, Nikolaus; Kiesel, Rüdiger
    Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process
    In: Journal of Risk and Financial Management, Jg. 14, 2021, Nr. 4, 161
    DOI, Online Volltext (Open Access)
  • Kremer, Marcel; Kiesel, Rüdiger; Paraschiv, Florentina
    Intraday electricity pricing of night contracts
    In: Energies, Jg. 13, 2020, Nr. 17, S. 4501
    DOI (Open Access)
  • Glas, Silke; Kiesel, Rüdiger; Kolkmann, Sven; Kremer, Marcel; Graf von Luckner, Nikolaus; Ostmeier, Lars; Urban, Karsten; Weber, Christoph
    Intraday renewable electricity trading : advanced modeling and numerical optimal control
    In: Journal of Mathematics in Industry, Jg. 10, 2020, Nr. 1, S. 3
    DOI (Open Access)
  • Kremer, Marcel; Benth, Fred E.; Felten, Björn; Kiesel, Rüdiger
    Volatility and liquidity on high-frequency electricity futures markets : Empirical analysis and stochastic modeling
    In: International Journal of Theoretical and Applied Finance, Jg. 23, 2020, Nr. 4, S. 2050027
    DOI
  • Kiesel, Rüdiger; Paraschiv, Florentina; Sætherø, Audun
    On the construction of hourly price forward curves for electricity prices
    In: Computational Management Science, Jg. 16, 2019, Nr. 1-2, S. 345 – 369
    DOI
  • Harms, Cord; Kiesel, Rüdiger
    Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
    In: Applied Mathematical Finance, Jg. 26, 2019, Nr. 5, S. 475 – 522
    DOI
  • von Avenarius, Andrea; Devaraja, Thattekere Settygowda; Kiesel, Rüdiger
    An empirical comparison of carbon credit projects under the clean development mechanism and verified carbon standard
    In: Climate, Jg. 6, 2018, Nr. 2, S. 49
    DOI (Open Access)
  • Fischbach, Björn; Mahayni, Antje; Kiesel, Rüdiger
    Verschiedene Unsicherheitsstufen : Methoden der Entscheidungstheorie im Rahmen der Klimapolitik
    In: Unikate: Berichte aus Forschung und Lehre, 2018, Nr. 52: Risikoforschung - Interdisziplinäre Perspektiven und neue Paradigmen, S. 30 – 41
    DOI, Online Volltext (Open Access)
  • Kiesel, Rüdiger; Paraschiv, Florentina
    Econometric analysis of 15-minute intraday electricity prices
    In: Energy Economics, Jg. 64, 2017, S. 77 – 90
    DOI, Online Volltext (Open Access)
  • Kiesel, Rüdiger; Rahe, Florentin
    Option pricing under time-varying risk-aversion with applications to risk forecasting
    In: Journal of Banking and Finance, Jg. 76, 2017, S. 120 – 138
    DOI (Open Access)
  • Harms, Cord; Kiesel, Rüdiger
    The application of structural electricity models for dynamic hedging
    In: The Journal of Energy Markets, Jg. 10, 2017, Nr. 1, S. 49 – 78
    DOI
  • Bannör, Karl; Kiesel, Rüdiger; Nazarova, Anna; Scherer, Matthias
    Parametric model risk and power plant valuation
    In: Energy Economics, Jg. 59, 2016, S. 423 – 434
    DOI
  • Kiesel, Rüdiger; Kusterman, Michael
    Structural models for coupled electricity markets
    In: Journal of Commodity Markets (JCM), Jg. 3, 2016, Nr. 1, S. 16 – 38
    DOI
  • Kiesel, Rüdiger; Rühlicke, Robin; Stahl, Gerhard; Zheng, Jinsong
    The Wasserstein Metric and Robustness in Risk Management
    In: Risks, Jg. 4, 2016, 32
    DOI (Open Access)
  • Kiesel, Rüdiger; Mroz, Magda; Stadtmüller, Ulrich
    Time-varying copula models for financial time series
    In: Advances in Applied Probability, Jg. 48, 2016, S. 159 – 180
    DOI
  • Kiesel, Rüdiger; Metka, Kevin
    A Multivariate Commodity Analysis with Time-Dependent Volatility—Evidence from the German Energy Market
    In: Zeitschrift für Energiewirtschaft (ZfE), Jg. 37, 2013, Nr. 2, S. 107 – 126
    DOI
  • Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger
    An empirical study of the information premium on electricity markets
    In: Energy Economics, Jg. 36, 2013, S. 55 – 77
    DOI
  • Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna
    A critical empirical study of three electricity spot price models
    In: Energy Economics, Jg. 34, 2012, Nr. 5, S. 1589 – 1616
    DOI
  • Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
    Modeling the forward surface of mortality
    In: SIAM Journal on Financial Mathematics, Jg. 3, 2012, Nr. 1, S. 639 – 666
    DOI
  • Grüll, Georg; Kiesel, Rüdiger
    Quantifying the CO2 Permit Price Sensitivity
    In: Zeitschrift für Energiewirtschaft (ZfE), Jg. 36, 2012, Nr. 1, S. 101 – 111
    DOI
  • Kiesel, Rüdiger; Lutz, Matthias
    Efficient pricing of CMS spread options in a stochastic volatility LMM
    In: Journal of Computational Finance, Jg. 14, 2011, Nr. 4, S. 37 – 72
    DOI
  • Bingham, N.H.; Fry, John M.; Kiesel, Rüdiger
    Multivariate elliptic processes
    In: Statistica Neerlandica, Jg. 64, 2010, Nr. 3, S. 352 – 366
    DOI
  • Bauer, Daniel; Bergmann, Daniela; Kiesel, Rüdiger
    On the risk-neutral valuation of life insurance contracts with numerical methods in view
    In: ASTIN Bulletin, Jg. 40, 2010, Nr. 1, S. 65 – 95
    DOI
  • Gernhard, Jochen; Kiesel, Rüdiger; Stoll, Sven-Olaf
    Valuation of Commodity-based Swing Options
    In: The Journal of Energy Markets, Jg. 3, 2010, Nr. 3, S. 91 – 112
    DOI
  • Börger, Reik H.; Cartea, Alvaro; Kiesel, Rüdiger; Schindlmayr, Gero
    A Multivariate Commodity Analysis and Applications to Risk Management
    In: The Journal of Futures Markets, Jg. 29, 2009, Nr. 3, S. 197 – 217
  • Kiesel, Rüdiger; Schindlmayr, Gero; Börger, Reik
    A two-factor model for the electricity forward market
    In: Quantitative Finance, Jg. 9, 2009, Nr. 3, S. 279 – 287
    DOI (Open Access)
  • Börger, Reik; Cartea, Alvaro; Kiesel, Rüdiger; Schindlmayr, Gero
    Cross-commodity analysis and applications to risk management
    In: Journal of Futures Markets, Jg. 29, 2009, Nr. 3, S. 197 – 217
    DOI
  • Kiesel, Rüdiger; Veraart, Luitgard
    A note on the survival probability in CreditGrades
    In: The Journal of Credit Risk, Jg. 4, 2008, Nr. 2, S. 65 – 74
    DOI
  • Kassberger, Stefan; Kiesel, Rüdiger; Liebmann, Thomas
    Fair valuation of insurance contracts under Lévy process specifications
    In: Insurance: Mathematics and Economics, Jg. 42, 2008, Nr. 1, S. 419 – 433
    DOI
  • Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger
    Pricing forward contracts in power markets by the certainty equivalence principle : Explaining the sign of the market risk premium
    In: Journal of Banking and Finance, Jg. 32, 2008, Nr. 10, S. 2006 – 2021
    DOI
  • Kassberger, Stefan; Kiesel, Rüdiger
    A fully parametric approach to return modelling and risk management of hedge funds
    In: Financial Markets and Portfolio Management, Jg. 20, 2006, Nr. 4, S. 472 – 491
    DOI
  • Bauer, Daniel; Kiesel, Rüdiger; Kling, Alexander; Ruß, Jochen
    Risk-neutral valuation of participating life insurance contracts
    In: Insurance: Mathematics and Economics, Jg. 39, 2006, Nr. 2, S. 171 – 183
    DOI
  • Börger, Reik H.; Kiesel, Rüdiger
    Finanzmathematische Modelle für Strompreise
    In: Emw: Zeitschrift für Energie, Markt, Wettbewerb, 2004, Nr. 6
  • Kiesel, Rüdiger; Höfling, H.; Löffler, G.
    Understanding the Corporate Bond Yield Curve
    In: The Pension Forum, Jg. 15, 2004, S. 2 – 34
  • Bingham, N.H.; Kiesel, Rüdiger; Schmidt, Rafael
    A semi-parametric approach to risk management
    In: Quantitative Finance, Jg. 3, 2003, Nr. 6, S. 426 – 441
    DOI
  • Kiesel, Rüdiger; Perraudin, William; Taylor, Alex
    The structure of credit risk: spread volatility and ratings transitions
    In: The Journal of Risk, Jg. 6, 2003, Nr. 1, S. 1 – 37
    DOI
  • Kiesel, Rüdiger
    Nonparametric Statistical Methods and the Pricing of Derivative Securities
    In: Journal of Applied Mathematics and Decision Sciences, Jg. 6, 2002, Nr. 1, S. 1 – 22
    DOI
  • Bingham, N.H.; Kiesel, Rüdiger
    Semi-parametric modelling in finance : Theoretical foundations
    In: Quantitative Finance, Jg. 2, 2002, Nr. 4, S. 241 – 250
    DOI
  • Hu, Yen-Ting; Kiesel, Rüdiger; Perraudin, William
    The estimation of transition matrices for sovereign credit ratings
    In: Journal of Banking and Finance, Jg. 26, 2002, Nr. 7, S. 1383 – 1406
    DOI
  • Kiesel, Rüdiger; Stadtmüller, Ulrich
    A Large Deviation Principle for Weighted Sums of Independent Identically Distributed Random Variables
    In: Journal of Mathematical Analysis and Applications, Jg. 251, 2000, Nr. 2, S. 929 – 939
    DOI (Open Access)
  • Kiesel, Rüdiger; Stadtmüller, U.
    Erdös-Rényi-Shepp laws for phi-mixing sequences of random variables
    In: Studia Scientiarum Mathematicarum Hungarica, Jg. 34, 1998, Nr. 1, S. 1 – 7
  • Kiesel, Rüdiger
    Strong Laws and Summability for φ-mixing Sequences of Random Variables
    In: Journal of Theoretical Probability, Jg. 11, 1998, Nr. 1, S. 209 – 224
    DOI
  • Kiesel, Rüdiger
    Strong laws and summability for sequences of φ-mixing random variables in banach spaces
    In: Electronic Communications in Probability, Jg. 2, 1997, Nr. 3, S. 27 – 41
    DOI (Open Access)
  • Kiesel, Rüdiger; Stadtmüller, Ulrich
    Erdos-Rényi-Shepp laws and weighted sums of independent identically distributed random variables
    In: Journal of Theoretical Probability, Jg. 9, 1996, Nr. 4, S. 961 – 982
    DOI
  • Kiesel, Rüdiger
    The law of the iterated logarithm for certain power series and generalized Nörlund methods
    In: Mathematical Proceedings of the Cambridge Philosophical Society, Jg. 120, 1996, Nr. 4, S. 735 – 753
    DOI
  • Baron, Simson; Kiesel, Rüdiger
    Absolute φ -Summability Factors with a Power for Aa-Methods *
    In: Analysis: International Mathematical Journal of Analysis and its Applications, Jg. 15, 1995, Nr. 4, S. 311 – 324
    DOI
  • Kiesel, Rüdiger
    On Scales of Summability Methods
    In: Mathematische Nachrichten, Jg. 176, 1995, Nr. 1, S. 129 – 138
    DOI
  • Kiesel, Rüdiger; Baron, S.
    Absolute *-convergence factors with a power
    In: The Journal of Analysis, Jg. 2, 1994, S. 116 – 122
  • Kiesel, Rüdiger; Stadtmüller, Ulrich
    Tauberian- and Convexity Theorems for Certain (N,p,q)-Means
    In: Canadian Journal of Mathematics, Jg. 46, 1994, Nr. 5, S. 982 – 994
    DOI
  • Borwein, David; Kiesel, Rüdiger
    Weighted Means and Summability by Generalized Nörlund and Other Methods
    In: Journal of Mathematical Analysis and Applications, Jg. 184, 1994, Nr. 3, S. 607 – 619
    DOI (Open Access)
  • Kiesel, Rüdiger
    General Nörlund transforms and power series methods
    In: Mathematische Zeitschrift, Jg. 214, 1993, Nr. 2, S. 273 – 286
    Online Volltext
  • Kiesel, Rüdiger
    Power series methods and almost sure convergence
    In: Mathematical Proceedings of the Cambridge Philosophical Society, Jg. 113, 1993, Nr. 1, S. 195 – 204
    DOI
  • Kiesel, Rüdiger; Stadtmüller, U.
    Tauberian theorems for general power series methods
    In: Mathematical Proceedings of the Cambridge Philosophical Society, Jg. 110, 1991, Nr. 3, S. 483 – 490
    DOI

    • Beiträge in Sammelwerken und Tagungsbänden

  • Blasberg, Alexander; Kiesel, Rüdiger
    Climate Risk in Structural Credit Models
    In: Quantitative Energy Finance: Recent Trends and Developments / Benth, Fred Espen; Veraart, Almut E. D. (Hrsg.). Cham: Springer Nature, 2024, S. 247 – 267
    DOI
  • Glas, Silke; Kiesel, Rüdiger; Kolkmann, Sven; Kremer, Marcel; Luckner, Nikolaus Graf von; Ostmeier, Lars; Urban, Karsten; Weber, Christoph
    Intraday Renewable Electricity Trading : Advanced Modeling and Optimal Control
    In: Progress in Industrial Mathematics at ECMI 2018 / Faragó, István; The 20th European Conference on Mathematics for Industry, ECMI 2018, Budapest from 18th to 22nd June 2018. Cham: Springer International Publishing, 2019, S. 469 – 475
    DOI
  • Blasberg, Alexander; Graf Von Luckner, Nikolaus; Kiesel, Rüdiger
    Modeling the Serial Structure of the Hawkes Process Parameters for Market Order Arrivals on the German Intraday Power Market
    In: 16th International Conference on the European Energy Market (EEM): Proceedings / 16th International Conference on the European Energy Market (EEM), 18-20 September 2019 Ljubljana, Slovenia: IEEE Computer Society, 2019
    DOI
  • Wen, Ya; Kiesel, Rüdiger
    Pricing options on EU ETS certificates with a time-varying market price of risk model
    In: Springer Proceedings in Mathematics and Statistics / Conference on Stochastics for Environmental and Financial Economics, Oslo, Norway, 2015 / Benth, Fred Espen (Hrsg.). Cham: Springer New York LLC, Jg. 138, 2016, S. 341 – 360
    DOI
  • Benth, Fred E.; Biegler-König, Richard; Kiesel, Rüdiger
    Electricity options and additional information
    In: Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets / Benth, Fred Espen; Kholodnyi, Valery A.; Laurence, Peter. New York, NY: Springer New York, 2014, S. 285 – 305
    DOI
  • Benth, Fred Espen; Ebbeler, Stephen; Kiesel, Rüdiger
    Indifference Pricing of Weather Futures Based on Electricity Futures
    In: Energy Pricing Models: Recent Advances, Methods, and Tools / Prokopczuk, Marcel (Hrsg.). New York, NY: Palgrave Macmillan, 2014, S. 223.268
  • Kiesel, Rüdiger; Rupp, Andreas; Urban, Karsten
    Valuation of structured financial products by adaptive multiwavelet methods in high dimensions
    In: Extraction of Quantifiable Information from Complex Systems / Dahlke, Stephan; Dahmen, Wolfgang; Griebel, Michael (Hrsg.). Cham: Springer Verlag, 2014, S. 321 – 345
    DOI
  • Kiesel, Rüdiger; Scherer, Matthias A.
    The freight market and its derivatives
    In: Alternative investments and strategies / Kiesel, Rüdiger; Scherer, Matthias A.; Zagst, Rudi (Hrsg.). Singapore (u.a.): World Scientific Publ., 2010, S. 71 – 90
    DOI
  • Kiesel, Rüdiger; Kleinow, Torsten
    Fair Value-basierte Optionspreisbewertung
    In: Fair Value: Bewertung in Rechnungswesen, Controlling und Finanzwirtschaft / Bieg, Hartmut (Hrsg.). München: Vahlen, 2005, S. 763 – 778
  • Kassberger, Stefan; Kiesel, Rüdiger
    Fischer Black und Myron Scholes als Aktuare — Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik
    In: Versicherungen im Umbruch: Werte schaffen, Risiken managen, Kunden gewinnen. Berlin [u.a.]: Springer, 2005, S. 375 – 398
    DOI
  • Kiesel, Rüdiger; Liebmann, Thomas; Stahl, Gerhard
    Mathematical Framework for Integrating Market and Credit Risk
    In: Risk management: a modern perspective. Amsterdam: Elsevier Inc., 2005, S. 367 – 389
    DOI
  • Kiesel, Rüdiger
    Modellierung von Abhängigkeiten bei der Bewertung von Verbriefungen
    In: Praktiker-Handbuch Asset-backed-Securities und Kreditderivate: Strukturen, Preisbildung, Anwendungsmöglichkeiten, aufsichtliche Behandlung / Gruber, Josef (Hrsg.). Stuttgart: Schäffer-Poeschel, 2005, S. 153 – 172
  • Kiesel, Rüdiger; Perraudin, William; Taylor, Alex
    An extreme analysis of VaRs for emerging market benchmark bonds
    In: Credit Risk: Measurement, Evaluation and Management / 8th Econometric Workshop, March 13th - 15th 2002, Karlsruhe / Bol, Georg; Nakhaeizadeh, Gholamreza; Rachev, Svetlozar T.; Ridder, Thomas; Vollmer, Karl-Heinz (Hrsg.). Heidelberg: Physica-Verlag, 2003, S. 111 – 137
    DOI
  • Kiesel, Rüdiger; Stadtmüller, U.
    Dimensions of Credit Risk
    In: Exploratory Data Analysis in Empirical Research: Proceedings of the 25th Annual Conference of the Gesellschaft für Klassifikation e.V / 25th Annual Conference of the Gesellschaft für Klassifikation e.V., University of Munich, March 14–16, 2001 / Schwaiger, Manfred; Opitz, Otto (Hrsg.). Berlin: Springer Berlin Heidelberg, 2003, S. 463 – 471
    DOI
  • Kiesel, Rüdiger; Perraudin, W.; Taylor, A.
    Credit and interest rate risk
    In: Risk management: value at risk and beyond. Cambridge: Cambridge Univ. Press, 2002, S. 129 – 144
  • Kiesel, Rüdiger; Kleinow, Torsten
    Sensitivity analysis of credit portfolio models
    In: Applied Quantitative Finance: Theory and Computational Tools / Härdle, Wolfgang; Kleinow, Torsten; Stahl, Gerhard. Berlin: Springer Berlin Heidelberg, 2002, S. 111 – 124
    DOI
  • Bingham, N.H.; Kiesel, Rüdiger
    Modelling asset returns with hyperbolic distributions
    In: Return Distributions in Finance / Knight, John (Hrsg.). Oxford: Butterworth-Heinemann, 2001, S. 1 – 20
    DOI
  • Kiesel, Rüdiger; Schmid, Bernd
    Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen
    In: Kreditrisikomanagement. Stuttgart: Schäffer-Poeschel, 2000, S. 51 – 83
  • Kiesel, Rüdiger; Perraudin, William; Taylor, Alex
    Estimating Volatility for Long Holding Periods
    In: Measuring Risk in Complex Stochastic Systems / Franke, Jürgen; Stahl, Gerhard; Härdle, Wolfgang (Hrsg.). New York, NY: Springer New York, 2000, S. 19 – 31
    DOI
  • Bingham, N. H.; Kiesel, Rüdiger
    Hyperbolic and semi-parametric models in finance
    In: Disordered and Complex Systems / Disordered and Complex Systems, 10-14 July 2000, London, United Kingdom / Coolen, A. C. C. (Hrsg.). Melville, NY: AIP, 2000
    DOI

    • Bücher/Sammelwerke/Tagungsbände

  • Kiesel, Rüdiger; Scherer, Matthias; Zagst, Rudi (Hrsg.)
    Alternative investments and strategies
    Singapore (u.a.): World Scientific Publ., 2010
  • Bingham, Nicholas H.; Kiesel, Rüdiger
    Risk-Neutral Valuation : Pricing and Hedging of Financial Derivatives
    London (u.a.): Springer, 2004(Springer Finance)
    DOI

    • Dissertation

  • Kiesel, Rüdiger
    Taubersätze und starke Gesetze für Potenzreihenverfahren
    Ulm, 1990

    • Forschungsberichte

  • Perraudin, William Robert Maurice; Hu, Yen-Ting; Kiesel, Rüdiger; Stahl, Gerhard
    Judgmental Versus Quantitative Credit Risk Measures for Sovereigns
    2011
    DOI

    • Working Paper

  • Kustermann, Michael Martin; Kiesel, Rüdiger
    Structural Models for Coupled Electricity Markets
    2014
    DOI
  • Bannor, Karl; Kiesel, Rüdiger; Nazarova, Anna; Scherer, Matthias A.
    Model Risk and Power Plant Valuation
    2013
    DOI

    • Lexikoneinträge

  • Kiesel, Rüdiger
    Martingales
    In: International Encyclopedia of Statistical Science: Teil: Vol. 2., G - P / Lovric, Miodrag (Hrsg.). Berlin, Heidelberg: Springer Verlag, 2011
    DOI
  • Kiesel, Rüdiger; Scherer, Matthias A.
    Structural default risk models
    In: Encyclopedia of Quantitative Finance. Chichester: Wiley, 2010
    DOI